User-friendly covariance estimation for heavy-tailed distributions
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Publication:2292396
DOI10.1214/19-STS711zbMath1429.62312arXiv1811.01520OpenAlexW2979685185MaRDI QIDQ2292396
Stanislav Minsker, Yuan Ke, Qiang Sun, Zhao Ren, Wen-Xin Zhou
Publication date: 3 February 2020
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.01520
Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32) Analysis of variance and covariance (ANOVA) (62J10)
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