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A canonical definition of shape (2007)
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BibTeX
@MISC{Paindaveine07acanonical,
author = {Davy Paindaveine and Universite ́ Libre De Bruxelles},
title = {A canonical definition of shape},
year = {2007}
}
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Abstract
Very general concepts of scatter, extending the traditional notion of covariance ma-trices, have become classical tools in robust multivariate analysis. In many problems of practical importance (principal components, canonical correlation, testing for spheric-ity), only homogeneous functions of the scatter matrix are of interest. In line with this fact, scatter functionals often are only defined up to a positive scalar factor, yielding a family of scatter matrices rather than a uniquely defined one. In such families, it is natural to single out one representative by imposing a normalization constraint: this normalized scatter is called a shape matrix. In the particular case of elliptical families, this constraint in turn induces a concept of scale; along with a location center and a standardized radial density, the shape and scale parameters entirely characterize an elliptical density. In this paper, we show that one and only normalization has the additional properties that (i) the resulting Fisher information matrices for shape and scale, in locally asymptotically normal (LAN) elliptical families, are block-diagonal, and that (ii) the semiparametric elliptical families indexed by location, shape, and completely unspecified radial densities are adaptive. This particular normalization, which imposes that the determinant of the shape matrix be equal to one, therefore can be considered canonical.
Keyphrases
canonical definition elliptical family shape matrix scatter matrix location center particular case many problem positive scalar factor fisher information matrix scatter functionals homogeneous function particular normalization turn induces traditional notion practical importance unspecified radial density normalized scatter semiparametric elliptical family standardized radial density covariance ma-trices normalization constraint additional property general concept principal component canonical correlation robust multivariate analysis scale parameter classical tool elliptical density
