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Robust estimation of high-dimensional covariance and precision matrices
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 matrix estimators typically hinges upon a sub-G...
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| Publicado no: | Biometrika |
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| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Oxford University Press
2018
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6188670/ https://ncbi.nlm.nih.gov/pubmed/30337763 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biomet/asy011 |
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