Spatial sign correlation

被引：10

作者：

Duerre, Alexander ^{[1
]}

Vogel, Daniel ^{[1
]}

Fried, Roland ^{[1
]}

机构：

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

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2015年 / 135卷

关键词：

Elliptical distribution; Gaussian rank correlation; Gnanadesikan-Kettenring estimator; Kendall's tau; Spatial median; Spatial sign covariance matrix; Spearman's rho; MULTIVARIATE LOCATION; SCATTER; EFFICIENCY; MATRIX;

D O I：

10.1016/j.jmva.2014.12.002

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：89 / 105

页数：17

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