Two methods of robust estimation of a covariance matrix — a practice study for some liver data

Robust Estimation of a High-Dimensional Integrated Covariance Matrix

SSRN Electronic Journal ◽

10.2139/ssrn.1996261 ◽

2012 ◽

Author(s):

Takayuki Morimoto ◽

Shuichi Nagata

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

High Dimensional ◽

Integrated Covariance

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Robust estimation for the covariance matrix of multivariate time series based on normal mixtures

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2012.06.012 ◽

2013 ◽

Vol 57 (1) ◽

pp. 125-140 ◽

Cited By ~ 12

Author(s):

Byungsoo Kim ◽

Sangyeol Lee

Keyword(s):

Time Series ◽

Covariance Matrix ◽

Robust Estimation ◽

Multivariate Time Series ◽

Normal Mixtures

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Robust estimation of a high-dimensional integrated covariance matrix

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2014.991038 ◽

2016 ◽

Vol 46 (2) ◽

pp. 1102-1112 ◽

Cited By ~ 2

Author(s):

Takayuki Morimoto ◽

Shuichi Nagata

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

High Dimensional ◽

Integrated Covariance

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Regularized robust estimation of mean and covariance matrix under heavy tails and outliers

2014 IEEE 8th Sensor Array and Multichannel Signal Processing Workshop (SAM) ◽

10.1109/sam.2014.6882356 ◽

2014 ◽

Cited By ~ 1

Author(s):

Ying Sun ◽

Prabhu Babu ◽

Daniel P. Palomar

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

Heavy Tails

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Robust estimation of structured covariance matrix for heavy-tailed distributions

2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) ◽

10.1109/icassp.2015.7179062 ◽

2015 ◽

Cited By ~ 5

Author(s):

Ying Sun ◽

Prabhu Babu ◽

Daniel P. Palomar

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

Heavy Tailed Distributions ◽

Heavy Tailed

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Robust Estimation of Structured Covariance Matrix for Heavy-Tailed Elliptical Distributions

IEEE Transactions on Signal Processing ◽

10.1109/tsp.2016.2546222 ◽

2016 ◽

Vol 64 (14) ◽

pp. 3576-3590 ◽

Cited By ~ 33

Author(s):

Ying Sun ◽

Prabhu Babu ◽

Daniel P. Palomar

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

Elliptical Distributions ◽

Heavy Tailed

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Robust estimation of mean and covariance matrix for incomplete data in financial applications

2017 IEEE Global Conference on Signal and Information Processing (GlobalSIP) ◽

10.1109/globalsip.2017.8309092 ◽

2017 ◽

Author(s):

Junyan Liu ◽

Daniel P. Palomar

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

Incomplete Data ◽

Financial Applications

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Regularized robust estimation of mean and covariance matrix for incomplete data

Signal Processing ◽

10.1016/j.sigpro.2019.07.009 ◽

2019 ◽

Vol 165 ◽

pp. 278-291 ◽

Cited By ~ 1

Author(s):

Junyan Liu ◽

Daniel P. Palomar

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

Incomplete Data

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Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values

Journal of the Royal Statistical Society Series C (Applied Statistics) ◽

10.2307/2347491 ◽

1988 ◽

Vol 37 (1) ◽

pp. 23 ◽

Cited By ~ 99

Author(s):

Roderick J. A. Little

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

Missing Values ◽

The Mean

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Regularized Robust Estimation of Mean and Covariance Matrix Under Heavy-Tailed Distributions

IEEE Transactions on Signal Processing ◽

10.1109/tsp.2015.2417513 ◽

2015 ◽

Vol 63 (12) ◽

pp. 3096-3109 ◽

Cited By ~ 7

Author(s):

Ying Sun ◽

Prabhu Babu ◽

Daniel P. Palomar

Keyword(s):

Covariance Matrix ◽

Robust Estimation ◽

Heavy Tailed Distributions ◽

Heavy Tailed

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