A note on the comedian for elliptical distributions

DOI10.1006/jmva.1998.1775zbMath0914.62042OpenAlexW2020083428MaRDI QIDQ1275418

Michael Falk

Publication date: 17 January 1999

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1998.1775

zbMATH Keywords

elliptical distributionscovariancecorrelation coefficientbivariate normal vectorscomedianmedian absolute deviation from the medianrobust measure of correlation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (3)

Robust estimation of a correlation coefficient for \(\varepsilon\)-contaminated bivariate normal distributions ⋮ The sample covariance is not efficient for elliptical distributions ⋮ Influence functions of the Spearman and Kendall correlation measures

Cites Work

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• On the theory of elliptically contoured distributions
• On MAD and comedians
• Elliptically Symmetric Distributions: A Review and Bibliography
• The Influence Curve and Its Role in Robust Estimation
• Alternatives to the Median Absolute Deviation

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