Robust estimation of high-dimensional covariance and precision matrices

DOI10.1093/biomet/asy011OpenAlexW2794809244WikidataQ58572938 ScholiaQ58572938MaRDI QIDQ5384584

Quefeng Li, Marco Avella-Medina, Heather Battey, Jianqing Fan

Publication date: 24 June 2019

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asy011

zbMATH Keywords

robustnessthresholdingminimax rateleptokurtosisconstrained \(\ell_1\)-minimization

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

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