On the eigenvalues of the spatial sign covariance matrix in more than two dimensions

Alexander Dürre, David E. Tyler and Daniel Vogel

Statistics & Probability Letters, 2016, vol. 111, issue C, 80-85

Abstract: We gather several results on the eigenvalues of the spatial sign covariance matrix of an elliptical distribution. It is shown that the eigenvalues are a one-to-one function of the eigenvalues of the shape matrix and that they are closer together than the latter. We further provide a one-dimensional integral representation of the eigenvalues, which facilitates their numerical computation.

Keywords: Elliptical distribution; Spatial Kendall’s tau matrix; Spatial sign (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2016.01.009

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