Asymptotics of the two-stage spatial sign correlation
From MaRDI portal
Publication:901278
Abstract: The spatial sign correlation (D"urre, Vogel and Fried, 2015) is a highly robust and easy-to-compute, bivariate correlation estimator based on the spatial sign covariance matrix. Since the estimator is inefficient when the marginal scales strongly differ, a two-stage version was proposed. In the first step, the observations are marginally standardized by means of a robust scale estimator, and in the second step, the spatial sign correlation of the thus transformed data set is computed. D"urre et al. (2015) give some evidence that the asymptotic distribution of the two-stage estimator equals that of the spatial sign correlation at equal marginal scales by comparing their influence functions and presenting simulation results, but give no formal proof. In the present paper, we close this gap and establish the asymptotic normality of the two-stage spatial sign correlation and compute its asymptotic variance for elliptical population distributions. We further derive a variance-stabilizing transformation, similar to Fisher's z-transform, and numerically compare the small-sample coverage probabilities of several confidence intervals.
Recommendations
- Spatial sign correlation
- scientific article; zbMATH DE number 1301948
- On robust estimation of a correlation coefficient
- The asymptotic inadmissibility of the spatial sign covariance matrix for elliptically symmetric distributions
- Variance stabilizing transformation and studentization for estimator of correlation coefficient
Cites work
- scientific article; zbMATH DE number 3560401 (Why is no real title available?)
- scientific article; zbMATH DE number 1964693 (Why is no real title available?)
- scientific article; zbMATH DE number 2058051 (Why is no real title available?)
- scientific article; zbMATH DE number 5200028 (Why is no real title available?)
- A Class of Statistics with Asymptotically Normal Distribution
- A New Proof of the Bahadur Representation of Quantiles and an Application
- A Note on Quantiles in Large Samples
- A canonical definition of shape
- A distribution-free M-estimator of multivariate scatter
- Alternatives to the Median Absolute Deviation
- Asymptotic Normality of Sample Quantiles for $m$-Dependent Processes
- Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
- Asymptotic distributions of robust shape matrices and scales
- Bahadur representation for \(U\)-quantiles of dependent data
- Constrained \(M\)-estimation for multivariate location and scatter
- Elliptical graphical modelling
- Generalized L-, M-, and R-statistics
- Multivariate nonparametric methods with R. An approach based on spatial signs and ranks.
- On Bahadur's Representation of Sample Quantiles
- On the multivariate spatial median for clustered data
- Robust functional estimation using the median and spherical principal components
- Robust m-estimators of multivariate location and scatter
- Robust principal component analysis for functional data. (With comments)
- Sign and rank covariance matrices
- Some robust estimates of principal components
- Spatial sign correlation
- The \(k\)-step spatial sign covariance matrix
- The asymptotic efficiency of the spatial median for elliptically symmetric distributions
- The spatial sign covariance matrix with unknown location
- Transformation of non positive semidefinite correlation matrices
Cited in
(3)
This page was built for publication: Asymptotics of the two-stage spatial sign correlation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q901278)
