Helsinki University of Technology    

Visuri, S., Koivunen, V., Oja, H.

Sign and rank covariance matrices

The robust estimation of multivariate location and shape is one of the most challenging problems in statistics and crucial in many application areas. The objective is to find highly efficient, robust, computable and affine equivariant location and covariance matrix estimates. In this paper three different concepts of multivariate sign and rank are considered and their ability to carry information about the geometry of the underlying distribution (or data cloud) are discussed. New techniques for robust covariance matrix estimation based on different sign and rank concepts are proposed and algorithms for computing them outlined. In addition, new tools for evaluating the qualitative and quantitative robustness of a covariance estimator are proposed. The use of these tools is demonstrated on two rank based covariance matrix estimates. Finally, to illustrate the practical importance of the problem, a signal processing example where robust covariance matrix estimates are needed is given.