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The affine equivariant sign covariance matrix: asymptotic behavior and efficiencies.

Abstract

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, matrix can thus be derived from the SCM. We also construct an estimate of the covariance and correlation matrix based on the SCM. The influence functions and limiting distributions of the SCM and its eigenvectors and eigenvalues are found. Limiting efficiencies are given in multivariate normal and t-distribution cases. The estimates are highly efficient in the multivariate normal case and perform better than estimates based on the sample covariance matrix for heavy-tailed distributions. Simulations confirmed these findings for finite-sample efficiencies. (C) 2003 Elsevier Science (USA). All rights reserved.affine equivariance; covariance and correlation matrices; efficiency; eigenvectors and eigenvalues; influence function; multivariate median; multivariate sign; robustness; multivariate location; discriminant-analysis; principal components; dispersion matrices; tests; estimators;

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Research Papers in Economics

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This paper was published in Research Papers in Economics.

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