Robust $M$-Estimation of Scatter Matrices via Precision Structure Shrinkage

arXiv:2601.11099v2 Announce Type: replace-cross Abstract: Maronna's and Tyler's $M$-estimators are among the most widely used robust estimators for scatter matrices. However, when the dimension of observations is relatively high, their performance can substantially deteriorate...

🔗 Read more: https://arxiv.org/abs/2601.11099

#News #Policy #Academic