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20132024
most citedTyler's Covariance Matrix Estimator in Elliptical Models with Convex Structure

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math.ST2013

Covariance Estimation in Elliptical Models with Convex Structure

Ilya Soloveychik, Ami Wiesel

We address structured covariance estimation in Elliptical distribution. We assume it is a priori known that the covariance belongs to a given convex set, e.g., the set of Toeplitz…