On the eigenvalues of the spatial sign covariance matrix in more than two dimensions
Computation
2016-03-21 v2 Statistics Theory
Statistics Theory
Abstract
We gather several results on the eigenvalues of the spatial sign covariance matrix of an elliptical distribution. It is shown that the eigenvalues are a one-to-one function of the eigenvalues of the shape matrix and that they are closer together than the latter. We further provide a one-dimensional integral representation of the eigenvalues, which facilitates their numerical computation.
Keywords
Cite
@article{arxiv.1512.02863,
title = {On the eigenvalues of the spatial sign covariance matrix in more than two dimensions},
author = {Alexander Dürre and David E. Tyler and Daniel Vogel},
journal= {arXiv preprint arXiv:1512.02863},
year = {2016}
}