Falk, Michael - In: Journal of Multivariate Analysis 67 (1998) 2, pp. 306-317
The comedianCOM(X, Y) of random variablesX,Yis a median based robust alternative to the covariance ofXofY. For the bivariate normal case it is known thatCOM(X, Y), standardized by the median absolute deviations ofXandY, is a symmetric, strictly increasing and continuous function of the...