Robust sparse covariance estimation by thresholding Tyler’s M-estimator
Robust sparse covariance estimation by thresholding Tyler’s M-estimator
Estimating a high-dimensional sparse covariance matrix from a limited number of samples is a fundamental task in contemporary data analysis. Most proposals to date, however, are not robust to outliers or heavy tails. Toward bridging this gap, in this work we consider estimating a sparse shape matrix from $n$ samples …