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math.ST2022★ 2 cited
Matrix Denoising with Partial Noise Statistics: Optimal Singular Value Shrinkage of Spiked F-Matrices
Matan Gavish, William Leeb, Elad Romanov
We study the problem of estimating a large, low-rank matrix corrupted by additive noise of unknown covariance, assuming one has access to additional side information in the form of…
math.ST2022★ 2 cited
Tyler's and Maronna's M-estimators: Non-Asymptotic Concentration Results
Elad Romanov, Gil Kur, Boaz Nadler
Tyler's and Maronna's M-estimators, as well as their regularized variants, are popular robust methods to estimate the scatter or covariance matrix of a multivariate distribution. I…