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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…
stat.ML2013
Group Symmetry and non-Gaussian Covariance Estimation
Ilya Soloveychik, Ami Wiesel
We consider robust covariance estimation with group symmetry constraints. Non-Gaussian covariance estimation, e.g., Tyler scatter estimator and Multivariate Generalized Gaussian di…