Modified Distribution-Free Goodness-of-Fit Test Statistic
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DOI: 10.1007/s11336-017-9574-9
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- Viet Anh Nguyen & Daniel Kuhn & Peyman Mohajerin Esfahani, 2018. "Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator," Papers 1805.07194, arXiv.org.
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Keywords
covariance structures; distribution-free test statistic; asymptotics; Chi-square distribution; ill-conditioned problem;All these keywords.
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