Spatial sign correlation
From MaRDI portal
Publication:2256748
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
Kendall's tauSpearman's rhospatial medianelliptical distributionspatial sign covariance matrixGaussian rank correlationGnanadesikan-Kettenring estimator
Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35) Nonparametric estimation (62G05)
Related Items
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
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