Spatial sign correlation

DOI10.1016/j.jmva.2014.12.002zbMath1307.62147arXiv1403.7635OpenAlexW2025678117MaRDI QIDQ2256748

Daniel Vogel, Alexander Dürre, Roland Fried

Publication date: 20 February 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.7635

zbMATH Keywords

Kendall's tauSpearman's rhospatial medianelliptical distributionspatial sign covariance matrixGaussian rank correlationGnanadesikan-Kettenring estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

Related Items (9)

On the eigenvalues of the spatial sign covariance matrix in more than two dimensions ⋮ A generalized spatial sign covariance matrix ⋮ Asymptotics of the two-stage spatial sign correlation ⋮ Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures ⋮ Sign tests for weak principal directions ⋮ On jackknifing the symmetrized Tyler matrix ⋮ On eigenvalues of a high-dimensional spatial-sign covariance matrix ⋮ Symmetric Gini covariance and correlation ⋮ On the eigenvectors of large-dimensional sample spatial sign covariance matrices

Uses Software

• R
• mvtnorm
• ICSNP
• MNM
• robustbase
• pcaPP
• rrcov

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