120 citations · 262 across the 6 of their papers we have counts for
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stat.ME2023
Robust and Resistant Regularized Covariance Matrices
David E. Tyler, Mengxi Yi, Klaus Nordhausen
We introduce a class of regularized M-estimators of multivariate scatter and show, analogous to the popular spatial sign covariance matrix (SSCM), that they possess high breakdown…
stat.ME2016★ 23 cited
Simultaneous penalized M-estimation of covariance matrices using geodesically convex optimization
Esa Ollila, Ilya Soloveychik, David E. Tyler +1
A common assumption when sampling -dimensional observations from distinct group is the equality of the covariance matrices. In this paper, we propose two penalized -estim…
stat.ME2016★ 10 cited
Geodesic Convexity and Regularized Scatter Estimators
Lutz Duembgen, David E. Tyler
As observed by Auderset et al. (2005) and Wiesel (2012), viewing covariance matrices as elements of a Riemannian manifold and using the concept of geodesic convexity provide useful…