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Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions
We propose a semiparametric method for estimating a precision matrix of high-dimensional elliptical distributions. Unlike most existing methods, our method naturally handles heavy tailness and conducts parameter estimation under a calibration framework, thus achieves improved theoretical rates of co...
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| Publicado no: | IEEE Trans Inf Theory |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2014
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4306585/ https://ncbi.nlm.nih.gov/pubmed/25632164 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1109/TIT.2014.2360980 |
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