Robust Scatter Matrix Estimation for High Dimensional Distributions with Heavy Tail

IEEE Transactions on Information Theory ◽

10.1109/tit.2021.3088381 ◽

2021 ◽

pp. 1-1

Author(s):

Junwei Lu ◽

Fang Han ◽

Fang Han ◽

Han Liu

Keyword(s):

High Dimensional ◽

Scatter Matrix ◽

Matrix Estimation

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Regularized covariance matrix estimation with high dimensional data for supervised anomaly detection problems

2016 International Joint Conference on Neural Networks (IJCNN) ◽

10.1109/ijcnn.2016.7727554 ◽

2016 ◽

Author(s):

Daniel Nikovski ◽

Kiran Byadarhaly

Keyword(s):

Anomaly Detection ◽

Covariance Matrix ◽

High Dimensional Data ◽

Covariance Matrix Estimation ◽

High Dimensional ◽

Matrix Estimation

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Robust covariance and scatter matrix estimation under Huber’s contamination model

The Annals of Statistics ◽

10.1214/17-aos1607 ◽

2018 ◽

Vol 46 (5) ◽

pp. 1932-1960 ◽

Author(s):

Mengjie Chen ◽

Chao Gao ◽

Zhao Ren

Keyword(s):

Scatter Matrix ◽

Matrix Estimation

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Non-asymptotic error controlled sparse high dimensional precision matrix estimation

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2020.104690 ◽

2021 ◽

Vol 181 ◽

pp. 104690

Author(s):

Adam B. Kashlak

Keyword(s):

High Dimensional ◽

Precision Matrix ◽

Matrix Estimation ◽

Dimensional Precision ◽

Asymptotic Error

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Covariance Matrix Estimation (High-Dimensional)

Wiley StatsRef: Statistics Reference Online ◽

10.1002/9781118445112.stat07373 ◽

2014 ◽

Author(s):

Mohsen Pourahmadi ◽

Wei Biao Wu

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

High Dimensional ◽

Matrix Estimation

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Right singular vector projection graphs: fast high dimensional covariance matrix estimation under latent confounding

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/rssb.12359 ◽

2020 ◽

Vol 82 (2) ◽

pp. 361-389

Author(s):

Rajen D. Shah ◽

Benjamin Frot ◽

Gian-Andrea Thanei ◽

Nicolai Meinshausen

Keyword(s):

Covariance Matrix ◽

Singular Vector ◽

Covariance Matrix Estimation ◽

High Dimensional ◽

Matrix Estimation ◽

Vector Projection

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Posterior convergence rates for high-dimensional precision matrix estimation using G -Wishart priors

Stat ◽

10.1002/sta4.147 ◽

2017 ◽

Vol 6 (1) ◽

pp. 207-217

Author(s):

Sayantan Banerjee

Keyword(s):

Convergence Rates ◽

High Dimensional ◽

Precision Matrix ◽

Matrix Estimation ◽

Dimensional Precision

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Adjusting for high-dimensional covariates in sparse precision matrix estimation byℓ1-penalization

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2013.01.005 ◽

2013 ◽

Vol 116 ◽

pp. 365-381 ◽

Author(s):

Jianxin Yin ◽

Hongzhe Li

Keyword(s):

High Dimensional ◽

Precision Matrix ◽

Matrix Estimation ◽

Sparse Precision Matrix

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On scatter matrix estimation in the presence of unknown extra parameters: Mismatched scenario

2016 24th European Signal Processing Conference (EUSIPCO) ◽

10.1109/eusipco.2016.7760635 ◽

2016 ◽

Author(s):

Stefano Fortunati ◽

Fulvio Gini ◽

Maria S. Greco

Keyword(s):

Scatter Matrix ◽

Matrix Estimation

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Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions

IEEE Transactions on Information Theory ◽

10.1109/tit.2014.2360980 ◽

2014 ◽

Vol 60 (12) ◽

pp. 7874-7887 ◽

Author(s):

Tuo Zhao ◽

Han Liu

Keyword(s):

High Dimensional ◽

Elliptical Distributions ◽

Precision Matrix ◽

Matrix Estimation

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High dimensional covariance matrix estimation using multi-factor models from incomplete information

Science China Mathematics ◽

10.1007/s11425-014-4961-5 ◽

2015 ◽

Vol 58 (4) ◽

pp. 829-844

Author(s):

FangFang Xu ◽

JianChao Huang ◽

ZaiWen Wen

Keyword(s):

Incomplete Information ◽

Covariance Matrix ◽

Factor Models ◽

Covariance Matrix Estimation ◽

High Dimensional ◽

Matrix Estimation

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