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Equivariant Estimators of the Covariance Matrix

✍ Scribed by François Perron


Book ID
115057032
Publisher
John Wiley and Sons
Year
1990
Tongue
French
Weight
213 KB
Volume
18
Category
Article
ISSN
0319-5724

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The affine equivariant sign covariance m
✍ Esa Ollila; Hannu Oja; Christophe Croux 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 433 KB

We consider the affine equivariant sign covariance matrix (SCM) introduced by Visuri et al. (J. Statist. Plann. Inference 91 (2000) 557). The population SCM is shown to be proportional to the inverse of the regular covariance matrix. The eigenvectors and standardized eigenvalues of the covariance ma