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Note on asymptotic behavior of spatial sign autocovariance matrices

Author

Listed:
  • Voutilainen, Marko
  • Ilmonen, Pauliina
  • Viitasaari, Lauri
  • Lietzén, Niko

Abstract

In this paper, we consider the asymptotic properties of the spatial sign autocovariance matrix for Gaussian subordinated processes with a known location parameter.

Suggested Citation

  • Voutilainen, Marko & Ilmonen, Pauliina & Viitasaari, Lauri & Lietzén, Niko, 2023. "Note on asymptotic behavior of spatial sign autocovariance matrices," Statistics & Probability Letters, Elsevier, vol. 192(C).
    • Handle: RePEc:eee:stapro:v:192:y:2023:i:c:s0167715222001924
    DOI: 10.1016/j.spl.2022.109679
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    References listed on IDEAS

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    1. Breuer, Péter & Major, Péter, 1983. "Central limit theorems for non-linear functionals of Gaussian fields," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 425-441, September.
    2. Bai, Shuyang & Taqqu, Murad S., 2019. "Sensitivity of the Hermite rank," Stochastic Processes and their Applications, Elsevier, vol. 129(3), pages 822-840.
    3. Dürre, Alexander & Vogel, Daniel & Tyler, David E., 2014. "The spatial sign covariance matrix with unknown location," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 107-117.
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