Spatial Sign Correlation
Methodology
2022-04-12 v1
Abstract
A new robust correlation estimator based on the spatial sign covariance matrix (SSCM) is proposed. We derive its asymptotic distribution and influence function at elliptical distributions. Finite sample and robustness properties are studied and compared to other robust correlation estimators by means of numerical simulations.
Cite
@article{arxiv.1403.7635,
title = {Spatial Sign Correlation},
author = {Alexander Dürre and Daniel Vogel and Roland Fried},
journal= {arXiv preprint arXiv:1403.7635},
year = {2022}
}
Comments
20 pages, 7 figures, 2 tables