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Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions
IEEE Transactions on Information Theory ( IF 2.2 ) Pub Date : 2014-12-01 , DOI: 10.1109/tit.2014.2360980
Tuo Zhao 1 , Han Liu 2
Affiliation  

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.

中文翻译:

高维椭圆分布的校准精度矩阵估计

我们提出了一种估计高维椭圆分布的精度矩阵的半参数方法。与大多数现有方法不同,我们的方法自然地处理重尾,并在校准框架下进行参数估计,从而在重尾应用中提高了理论收敛速度和有限样本性能。我们使用彻底的数值实验进一步证明了所提出方法的性能。
更新日期:2014-12-01
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