Presentation 2-3, 4:00PM~4:30PM KST.
Speaker
Soma Nikai (Kyushu University)
Title
A Study on Robust Covariance Structure Estimation with Precision Matrix Estimation.
Abstract
Tyler's M-estimation (TME) is a celebrated method for robust estimation of covariance structure. Firstly, we give a brief review of TME and related existing methods, as well as scenarios where their performances degrade. Then, we propose an algorithm involving linear shrinkage estimation of the precision matrix. Finally, we compare the proposed method and existing methods through numerical simulations.