Abstract
| Original language | English |
|---|---|
| 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 |
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The K-Step Spatial Sign Covariance Matrix. / Croux, C.; Dehon, C.; Yadine, A.
Tilburg : Econometrics, 2010. (CentER Discussion Paper; Vol. 2010-41).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 -