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The spatial sign covariance matrix with unknown location


  • Dürre, Alexander
  • Vogel, Daniel
  • Tyler, David E.


The consistency and asymptotic normality of the spatial sign covariance matrix with unknown location are shown. Simulations illustrate the different asymptotic behaviors when using the mean and the spatial median as a location estimator.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:jmvana:v:130:y:2014:i:c:p:107-117
    DOI: 10.1016/j.jmva.2014.05.004

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    References listed on IDEAS

    1. E. Weiszfeld & Frank Plastria, 2009. "On the point for which the sum of the distances to n given points is minimum," Annals of Operations Research, Springer, vol. 167(1), pages 7-41, March.
    2. N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999. "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(1), pages 1-73, June.
    3. Daniel Gervini, 2008. "Robust functional estimation using the median and spherical principal components," Biometrika, Biometrika Trust, vol. 95(3), pages 587-600.
    4. Sirkiä, Seija & Taskinen, Sara & Oja, Hannu, 2007. "Symmetrised M-estimators of multivariate scatter," Journal of Multivariate Analysis, Elsevier, vol. 98(8), pages 1611-1629, September.
    5. David E. Tyler & Frank Critchley & Lutz Dümbgen & Hannu Oja, 2009. "Invariant co-ordinate selection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 549-592.
    6. Croux, C. & Dehon, C. & Yadine, A., 2010. "The K-Step Spatial Sign Covariance Matrix," Discussion Paper 2010-41, Tilburg University, Center for Economic Research.
    7. Marden, John I., 1999. "Some robust estimates of principal components," Statistics & Probability Letters, Elsevier, vol. 43(4), pages 349-359, July.
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    Cited by:

    1. Dürre, Alexander & Vogel, Daniel & Fried, Roland, 2015. "Spatial sign correlation," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 89-105.
    2. Dürre, Alexander & Vogel, Daniel, 2016. "Asymptotics of the two-stage spatial sign correlation," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 54-67.
    3. Dürre, Alexander & Tyler, David E. & Vogel, Daniel, 2016. "On the eigenvalues of the spatial sign covariance matrix in more than two dimensions," Statistics & Probability Letters, Elsevier, vol. 111(C), pages 80-85.


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