Methods of \(L_ 1\) estimation of a covariance matrix (Q1091707): Difference between revisions
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| Language | Label | Description | Also known as |
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| English | Methods of \(L_ 1\) estimation of a covariance matrix |
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Methods of \(L_ 1\) estimation of a covariance matrix (English)
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1987
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The classical relationship between the spectral decomposition of a covariance matrix and the estimation of its principal components is utilized in obtaining robust covariance matrix estimates from robust estimates of the principal components, based on \(L_ 1\) formulations. The performance of these estimates is studied using some problematical data sets discussed in the literature.
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principal component estimation
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linear and quadratic programming
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\(L_ 1\)-estimation
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spectral decomposition of a covariance matrix
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robust covariance matrix estimates
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