Related papers: Properties of a new $R$-estimator of shape matrice…
This paper proposes an original Riemmanian geometry for low-rank structured elliptical models, i.e., when samples are elliptically distributed with a covariance matrix that has a low-rank plus identity structure. The considered geometry is…
The traditional class of elliptical distributions is extended to allow for asymmetries. A completely robust dispersion matrix estimator (the `spectral estimator') for the new class of `generalized elliptical distributions' is presented. It…
This chapter reviews methods for linear shrinkage of the sample covariance matrix (SCM) and matrices (SCM-s) under elliptical distributions in single and multiple populations settings, respectively. In the single sample setting a popular…
The matrix exponential spatial models exhibit similarities to the conventional spatial autoregressive model in spatial econometrics but offer analytical, computational, and interpretive advantages. This paper provides a comprehensive review…
Classical least squares estimators are well-known to be robust with respect to moment assumptions concerning the error distribution in a wide variety of finite-dimensional statistical problems; generally only a second moment assumption is…
Ridge estimator is an alternative to ordinary least square estimator when there is multicollinearity problem. There are many proposed estimators in literature. In this paper, we propose new estimators which are modifications of the…
In this paper we consider Tyler's robust covariance M-estimator under group symmetry constraints. We assume that the covariance matrix is invariant to the conjugation action of a unitary matrix group, referred to as group symmetry. Examples…
Asymptotic properties of scatter estimators for elliptical graphical models are studied. Such models impose a given pattern of zeros on the inverse of the shape matrix of an elliptically distributed random vector. In particular, we…
Elliptically symmetric distributions are widely used in portfolio modeling, as well as in signal processing applications for modeling impulsive background noises. Of particular interest are algorithms for covariance estimation and subspace…
The main aim of this paper is to extend the semiparametric inference methodology, recently investigated for Real Elliptically Symmetric (RES) distributions, to Complex Elliptically Symmetric (CES) distributions. The generalization to the…
This paper aims at providing a fresh look at semiparametric estimation theory and, in particular, at the Semiparametric Cram\'{e}r-Rao Bound (SCRB). Semiparametric models are characterized by a finite-dimensional parameter vector of…
In this paper, a general class of regularized $M$-estimators of scatter matrix are proposed which are suitable also for low or insufficient sample support (small $n$ and large $p$) problems. The considered class constitutes a natural…
We show that the limiting variance of a sequence of estimators for a structured covariance matrix has a general form that appears as the variance of a scaled projection of a random matrix that is of radial type and a similar result is…
We address high dimensional covariance estimation for elliptical distributed samples, which are also known as spherically invariant random vectors (SIRV) or compound-Gaussian processes. Specifically we consider shrinkage methods that are…
Covariance matrix estimation is an important problem in multivariate data analysis, both from theoretical as well as applied points of view. Many simple and popular covariance matrix estimators are known to be severely affected by model…
We consider estimation and inference in a single index regression model with an unknown convex link function. We introduce a convex and Lipschitz constrained least squares estimator (CLSE) for both the parametric and the nonparametric…
In this paper, we propose a new semiparametric regression estimator by using a hybrid technique of a parametric approach and a nonparametric penalized spline method. The overall shape of the true regression function is captured by the…
Compressive sensing (CS) is well-known for its unique functionalities of sensing, compressing, and security (i.e. CS measurements are equally important). However, there is a tradeoff. Improving sensing and compressing efficiency with prior…
Multi-component chirp signal models with equal chirp rates appear in various radar applications, e.g., synthetic aperture radar, echo signal of a rapid mobile target, etc. Many sub-optimal estimators have been developed for such models,…
We provide a unified approach to MM-estimation with auxiliary scale for balanced linear models with structured covariance matrices. This approach leads to estimators that are highly robust against outliers and highly efficient for normal…