3 citations · 3 across the 2 of their papers we have counts for
3 papers
stat.ME2020
Breakdown points of penalized and hybrid M-estimators of covariance
David E. Tyler, Mengxi Yi
We introduce a class of hybrid M-estimators of multivariate scatter which, analogous to the popular spatial sign covariance matrix (SSCM), possess high breakdown points. We also sh…
math.ST2019★ 3 cited
Shrinking the Sample Covariance Matrix using Convex Penalties on the Matrix-Log Transformation
David E. Tyler, Mengxi Yi
For -dimensional data, penalized versions of the sample covariance matrix are important when the sample size is small or modest relative to . Since the negative log-likelihoo…
stat.ME2018
Lassoing Eigenvalues
David E. Tyler, Mengxi Yi
The properties of penalized sample covariance matrices depend on the choice of the penalty function. In this paper, we introduce a class of non-smooth penalty functions for the sam…