R-NL: Covariance Matrix Estimation for Elliptical Distributions Based on Nonlinear Shrinkage
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DOI: 10.1109/tsp.2023.3270742
Abstract: We combine Tyler's robust estimator of the dispersion matrix with nonlinear shrinkage. This approach delivers a simple and fast estimator of the dispersion matrix in elliptical models that is robust against both heavy tails and… read more here.
Keywords: estimation elliptical; matrix; covariance matrix; matrix estimation ... See more keywords