Robust precision matrix estimation via weighted median regression with regularization
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Publication:4960917
DOI10.1002/CJS.11356zbMath1474.62202OpenAlexW2800440924WikidataQ129926147 ScholiaQ129926147MaRDI QIDQ4960917
Hyonho Chun, Sung-Ho Kim, Myung Hee Lee, Ji Hwan Oh
Publication date: 24 April 2020
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11356
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)
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