The spatial sign covariance matrix with unknown location

Alexander Dürre; Daniel Vogel; David E. Tyler

doi:10.1016/j.jmva.2014.05.004

The spatial sign covariance matrix with unknown location

Alexander Dürre, Daniel Vogel^*, David E. Tyler

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

Abstract

The consistency and asymptotic normality of the spatial sign covariance matrix with unknown location are shown. Simulations illustrate the different asymptotic behaviors when using the mean and the spatial median as a location estimator.

Original language	English
Pages (from-to)	107-117
Number of pages	11
Journal	Journal of Multivariate Analysis
Volume	130
Early online date	17 May 2014
DOIs	https://doi.org/10.1016/j.jmva.2014.05.004
Publication status	Published - Sept 2014

Keywords

Elliptical distribution
Marcinkiewicz SLLN
Spatial median
Spatial sign

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title = "The spatial sign covariance matrix with unknown location",

abstract = "The consistency and asymptotic normality of the spatial sign covariance matrix with unknown location are shown. Simulations illustrate the different asymptotic behaviors when using the mean and the spatial median as a location estimator.",

keywords = "Elliptical distribution, Marcinkiewicz SLLN, Spatial median, Spatial sign",

author = "Alexander D{\"u}rre and Daniel Vogel and Tyler, {David E.}",

year = "2014",

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language = "English",

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journal = "Journal of Multivariate Analysis",

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T1 - The spatial sign covariance matrix with unknown location

AU - Dürre, Alexander

AU - Vogel, Daniel

AU - Tyler, David E.

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AB - The consistency and asymptotic normality of the spatial sign covariance matrix with unknown location are shown. Simulations illustrate the different asymptotic behaviors when using the mean and the spatial median as a location estimator.

KW - Elliptical distribution

KW - Marcinkiewicz SLLN

KW - Spatial median

KW - Spatial sign

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U2 - 10.1016/j.jmva.2014.05.004

DO - 10.1016/j.jmva.2014.05.004

M3 - Article

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SN - 0047-259X

VL - 130

SP - 107

EP - 117

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

ER -

The spatial sign covariance matrix with unknown location

Abstract

Keywords

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