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Regularized <formula formulatype="inline"><tex Notation="TeX">$M$</tex> </formula>-Estimators of Scatter Matrix
In this paper, a general class of regularized $M$-estimators of scatter matrix are proposed which are suitable also for low or insufficient sample support (small $n$ and large $p$) problems. The considered class constitutes a natural generalization of $M$-estimators of scatter matrix (Maronna, 1976) and are defined as a solution …