A generalized spatial sign covariance matrix

Volume: 171, Pages: 94 - 111
Published: May 1, 2019
Abstract
The well-known spatial sign covariance matrix (SSCM) carries out a radial transform which moves all data points to a sphere, followed by computing the classical covariance matrix of the transformed data. Its popularity stems from its robustness to outliers, fast computation, and applications to correlation and principal component analysis. In this paper we study more general radial functions. It is shown that the eigenvectors of the generalized...
Paper Details
Title
A generalized spatial sign covariance matrix
Published Date
May 1, 2019
Volume
171
Pages
94 - 111
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