On the eigenvalues of the spatial sign covariance matrix in more than two dimensions

DOI10.1016/j.spl.2016.01.009zbMath1341.62118arXiv1512.02863OpenAlexW2963834663MaRDI QIDQ273842

Daniel Vogel, David E. Tyler, Alexander Dürre

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.02863

zbMATH Keywords

elliptical distributionspatial Kendall's tau matrixspatial sign

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20)

Related Items (7)

A generalized spatial sign covariance matrix ⋮ Robust Functional Principal Component Analysis via a Functional Pairwise Spatial Sign Operator ⋮ On the power of axial tests of uniformity on spheres ⋮ On testing the equality of latent roots of scatter matrices under ellipticity ⋮ Sign tests for weak principal directions ⋮ The spatial sign covariance operator: asymptotic results and applications ⋮ On eigenvalues of a high-dimensional spatial-sign covariance matrix

Uses Software

• R
• sscor

Cites Work

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• Robust functional estimation using the median and spherical principal components
• The asymptotic inadmissibility of the spatial sign covariance matrix for elliptically symmetric distributions
• A Distribution-Free Multivariate Sign Test Based on Interdirections
• A multivariate version of kendall's τ

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