Spatial sign correlation

Alexander Dürre, Daniel Vogel and Roland Fried

Journal of Multivariate Analysis, 2015, vol. 135, issue C, 89-105

Abstract: A 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.

Keywords: Elliptical distribution; Gaussian rank correlation; Gnanadesikan–Kettenring estimator; Kendall’s tau; Spatial median; Spatial sign covariance matrix; Spearman’s rho (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.jmva.2014.12.002

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