Gaussian and robust Kronecker product covariance estimation: existence and uniqueness (Q290708)

scientific article

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English	Gaussian and robust Kronecker product covariance estimation: existence and uniqueness	scientific article

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instance of

scholarly article

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title

Gaussian and robust Kronecker product covariance estimation: existence and uniqueness (English)

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published in

Journal of Multivariate Analysis

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publication date

3 June 2016

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full work available at URL

https://arxiv.org/abs/1512.00336

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zbMATH Keywords

constrained covariance estimation

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robust estimation

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high-dimensional estimation

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Kronecker product structure

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author

Ilya Soloveychik

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Dmitry Trushin

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describes a project that uses

glasso

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MaRDI profile type

MaRDI publication profile

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cites work

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High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence

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Existence and uniqueness of the maximum likelihood estimator for models with a Kronecker product covariance structure

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Sparse permutation invariant covariance estimation

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Group symmetry and covariance regularization

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Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure

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Performance Analysis of Tyler's Covariance Estimator

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Group Symmetric Robust Covariance Estimation

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Structured Robust Covariance Estimation

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Model selection and estimation in the matrix normal graphical model

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Model selection and estimation in the Gaussian graphical model

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Identifiers

zbMATH Open document ID

1341.62132

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DOI

10.1016/j.jmva.2016.04.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:290708