Related papers: Robust Factor Analysis Parameter Estimation
This paper develops a novel hybrid approach for estimating the mixture model of $t$-factor analyzers (MtFA) that employs multivariate $t$-distribution and factor model to cluster and characterize grouped data. The traditional estimation…
In this paper, we mainly focus on the penalized maximum likelihood estimation (MLE) of the high-dimensional approximate factor model. Since the current estimation procedure can not guarantee the positive definiteness of the error covariance…
We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis (PCA) does not efficiently estimate the…
The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual…
The class of $\alpha$-stable distributions with a wide range of applications in economics, telecommunications, biology, applied, and theoretical physics. This is due to the fact that it possesses both the skewness and heavy tails. Since…
This paper gives two theoretical results on estimating low-rank parameter matrices for linear models with multivariate responses. We first focus on robust parameter estimation of low-rank multi-task learning with heavy-tailed data and…
Analysis of matrix-variate data is becoming increasingly common in the literature, particularly in the field of clustering and classification. It is well-known that real data, including real matrix-variate data, often exhibit high levels of…
Bai (2010) and Bai et al. (2012) proposed robust mixture regression method based on the M regression estimation. However, the M-estimators are robust against the outliers in response variables, but they are not robust against the outliers…
This work considers Maximum Likelihood Estimation (MLE) of a Toeplitz structured covariance matrix. In this regard, an equivalent reformulation of the MLE problem is introduced and two iterative algorithms are proposed for the optimization…
Due to its heavy-tailed and fully parametric form, the multivariate generalized Gaussian distribution (MGGD) has been receiving much attention for modeling extreme events in signal and image processing applications. Considering the…
Estimating a high-dimensional sparse covariance matrix from a limited number of samples is a fundamental problem in contemporary data analysis. Most proposals to date, however, are not robust to outliers or heavy tails. Towards bridging…
This work proposes a generative modeling-aided channel estimator based on mixtures of factor analyzers (MFA). In an offline step, the parameters of the generative model are inferred via an expectation-maximization (EM) algorithm in order to…
We propose estimating the scale parameter (mean of the eigenvalues) of the scatter matrix of an unspecified elliptically symmetric distribution using weights obtained by solving Tyler's M-estimator of the scatter matrix. The proposed…
Heavy-tailed distributions are widely used in robust mixture modelling due to possessing thick tails. As a computationally tractable subclass of the stable distributions, sub-Gaussian $\alpha$-stable distribution received much interest in…
Latent factor models that integrate data from multiple sources/studies or modalities have garnered considerable attention across various disciplines. However, existing methods predominantly focus either on multi-study integration or…
Fan et al. [$\mathit{Annals}$ $\mathit{of}$ $\mathit{Statistics}$ $\textbf{47}$(6) (2019) 3009-3031] constructed a distributed principal component analysis (PCA) algorithm to reduce the communication cost between multiple servers…
In this paper, we discuss computational aspects to obtain accurate inferences for the parameters of the generalized gamma (GG) distribution. Usually, the solution of the maximum likelihood estimators (MLE) for the GG distribution have no…
We propose and analyze a new estimator of the covariance matrix that admits strong theoretical guarantees under weak assumptions on the underlying distribution, such as existence of moments of only low order. While estimation of covariance…
Over the last decades, the family of $\alpha$-stale distributions has proven to be useful for modelling in telecommunication systems. Particularly, in the case of radar applications, finding a fast and accurate estimation for the amplitude…
We propose a new testing procedure about the tail weight parameter of multivariate Student $t$ distributions by having recourse to the Le Cam methodology. Our test is asymptotically as efficient as the classical likelihood ratio test, but…