Calibrated precision matrix estimation for high-dimensional elliptical distributions

IEEE Transactions on Information Theory

Volumn 60, Issue 12, 2014, Pages 7874-7887

  Zhao, Tuo ^a,b   Liu, Han ^a  

^a Princeton University   (United States)

^b Whiting School of Engineering   (United States)

Author keywords

Calibrated Estimation; Elliptical Distribution; Heavy tailness; Precision Matrix; Semiparametric Model

Indexed keywords

SAMPLING;

ELLIPTICAL DISTRIBUTIONS; FINITE SAMPLE PERFORMANCE; HEAVY-TAILNESS; HIGH-DIMENSIONAL; NUMERICAL EXPERIMENTS; PRECISION MATRIX; SEMI-PARAMETRIC MODELING; THEORETICAL RATES;

NUMERICAL METHODS;

EID: 84912119612     PISSN: 00189448     EISSN: 15579654     Source Type: Journal    
DOI: 10.1109/TIT.2014.2360980     Document Type: Article

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