sscor-package {sscor}

Correlation estimation by spatial signs

Description

R functions for correlation estimation based on spatial signs. Including spatial sign correlation and two stage spatial sign correlation.

Details

Package:	sscor
Type:	Package
Version:	0.1
Date:	2015-4-22
License:	GPL-2 | GPL-3

Author(s)

Alexander Dürre, Daniel Vogel

Maintainer: Alexander Dürre <[e-mail]>

References

Dürre, A., Vogel, D., Fried, R. (2015): Spatial sign correlation, Journal of Multivariate Analyis, vol. 135, 89–105. arvix 1403.7635

Dürre, A., Vogel, D. (2016): Asymptotics of the two-stage spatial sign correlation, Journal of Multivariate Analyis, vol. 144, 54–67. arxiv 1506.02578

Dürre, A., Tyler, D. E., Vogel, D. (2016): On the eigenvalues of the spatial sign covariance matrix in more than two dimensions, to appear in: Statistics and Probability Letters. arvix 1512.02863