Influence Function and Asymptotic Efficiency of the Affine Equivariant Rank Covariance Matrix


Visuri, Koivunen and Oja (2003) 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. In this paper the influence functions and the limiting… (More)

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