Robust covariance estimation and linear shrinkage in the large dimensional regime.

Romain Couillet Matthew R. McKay

Published in: MLSP (2014)

Keyphrases

robust estimation
covariance matrix
estimation error
covariance matrices
closed form
density estimation
robust regression
computationally efficient
multi dimensional
wavelet domain
data sets
genetic algorithm
closed form solutions
robust optimization
orientation estimation
robust estimator
neural network