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

被引：15

作者：

Duerre, Alexander ^{[1
]}

Tyler, David E. ^{[2
]}

Vogel, Daniel ^{[3
]}

机构：

[1] Tech Univ Dortmund, Fak Stat, D-44221 Dortmund, Germany

[2] Rutgers State Univ, Dept Stat & Biostat, Piscataway, NJ 08854 USA

[3] Univ Aberdeen, Inst Complex Syst & Math Biol, Aberdeen AB24 3UE, Scotland

来源：

STATISTICS & PROBABILITY LETTERS | 2016年 / 111卷

基金：

美国国家科学基金会;

关键词：

Elliptical distribution; Spatial Kendall's tau matrix; Spatial sign; PRINCIPAL COMPONENT ANALYSIS;

D O I：

10.1016/j.spl.2016.01.009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2016 Elsevier B.V. All rights reserved.

引用

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页码：80 / 85

页数：6

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