A generalized spatial sign covariance matrix
Jakob Raymaekers and
Peter Rousseeuw ()
Journal of Multivariate Analysis, 2019, vol. 171, issue C, 94-111
The well-known spatial sign covariance matrix (SSCM) carries out a radial transform which moves all data points to a sphere, followed by computing the classical covariance matrix of the transformed data. Its popularity stems from its robustness to outliers, fast computation, and applications to correlation and principal component analysis. In this paper we study more general radial functions. It is shown that the eigenvectors of the generalized SSCM are still consistent and the ranks of the eigenvalues are preserved. The influence function of the resulting scatter matrix is derived, and it is shown that its asymptotic breakdown value is as high as that of the original SSCM. A simulation study indicates that the best results are obtained when the inner half of the data points are not transformed and points lying far away are moved to the center.
Keywords: Orthogonal equivariance; Outliers; Robust location and scatter (search for similar items in EconPapers)
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