Robust estimation of high-dimensional covariance and precision matrices.
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DOI: 10.1093/biomet/asy011
Abstract: High-dimensional data are often most plausibly generated from distributions with complex structure and leptokurtosis in some or all components. Covariance and precision matrices provide a useful summary of such structure, yet the performance of popular… read more here.
Keywords: covariance precision; high dimensional; assumption; precision matrices ... See more keywords