Calibrated precision matrix estimation for high-dimensional elliptical distributions

Tuo Zhao, Han Liu

Research output: Contribution to journalArticle

12 Scopus citations

Abstract

We propose a semiparametric method for estimating a precision matrix of high-dimensional elliptical distributions. Unlike most existing methods, our method naturally handles heavy tailness and conducts parameter estimation under a calibration framework, thus achieves improved theoretical rates of convergence and finite sample performance on heavy-tail applications. We further demonstrate the performance of the proposed method using thorough numerical experiments.

Original languageEnglish (US)
Article number6913534
Pages (from-to)7874-7887
Number of pages14
JournalIEEE Transactions on Information Theory
Volume60
Issue number12
DOIs
StatePublished - Dec 1 2014

All Science Journal Classification (ASJC) codes

  • Information Systems
  • Computer Science Applications
  • Library and Information Sciences

Keywords

  • Calibrated Estimation
  • Elliptical Distribution
  • Heavy-tailness
  • Precision Matrix
  • Semiparametric Model

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