A fast and slightly robust covariance estimator

John Duchi, Saminul Haque, Rohith Kuditipudi

Let $\mathcal{Z}=\{Z_1,\dots ,Z_n\}\stackrel{i.i.d.}{\sim }P\subset {\mathbb{R}}^d$ from a distribution $P$ with mean zero and covariance $\Sigma$. Given a dataset $\mathcal…