Huitong Qiu, Sheng Xu, Fang Han, Han Liu, Brian Caffo. Robust Estimation of Transition Matrices in High Dimensional Heavy-tailed Vector Autoregressive Processes. In Francis R. Bach, David M. Blei, editors, Proceedings of the 32nd International Conference on Machine Learning, ICML 2015, Lille, France, 6-11 July 2015. Volume 37 of JMLR Proceedings, pages 1843-1851, JMLR.org, 2015. [doi]
Abstract is missing.