10 citations · 13 across the 5 of their papers we have counts for
3 papers · 1 filter
On the asymptotics of Maronna's robust PCA
Gordana Draskovic, Arnaud Breloy, Frederic Pascal
The eigenvalue decomposition (EVD) parameters of the second order statistics are ubiquitous in statistical analysis and signal processing. Notably, the EVD of robust scatter -es…
Improving Portfolios Global Performance with Robust Covariance Matrix Estimation: Application to the Maximum Variety Portfolio
Emmanuelle Jay, Eugénie Terreaux, Jean-Philippe Ovarlez +1
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The partic…
Convergence of Structured Quadratic Forms With Application to Theoretical Performances of Adaptive Filters in Low Rank Gaussian Context
Alice Combernoux, Frederic Pascal, Guillaume Ginolhac +1
This paper addresses the problem of deriving the asymptotic performance of adaptive Low Rank (LR) filters used in target detection embedded in a disturbance composed of a LR Gaussi…