Estimation of the inverse scatter matrix of an elliptically symmetric distribution
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DOI: 10.1016/j.jmva.2015.08.012
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- Haddouche, Anis M. & Fourdrinier, Dominique & Mezoued, Fatiha, 2021. "Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
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Keywords
Elliptically symmetric distributions; High-dimensional statistics; Moore–Penrose inverse; Inverse scatter matrix; Quadratic loss; Singular sample covariance matrix; Sample eigenvalues; Stein–Haff identity;All these keywords.
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