On the eigenvalues of the spatial sign covariance matrix in more than two dimensions

DOI10.1016/j.spl.2016.01.009zbMath1341.62118arXiv1512.02863MaRDI QIDQ273842

Alexander Dürre, David E. Tyler, Daniel Vogel

Publication date: 22 April 2016

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

Full work available at URL: https://arxiv.org/abs/1512.02863

zbMATH Keywords

elliptical distribution; spatial Kendall's tau matrix; spatial sign

Mathematics Subject Classification ID

62H11: Directional data; spatial statistics

62H12: Estimation in multivariate analysis

62G20: Asymptotic properties of nonparametric inference

Uses Software

• R
• sscor