High-dimensional covariance estimation under the presence of outliers

DOI10.4310/SII.2016.V9.N4.A6zbMath1405.62057OpenAlexW2520302336MaRDI QIDQ1747606

Hsin-Cheng Huang, Thomas C. M. Lee

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2016.v9.n4.a6

zbMATH Keywords

difference convex programmingES-algorithmHuber functioneigenvalue regularization

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35) Convex programming (90C25) Analysis of variance and covariance (ANOVA) (62J10)

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