### Abstract

Original language | English |
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Place of Publication | Tilburg |

Publisher | Econometrics |

Number of pages | 13 |

Volume | 2010-41 |

Publication status | Published - 2010 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2010-41 |

### Fingerprint

### Cite this

*The K-Step Spatial Sign Covariance Matrix*. (CentER Discussion Paper; Vol. 2010-41). Tilburg: Econometrics.

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**The K-Step Spatial Sign Covariance Matrix.** / Croux, C.; Dehon, C.; Yadine, A.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - The K-Step Spatial Sign Covariance Matrix

AU - Croux, C.

AU - Dehon, C.

AU - Yadine, A.

N1 - Subsequently published in Advances in Data Analysis and Classification, 2010 Pagination: 13

PY - 2010

Y1 - 2010

N2 - The Sign Covariance Matrix is an orthogonal equivariant estimator of mul- tivariate scale. It is often used as an easy-to-compute and highly robust estimator. In this paper we propose a k-step version of the Sign Covariance Matrix, which improves its e±ciency while keeping the maximal breakdown point. If k tends to infinity, Tyler's M-estimator is obtained. It turns out that even for very low values of k, one gets almost the same e±ciency as Tyler's M-estimator.

AB - The Sign Covariance Matrix is an orthogonal equivariant estimator of mul- tivariate scale. It is often used as an easy-to-compute and highly robust estimator. In this paper we propose a k-step version of the Sign Covariance Matrix, which improves its e±ciency while keeping the maximal breakdown point. If k tends to infinity, Tyler's M-estimator is obtained. It turns out that even for very low values of k, one gets almost the same e±ciency as Tyler's M-estimator.

M3 - Discussion paper

VL - 2010-41

T3 - CentER Discussion Paper

BT - The K-Step Spatial Sign Covariance Matrix

PB - Econometrics

CY - Tilburg

ER -