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math.ST2026
High-Dimensional Regularization of the Spatial Sign Covariance Matrix for Robust Shape Estimation
Jonas Elmerraji, James C. Spall, Mateo Díaz
Covariance estimation is a key component of many applications in system identification and data-driven control. Although heavy-tailed distributions may lack a covariance matrix to…
math.ST2013★ 4 cited
Relative Performance of Expected and Observed Fisher Information in Covariance Estimation for Maximum Likelihood Estimates
Xumeng Cao
Maximum likelihood estimation is a popular method in statistical inference. As a way of assessing the accuracy of the maximum likelihood estimate (MLE), the calculation of the cova…