10 citations · 13 across the 5 of their papers we have counts for
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stat.AP2018
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…
stat.AP2018
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…