Robust Scatter Matrix Estimation for High Dimensional Distributions With Heavy Tail

DOI10.1109/TIT.2021.3088381zbMath1486.62164OpenAlexW3144234064MaRDI QIDQ4958227

Han Liu, Junwei Lu, Fang Han

Publication date: 7 September 2021

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.2021.3088381

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32)

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