Note on asymptotic behavior of spatial sign autocovariance matrices

DOI10.1016/J.SPL.2022.109679MaRDI QIDQ2107577zbMATH OpenOpenAlexFDO

Authors Marko Voutilainen, Pauliina Ilmonen, Lauri Viitasaari, Niko Lietzén

Publication date 2 December 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.spl.2022.109679

zbMATH Keywords

autocovariance matrixGaussian subordinated processspatial sign

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Gaussian processes (60G15) Directional data; spatial statistics (62H11) Estimation in multivariate analysis (62H12)

Cites work

• Central limit theorems for non-linear functionals of Gaussian fields
• How the instability of ranks under long memory affects large-sample inference
• Long-memory processes. Probabilistic properties and statistical methods
• Orthogonal polynomials of several variables
• Sensitivity of the Hermite rank
• Sign and rank covariance matrices
• The spatial sign covariance matrix with unknown location
• Wiener-Hermite polynomial expansion for multivariate Gaussian probability measures

Cited in

(1)

• On the eigenvectors of large-dimensional sample spatial sign covariance matrices

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• longmemo

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