The spatial sign covariance matrix with unknown location

被引：15

作者：

Duerre, Alexander ^{[1
]}

Vogel, Daniel ^{[2
]}

Tyler, David E. ^{[3
]}

机构：

[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

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2014年 / 130卷

基金：

美国国家科学基金会;

关键词：

Elliptical distribution; Marcinkiewicz SLLN; Spatial median; Spatial sign; ROBUST; SCATTER;

D O I：

10.1016/j.jmva.2014.05.004

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：

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.

引用

页码：107 / 117

页数：11

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