Title: Influence function and asymptotic efficiency of the affine equivariant rank covariance matrix
Authors: Ollila, E
Croux, Christophe
Oja, H
Issue Date: 2002
Publisher: K.U.Leuven - Departement toegepaste economische wetenschappen
Series Title: DTEW Research Report 0210 pages:1-19
Abstract: Visuri et al (2001) proposed and illustrated the use of the affine equivariant rank covariance matrix (RCM) in classical multivariate inference problems. The RCM was shown to be asymptotically multinormal but explicit formulas for the limiting variances and covariances were not given yet. In this paper the influence functions and the limiting variances and covariances of the RCM and the corresponding scatter estimate are derived in the multivariate elliptic case. Limiting efficiencies are given in the multivariate normal and t-distribution cases. The estimates based on the RCM are highly efficient in the multinormal case, and for heavy tailed distribution, perform better than those based on the regular covariance matrix.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven

Files in This Item:
File Status SizeFormat
OR_0210.pdf Published 368KbAdobe PDFView/Open


All items in Lirias are protected by copyright, with all rights reserved.