S_n covariance

Abstract

Main purpose of this paper is to study a robust measure of estimating dependence between random variables that can be used as an alternative to classical covariance estimator. An efficient univariate nested L-estimator (repeated median) S_n with high breakdown point is used to define bivariate dispersion. Results regarding in the characteristics of proposed estimator is discussed through this paper.

Keywords:

• Robust estimation
• scale
• covariance
• finite efficiency

Acknowledgment

The authors are thankful to the reviewer for their valuable comments and efforts towards improving our manuscript.