Robust estimator of the correlation matrix with sparse Kronecker structure for a high-dimensional matrix-variate

DOI10.1016/j.jmva.2020.104598zbMath1437.62198OpenAlexW3006314507MaRDI QIDQ2306279

Lu Niu, Jun-Long Zhao, Xiu-Min Liu

Publication date: 20 March 2020

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2020.104598

zbMATH Keywords

robust estimatebigraphical modelhigh-dimensional matrix-variatelatent correlation matrixsparse Kronecker structure

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35) Applications of statistics to biology and medical sciences; meta analysis (62P10) Image analysis in multivariate analysis (62H35) Probabilistic graphical models (62H22)

Related Items

An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations ⋮ Statistical inference on the significance of rows and columns for matrix-valued data in an additive model ⋮ Robust tests for scatter separability beyond Gaussianity

Uses Software

• limma
• Knorm
• ROCKET

Cites Work

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