Spearman's rank correlation is a robust alternative for the standard correlation coefficient. By using ranks instead of … on this rank correlation measure for estimating covariance matrices and their inverses. The resulting estimator is robust … is therefore said to be sparse. Instead of Spearman's rank correlation, one can use the Quadrant correlation or Gaussian …

correlation coeffcients (Spearman's ρ and Kendall's τ). We first investigate a set of suffcient conditions under which measurement …