Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions.
Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions.
复制标题
高维椭圆分布的校准精度矩阵估计。
DOI：
10.1109/tit.2014.2360980
复制
发表时间：
2014
影响因子：
2.5
通讯作者：
Liu,Han
中科院分区：
文献类型：
--
作者：
Zhao,Tuo;Liu,Han
We propose a semiparametric method for estimating a precision matrix of high-dimensional elliptical distributions. Unlike most existing methods, our method naturally handles heavy tailness and conducts parameter estimation under a calibration framework, thus achieves improved theoretical rates of convergence and finite sample performance on heavy-tail applications. We further demonstrate the performance of the proposed method using thorough numerical experiments.
