Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators (Q406518): Difference between revisions

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-.1016/j.jmva.2014.06.018
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+No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
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+Q3551026
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+Robust Shrinkage Estimation of High-Dimensional Covariance Matrices
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+The random matrix regime of Maronna's M-estimator with elliptically distributed samples
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+Matrix Analysis
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+Robust Estimation of a Location Parameter
@@ Property / cites work: Robust Estimation of a Location Parameter / rank @@
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+Robust Statistics
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+Redescending \(M\)-estimates of multivariate location and scatter
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+RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
@@ Property / cites work: RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS / rank @@
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+A well-conditioned estimator for large-dimensional covariance matrices
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+Robust m-estimators of multivariate location and scatter
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+Robust Statistics
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+DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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+Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
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+On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices
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+Modified Subspace Algorithms for DoA Estimation With Large Arrays
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+Q4001919
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+On the empirical distribution of eigenvalues of a class of large dimensional random matrices
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+Analysis of the limiting spectral distribution of large dimensional random matrices
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+A distribution-free M-estimator of multivariate scatter
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@@ Property / DOI @@
+.1016/J.JMVA.2014.06.018
@@ Property / DOI: 10.1016/J.JMVA.2014.06.018 / rank @@
+Normal rank