The affine equivariant sign covariance matrix: Asymptotic behavior and efficiencies.

DOI10.1016/S0047-259X(03)00045-9zbMath1044.62063WikidataQ110034603 ScholiaQ110034603MaRDI QIDQ1426351

Christophe Croux, Hannu Oja, Esa Ollila

Publication date: 14 March 2004

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

zbMATH Keywords

correlationrobustnesscovariance matrixmultivariate sign

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20)

Related Items

Affine equivariant multivariate rank methods, Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity, Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape, Gini covariance matrix and its affine equivariant version, A scatter matrix estimate based on the zonotope, Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices

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