Highly Robust Estimation of Dispersion Matrices
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- Reisen, Valdério Anselmo & Sgrancio, Adriano Marcio & Lévy-Leduc, Céline & Bondon, Pascal & Monte, Edson Zambon & Aranda Cotta, Higor Henrique & Ziegelmann, Flávio Augusto, 2019. "Robust factor modelling for high-dimensional time series: An application to air pollution data," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 842-852.
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- Shevlyakov, G.L. & Smirnov, P.O. & Shin, V.I. & Kim, K., 2012. "Asymptotically minimax bias estimation of the correlation coefficient for bivariate independent component distributions," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 59-65.
- Jushan Bai & Serena Ng, 2017. "Principal Components and Regularized Estimation of Factor Models," Papers 1708.08137, arXiv.org, revised Nov 2017.
- Cristian F. Jiménez‐Varón & Fouzi Harrou & Ying Sun, 2024. "Pointwise data depth for univariate and multivariate functional outlier detection," Environmetrics, John Wiley & Sons, Ltd., vol. 35(5), August.
- Tarr, G. & Müller, S. & Weber, N.C., 2016. "Robust estimation of precision matrices under cellwise contamination," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 404-420.
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Keywords
breakdown point componentwise influence function robustness scale estimator;Statistics
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