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

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...

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Bibliographische Detailangaben

Hauptverfasser:	Dürre, Alexander, Tyler, David E, Vogel, Daniel
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Statistics Theory Statistics - Computation Statistics - Theory
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