Structured robust covariance estimation

DOI10.1561/2000000053MaRDI QIDQ5741042zbMATH OpenOpenAlexFDO

Authors Ami Wiesel, Teng Zhang

Publication date 20 July 2016

Published in Foundations and Trends® in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1561/2000000053

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10)

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Cited in

(19)

• Robust covariance estimation for approximate factor models
• High-dimensional covariance estimation under the presence of outliers
• Robust covariance and scatter matrix estimation under Huber's contamination model
• New challenges in covariance estimation: multiple structures and coarse quantization
• Robust sparse covariance estimation by thresholding Tyler's M-estimator
• Robust covariance estimation under \(L_4\)-\(L_2\) norm equivalence
• Robust modifications of U-statistics and applications to covariance estimation problems
• User-friendly covariance estimation for heavy-tailed distributions
• Scatter halfspace depth for \(K\)-symmetric distributions
• Kronecker-structured covariance models for multiway data
• Gaussian and robust Kronecker product covariance estimation: existence and uniqueness
• Improved robust performance bounds in covariance majorant analysis
• Robust Estimation of Structured Covariance Matrix for Heavy-Tailed Elliptical Distributions
• Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
• Shrinking the Covariance Matrix Using Convex Penalties on the Matrix-Log Transformation
• Robust estimation of reduced rank models to large spatial datasets
• Robust Shape Matrix Estimation for High-Dimensional Compositional Data with Application to Microbial Inter-Taxa Analysis
• Tyler's and Maronna's M-estimators: non-asymptotic concentration results
• The minimum covariance determinant estimator for interval-valued data

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