Methods of L1 estimation of a covariance matrix

Jacqueline S. Galpin, Douglas M. Hawkins

Research output: Contribution to journalArticlepeer-review

29 Scopus citations


The classical relationship between the spectral decomposition of a covariance matrix and the estimation of its principal components is utilized in obtaining robust covariance matrix estimates from robust estimates of the principal components, based on L1 formulations. The performance of these estimates is studied using some problematical data sets discussed in the literature.

Original languageEnglish (US)
Pages (from-to)305-319
Number of pages15
JournalComputational Statistics and Data Analysis
Issue number4
StatePublished - Sep 1987


  • Covariance matrix estimation
  • L norm
  • Linear and quadratic programming
  • Principal component estimation
  • Robust estimation


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