Robust shrinkage M-estimators of large covariance matrices

Nicolas Auguin, David Morales-Jiménez, Matthew R. McKay, Romain Couillet. Robust shrinkage M-estimators of large covariance matrices. In IEEE Statistical Signal Processing Workshop, SSP 2016, Palma de Mallorca, Spain, June 26-29, 2016. pages 1-4, IEEE, 2016. [doi]

Authors

Nicolas Auguin

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David Morales-Jiménez

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Matthew R. McKay

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Romain Couillet

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