Spatial sign correlation

JOURNAL OF MULTIVARIATE ANALYSIS

卷:135

Article

Duerre, Alexander¹  Vogel, Daniel¹  Fried, Roland¹ 

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

关键词: Elliptical distribution;    Gaussian rank correlation;    Gnanadesikan-Kettenring estimator;    Kendall's tau;    Spatial median;    Spatial sign covariance matrix;    Spearman's rho;   

DOI  :  10.1016/j.jmva.2014.12.002

来源: Elsevier

【 摘 要 】

A robust correlation estimator based on the spatial sign covariance matrix (SSCM) is proposed. We derive its asymptotic distribution and influence function at elliptical distributions. Finite sample and robustness properties are studied and compared to other robust correlation estimators by means of numerical simulations. (C) 2014 Elsevier Inc. All rights reserved.

【 授权许可】

Free