Robust precision matrix estimation via weighted median regression with regularization

DOI10.1002/CJS.11356zbMath1474.62202OpenAlexW2800440924WikidataQ129926147 ScholiaQ129926147MaRDI QIDQ4960917

Hyonho Chun, Sung-Ho Kim, Myung Hee Lee, Ji Hwan Oh

Publication date: 24 April 2020

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11356

zbMATH Keywords

regularizationmedian regressionsparse precision matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

This page was built for publication: Robust precision matrix estimation via weighted median regression with regularization