Robust precision matrix estimation via weighted median regression with regularization

DOI10.1002/CJS.11356MaRDI QIDQ4960917zbMATH OpenOpenAlexWikidataFDO

Authors Hyonho Chun, Myung Hee Lee, Sung-Ho Kim, Ji Hwan Oh

Publication date 24 April 2020

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11356

zbMATH Keywords

median regressionregularizationsparse precision matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to economics (62P20)

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• Robust estimation of precision matrices under cellwise contamination
• scientific article; zbMATH DE number 5716995 (Why is no real title available?)
• Robust estimation of sparse precision matrix using adaptive weighted graphical lasso approach
• Precision matrix estimation under data contamination with an application to minimum variance portfolio selection
• Estimation of graphical models: an overview of selected topics

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