Pedro Abdalla

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20212026

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math.ST2024

Covariance estimation with direction dependence accuracy

Pedro Abdalla, Shahar Mendelson

We construct an estimator $Σ$ for covariance matrices of unknown, centred random vectors X, with the given data consisting of N independent measurements $X_{1}, ..., X_{N}$ of X…

math.ST2023

Covariance Estimation under Missing Observations and $L_{4} - L_{2}$ Moment Equivalence

Pedro Abdalla

We consider the problem of estimating the covariance matrix of a random vector by observing i.i.d samples and each entry of the sampled vector is missed with probability $p$ . Under…

Covariance estimation with direction dependence accuracy

Covariance Estimation under Missing Observations and L4​−L2​ Moment Equivalence

Covariance Estimation under Missing Observations and $L_{4} - L_{2}$ Moment Equivalence