Shrinking the eigenvalues of M-estimators of covariance matrix
نویسندگان
چکیده
منابع مشابه
Robust regularized M-estimators of regression parameters and covariance matrix
High dimension low sample size (HD-LSS) data are becoming increasingly present in a variety of fields, including chemometrics and medical imaging. Especially problems with n < p (more variables than measurements) present a challenge to data analysts since the classical techniques can not be used. In this paper, we consider HD-LSS data in regression parameter and covariance matrix estimation pro...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2020
ISSN: 1053-587X,1941-0476
DOI: 10.1109/tsp.2020.3043952