Improved covariance estimation: optimal robustness and sub-Gaussian guarantees under heavy tails

DOI10.1214/24-aos2407MaRDI QIDQ6656606

Zoraida F. Rico, Roberto I. Oliveira

Publication date: 3 January 2025

Published in: The Annals of Statistics (Search for Journal in Brave)

zbMATH Keywords

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Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35)

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