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stat.ME2026
Online robust covariance matrix estimation and outlier detection
Paul Guillot, Antoine Godichon-Baggioni, Stéphane Robin +1
Robust estimation of the covariance matrix and detection of outliers remain major challenges in statistical data analysis, particularly when the proportion of contaminated observat…
stat.ME2024
A Structured Estimator for large Covariance Matrices in the Presence of Pairwise and Spatial Covariates
Martin Metodiev, Marie Perrot-Dockès, Sarah Ouadah +4
We consider the problem of estimating a high-dimensional covariance matrix from a small number of observations when covariates on pairs of variables are available and the variables…