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Thek-step spatial sign covariance matrix

โœ Scribed by C. Croux; C. Dehon; A. Yadine


Book ID
107435990
Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
213 KB
Volume
4
Category
Article
ISSN
1862-5347

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The affine equivariant sign covariance m
โœ Esa Ollila; Hannu Oja; Christophe Croux ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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