Robust Covariance/Scatter Matrix Estimation via Matrix Depth

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：mustache

【摘要】

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【作者】

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Mengjie Chen Chao Gao Zhao Ren

【机构】

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Department of Statistics,University of Chicago,60637,USA

【出处】

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上海交通大学

【发表日期】

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2016年4期

【关键词】

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Data depth Minimax rate high dimensional statistics Outliers Contamination model

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　　Covariance matrix estimation is one of the most important problems in statistics.To deal with modern complex data sets,not only do we need estimation procedures to take advantage of the structural assumptions of the covariance matrix,it is also important to design methods that are resistant to arbitrary source of outliers.

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Robust Covariance/Scatter Matrix Estimation via Matrix Depth

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