| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1145481 | Journal of Multivariate Analysis | 2015 | 17 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Alexander Dürre, Daniel Vogel, Roland Fried,