High-dimensional covariance estimation under the presence of outliers

DOI10.4310/SII.2016.v9.n4.a6zbMath1405.62057MaRDI QIDQ1747606

Hsin-Cheng Huang, Thomas C. M. Lee

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

difference convex programming; ES-algorithm; Huber function; eigenvalue regularization

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62F35: Robustness and adaptive procedures (parametric inference)

90C25: Convex programming

62J10: Analysis of variance and covariance (ANOVA)