On the eigenvalues of the spatial sign covariance matrix in more than two dimensions. (English) Zbl 1341.62118
Summary: 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.
MSC:
| 62H12 | Estimation in multivariate analysis |
| 62G20 | Asymptotic properties of nonparametric inference |
| 62H11 | Directional data; spatial statistics |
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