3 citations · 3 across the 3 of their papers we have counts for
Showing stat.MEShow all
2 papers · 1 filter
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…
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…