Spatial sign correlation

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.

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Year of publication:	2015
Authors:	Dürre, Alexander ; Vogel, Daniel ; Fried, Roland
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 135.2015, C, p. 89-105
Publisher:	Elsevier
Subject:	Elliptical distribution \| Gaussian rank correlation \| Gnanadesikan–Kettenring estimator \| Kendall’s tau \| Spatial median \| Spatial sign covariance matrix \| Spearman’s rho

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189568