Methods of L 1 -estimation of a covariance matrix
作者： Jacqueline S. Galpin , Douglas M. Hawkins
DOI: 10.1016/0167-9473(87)90054-5
关键词: Covariance 、 Law of total covariance 、 Scatter matrix 、 Applied mathematics 、 Matérn covariance function 、 Estimation of covariance matrices 、 Principal component analysis 、 Covariance function 、 Covariance matrix 、 Mathematics 、 Statistics
摘要: Abstract The classical relationship between the spectral decomposition of a covariance matrix and estimation its principal components is utilized in obtaining robust estimates from components, based on L 1 formulations. performance these studied using some problematical data sets discussed literature.
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