390 citations · 1.5k across the 27 of their papers we have counts for
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stat.ME2023
Two new algorithms for maximum likelihood estimation of sparse covariance matrices with applications to graphical modeling
Ghania Fatima, Prabhu Babu, Petre Stoica
In this paper, we propose two new algorithms for maximum-likelihood estimation (MLE) of high dimensional sparse covariance matrices. Unlike most of the state of-the-art methods, wh…
stat.ME2023★ 16 cited
Low-rank covariance matrix estimation for factor analysis in anisotropic noise: application to array processing and portfolio selection
Petre Stoica, Prabhu Babu
Factor analysis (FA) or principal component analysis (PCA) models the covariance matrix of the observed data as R = SS' + Σ, where SS' is the low-rank covariance matrix of the fact…
stat.ME2014★ 84 cited
Regularized Tyler's Scatter Estimator: Existence, Uniqueness, and Algorithms
Ying Sun, Prabhu Babu, Daniel P. Palomar
This paper considers the regularized Tyler's scatter estimator for elliptical distributions, which has received considerable attention recently. Various types of shrinkage Tyler's…