sscor (version 0.2)

sscor-package: 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

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