2 papers
math.ST2026
Distributional stability of sparse inverse covariance matrix estimators
Renjie Chen, Huifu Xu, Henryk Zähle
Finding an approximation of the inverse of the covariance matrix, also known as precision matrix, of a random vector with empirical data is widely discussed in finance and engineer…
stat.ML2025
SCOPE: Spectral Concentration by Distributionally Robust Joint Covariance-Precision Estimation
Renjie Chen, Viet Anh Nguyen, Huifu Xu
We propose a distributionally robust formulation for simultaneously estimating the covariance matrix and the precision matrix of a random vector.The proposed model minimizes the wo…