Robust sparse covariance estimation by thresholding Tyler's m-estimator

Keyphrases

• Sparse Covariance Matrix 100%
• M-estimator 100%
• Robustness to Outliers 100%
• Minimax Rate 100%
• Heavy Tails 100%
• Joint Limits 100%
• Sparse Inverse Covariance Estimation 100%
• Elliptical Distribution 100%
• Tyler's M-estimator 100%
• Shape Matrix 100%
• Rate-optimal 100%
• Sampling numbers 100%
• Sparse Shapes 100%

Mathematics

• Thresholding 100%
• Covariance 100%
• Matrix 50%
• Covariance Matrix 50%
• Minimax 50%
• Heavy Tail 50%
• Elliptical Distribution 50%
• M-Estimator 50%
• Simulated Data 50%