An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations

elliptical distributions scatter matrix generalized elliptical distributions mutual relations non-paranormal distributions transeliptical distributions

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

High-dimensional semiparametric Gaussian copula graphical models
The nonparanormal: semiparametric estimation of high dimensional undirected graphs
Title not available (Why is that?)
Model-Based Gaussian and Non-Gaussian Clustering
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Sparse nonparametric graphical models
Covariance regularization by thresholding
A distribution-free M-estimator of multivariate scatter
The meta-elliptical distributions with given marginals
Estimating the effect of joint interventions from observational data in sparse high-dimensional settings
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ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
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A generalization of Tyler's M-estimators to the case of incomplete data
A multivariate version of kendall's τ
Image denoising using scale mixtures of gaussians in the wavelet domain
Marčenko-Pastur law for Tyler's M-estimator
Robust Shrinkage Estimation of High-Dimensional Covariance Matrices
Scale-Invariant Sparse PCA on High-Dimensional Meta-Elliptical Data
Estimation methods for the multivariate \(t\) distribution
Consistency property of elliptical probability density functions
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
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Estimating high-dimensional covariance and precision matrices under general missing dependence
A characterization of elliptical distributions and some optimality properties of principal components for functional data
The Generalization of Student's Ratio
Angular Gaussian and Cauchy estimation
A normal scale mixture representation of the logistic distribution
Allometric analysis using the multivariate shifted exponential normal distribution
Robust estimator of the correlation matrix with sparse Kronecker structure for a high-dimensional matrix-variate
Optimal tests for elliptical symmetry: specified and unspecified location
Mean estimation and regression under heavy-tailed distributions: A survey
User-friendly covariance estimation for heavy-tailed distributions
Robust and Accurate Inference via a Mixture of Gaussian and Student’s t Errors
Robust sparse covariance estimation by thresholding Tyler's M-estimator
Rectified Gaussian Scale Mixtures and the Sparse Non-Negative Least Squares Problem

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