Estimation of the inverse scatter matrix of an elliptically symmetric distribution
type: Item
instance of: scholarly article
title: Estimation of the inverse scatter matrix of an elliptically symmetric distribution
zbMATH Open document ID: 1328.62337
author: Dominique Fourdrinier
author: Fatiha Mezoued
author: Martin T. Wells
published in: Journal of Multivariate Analysis
publication date: 2015-12-23T00:00:00Z
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62C99
zbMATH DE Number: 6523725
zbMATH Keywords: elliptically symmetric distributions
zbMATH Keywords: high-dimensional statistics
zbMATH Keywords: Moore-Penrose inverse
zbMATH Keywords: inverse scatter matrix
zbMATH Keywords: quadratic loss
zbMATH Keywords: singular sample covariance matrix
zbMATH Keywords: sample eigenvalues
zbMATH Keywords: Stein-Haff identity
describes a project that uses: glasso
MaRDI profile type: Publication
full work available at URL: j.jmva.2015.08.012
OpenAlex ID: W1244990357
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DOI: 10.1016/J.JMVA.2015.08.012
description: scientific article; zbMATH DE number 6523725