Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures

DOI10.1007/978-81-322-3643-6_3zbMath1360.62264OpenAlexW2262400359MaRDI QIDQ2963607

Christophe Croux, Viktoria Öllerer

Publication date: 15 February 2017

Published in: Recent Advances in Robust Statistics: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/500104

zbMATH Keywords

Spearman's rank correlationKendall correlationinverse covariance matrixrobust and sparse estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

Comments on: ``Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination

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