The spatial sign covariance matrix with unknown location

Alexander Dürre, Daniel Vogel and David E. Tyler

Journal of Multivariate Analysis, 2014, vol. 130, issue C, 107-117

Abstract: 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.

Keywords: Elliptical distribution; Marcinkiewicz SLLN; Spatial median; Spatial sign (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.jmva.2014.05.004

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