Precision matrix estimation under data contamination with an application to minimum variance portfolio selection
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Publication:5082899
DOI10.1080/03610918.2019.1668012OpenAlexW2984286160MaRDI QIDQ5082899FDOQ5082899
Authors: Vahe Avagyan, Xiaoling Mei 
Publication date: 21 June 2022
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2019.1668012
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Gaussian graphical modelhigh-dimensional datarobust estimationminimum variance portfoliodata contamination
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- Robust estimation of precision matrices under cellwise contamination
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