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Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions

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

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dc.contributor.authorZhao, Tuo-
dc.contributor.authorLiu, Han-
dc.identifier.citationZhao, 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.2014.2360980en_US
dc.description.abstractWe 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.en_US
dc.format.extent7874 - 7887en_US
dc.relation.ispartofIEEE Transactions on Information Theoryen_US
dc.rightsAuthor's manuscripten_US
dc.titleCalibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributionsen_US
dc.typeJournal Articleen_US

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