Abstract
We summarize properties of the spatial sign covariance matrix and especially look at the relationship between its eigenvalues and those of the shape matrix of an elliptical distribution. The explicit relationship known in the bivariate case was used to construct the spatial sign correlation coefficient, which is a non-parametric and robust estimator for the correlation coefficient within the elliptical model. We consider a multivariate generalization, which we call the multivariate spatial sign correlation matrix.
Connections
Explore this paper’s authors, topics and related work.
Building this map preview
BZPEER is loading the nearby papers, people, topics and institutions for this page.
Reviews 0
Write a review
No reviews yet.
Discussion 0
Add a comment
No comments yet.