The spatial sign covariance matrix with unknown location

JOURNAL OF MULTIVARIATE ANALYSIS

卷:130

Article

Duerre, Alexander¹  Vogel, Daniel²  Tyler, David E.³ 

[1] Tech Univ Dortmund, Fak Stat, D-44221 Dortmund, Germany

[2] Ruhr Univ Bochum, Fak Math, D-44780 Bochum, Germany

[3] Rutgers State Univ, Dept Stat, Piscataway, NJ 08854 USA

关键词: Elliptical distribution;    Marcinkiewicz SLLN;    Spatial median;    Spatial sign;   

DOI  :  10.1016/j.jmva.2014.05.004

来源: Elsevier

【 摘 要 】

The consistency and asymptotic normality of the spatial sign covariance matrix with unknown location are shown. Simulations illustrate the different asymptotic behaviors when using the mean and the spatial median as a location estimator. (C) 2014 Elsevier Inc. All rights reserved.

【 授权许可】

Free