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07/28/2023
Robust and Resistant Regularized Covariance Matrices
We introduce a class of regularized M-estimators of multivariate scatter...
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08/18/2021
On the variability of the sample covariance matrix under complex elliptical distributions
We derive the variance-covariance matrix of the sample covariance matrix...
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08/13/2020
Linear pooling of sample covariance matrices
We consider covariance matrix estimation in a setting, where there are m...
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02/28/2020
Breakdown points of penalized and hybrid M-estimators of covariance
We introduce a class of hybrid M-estimators of multivariate scatter whic...
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03/19/2019
Shrinking the Sample Covariance Matrix using Convex Penalties on the Matrix-Log Transformation
For q-dimensional data, penalized versions of the sample covariance matr...
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05/21/2018