The asymptotic inadmissibility of the spatial sign covariance matrix for elliptically symmetric distributions

DOI10.1093/biomet/asu020zbMath1335.62028arXiv1309.1915OpenAlexW2023245700MaRDI QIDQ3191472

David E. Tyler, Andrew Magyar

Publication date: 2 October 2014

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.1915

zbMATH Keywords

robustnessaffine equivariancerelative efficiencyprincipal components analysiseigenprojectionTyler's scatter matrix

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35) Admissibility in statistical decision theory (62C15)

Related Items (8)

High-dimensional proportionality test of two covariance matrices and its application to gene expression data ⋮ On the eigenvalues of the spatial sign covariance matrix in more than two dimensions ⋮ On weighted multivariate sign functions ⋮ A generalized spatial sign covariance matrix ⋮ Testing the equality of two high‐dimensional spatial sign covariance matrices ⋮ Corrigendum to ``The spatial sign covariance matrix with unknown location ⋮ On eigenvalues of a high-dimensional spatial-sign covariance matrix ⋮ On the eigenvectors of large-dimensional sample spatial sign covariance matrices

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