Robust sparse covariance estimation by thresholding Tyler's M-estimator (Q2176609)
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scientific article
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| English | Robust sparse covariance estimation by thresholding Tyler's M-estimator |
scientific article |
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Robust sparse covariance estimation by thresholding Tyler's M-estimator (English)
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5 May 2020
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covariance matrix estimation
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spectral norm
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elliptical distribution
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sparsity
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Tyler's M-estimator
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thresholding
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0.8400611281394958
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0.8094301223754883
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0.8028045296669006
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0.8019344210624695
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0.8004928827285767
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