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Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions

Author(s): Zhao, Tuo; Liu, Han

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Abstract: We propose a semiparametric method for estimating a precision matrix of high-dimensional elliptical distributions. Unlike most existing methods, our method naturally handles heavy tailness and conducts parameter estimation under a calibration framework, thus achieves improved theoretical rates of convergence and finite sample performance on heavy-tail applications. We further demonstrate the performance of the proposed method using thorough numerical experiments.
Publication Date: Dec-2014
Citation: Zhao, Tuo, Liu, Han. (2014). Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions. IEEE Transactions on Information Theory, 60 (12), 7874 - 7887. doi:10.1109/TIT.2014.2360980
DOI: doi:10.1109/TIT.2014.2360980
ISSN: 0018-9448
EISSN: 1557-9654
Pages: 7874 - 7887
Type of Material: Journal Article
Journal/Proceeding Title: IEEE Transactions on Information Theory
Version: Author's manuscript

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