B1110
Title: Asymptotics of spatial-sign based estimators of location and scatter in high-dimensions
Authors: Weiming Li - Shanghai University of Finance and Economics (China) [presenting]
Abstract: The purpose is to investigate asymptotic behaviors of spatial-sign based location and scatter estimators, i.e., the sample spatial median and its associated spatial-sign covariance matrix, in high-dimensional frameworks. Two stochastic representations for the spatial median are provided with explicit forms, which can characterize the first and second-order fluctuations of the spatial median, in the almost sure sense. Beyond this, a new central limit theorem is established for linear spectral statistics of the spatial-sign covariance matrix. All these results are obtained under a general population model that covers the popular independent components model and the family of elliptical distributions.
