Rank covariance matrix estimation of a partially known covariance matrix

DOI10.1016/J.JSPI.2007.11.015zbMath1146.62041OpenAlexW2072163283MaRDI QIDQ951021

Kristi Kuljus, Dietrich von Rosen

Publication date: 29 October 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2007.11.015

zbMATH Keywords

elliptical distributionsmultivariate ranksaffine equivariancemarginal rank covariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cites Work

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• Descriptive statistics for multivariate distributions
• On the efficiency of affine invariant multivariate rank tests
• Consistency property of elliptical probability density functions
• Affine equivariant multivariate rank methods

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