The affine equivariant sign covariance m
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Esa Ollila; Hannu Oja; Christophe Croux
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Article
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2003
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Elsevier Science
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English
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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