Robust and sparse estimation of the inverse covariance matrix using rank correlation measures

DOI10.1007/978-81-322-3643-6_3zbMATH Open1360.62264OpenAlexW2262400359MaRDI QIDQ2963607FDOQ2963607

Authors: Christophe Croux, Viktoria Öllerer 

Publication date: 15 February 2017

Published in: Recent Advances in Robust Statistics: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/500104

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zbMATH Keywords

Kendall correlationSpearman's rank correlationinverse covariance matrixrobust and sparse estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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Cited In (5)

• Comments on: ``Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
• An efficient algorithm for sparse inverse covariance matrix estimation based on dual formulation
• The Cellwise Minimum Covariance Determinant Estimator
• Robust estimator of the correlation matrix with sparse Kronecker structure for a high-dimensional matrix-variate
• The Gaussian rank correlation estimator: robustness properties

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