Robust estimators for nondecomposable elliptical graphical models
نویسندگان
چکیده
منابع مشابه
Elementary Estimators for Graphical Models
We propose a class of closed-form estimators for sparsity-structured graphical models, expressed as exponential family distributions, under high-dimensional settings. Our approach builds on observing the precise manner in which the classical graphical model MLE “breaks down” under high-dimensional settings. Our estimator uses a carefully constructed, well-defined and closed-form backward map, a...
متن کاملRobust Estimators for Random Coefficient Regression Models
Random coefficient regression models have received considerable attention, especially from econometricians. Previous work has assumed that the coefficients have normal distributions. The variances of the coefficients have, in previous papers, been estimated by maximum likelihood or by least squares methodology applied to the squared residuals from a preliminary (unweighted) fit. Maximum likelih...
متن کاملSecond order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals
A central limit theorem for bilinear forms of the type aĈN (ρ) −1b, where a, b ∈ C are unit norm deterministic vectors and ĈN (ρ) a robust-shrinkage estimator of scatter parametrized by ρ and built upon n independent elliptical vector observations, is presented. The fluctuations of aĈN (ρ) −1b are found to be of order N− 1 2 and to be the same as those of aŜN (ρ) −1b for ŜN (ρ) a matrix of a th...
متن کاملGraphical lassos for meta-elliptical distributions
Gaussian graphical lasso is a tool for estimating sparse graphs using a Gaussian log-likelihood with an 1 penalty on the inverse covariance matrix. This paper proposes a generalization to meta-elliptical distributions. Conditional uncorrelatedness is characterized in meta-elliptical families. The proposed metaelliptical and re-weighted Kendall graphical lassos are computed from pseudo-observati...
متن کاملRobust Eigensystem Assignment for State Estimators Using Second-Order Models
A novel design of a state estimator is presented using second-order dynamic equations of mechanical systems. The eigenvalues and eigenvectors of the state estimator are assigned by solving the second-order eigenvalue problem of the structural system. Three design methods for the state estimator are given in this paper. The first design method uses collocated sensors to measure the desired signa...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Biometrika
سال: 2014
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asu041