Methods of L1 estimation of a covariance matrix Export

@article{citeulike:6057037, abstract = {The classical relationship between the spectral decomposition of a covariance matrix and the estimation of its principal components is utilized in obtaining robust covariance matrix estimates from robust estimates of the principal components, based on L 1 formulations. The performance of these estimates is studied using some problematical data sets discussed in the literature.}, author = {Galpin, J.}, citeulike-article-id = {6057037}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/0167-9473(87)90054-5}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/0167-9473(87)90054-5}, doi = {10.1016/0167-9473(87)90054-5}, issn = {01679473}, journal = {Computational Statistics \& Data Analysis}, month = {September}, number = {4}, pages = {305--319}, posted-at = {2009-11-02 17:57:19}, priority = {2}, title = {Methods of L1 estimation of a covariance matrix}, url = {http://dx.doi.org/10.1016/0167-9473(87)90054-5}, volume = {5}, year = {1987} }

TY - JOUR ID - citeulike:6057037 L3 - citeulike-article-id:6057037 N2 - The classical relationship between the spectral decomposition of a covariance matrix and the estimation of its principal components is utilized in obtaining robust covariance matrix estimates from robust estimates of the principal components, based on L 1 formulations. The performance of these estimates is studied using some problematical data sets discussed in the literature. IS - 4 JF - Computational Statistics & Data Analysis SN - 01679473 EP - 319 TI - Methods of L1 estimation of a covariance matrix VL - 5 SP - 305 AU - Galpin, J PY - 1987/09// UR - http://dx.doi.org/10.1016/0167-9473(87)90054-5 ER -