conftrace_

covariance matrix estimation

10 papers

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Co-occurring keywords

shrinkage estimation (8) covariance matrix (101) shrinkage estimator (11) robust estimation (168) multi-task regression (10) node clustering (25) matrix estimation (34) high dimensional estimation (4) analytic shrinkage (1) matrix regularization (8)

Papers

Two is Better Than One: Regularized Shrinkage of Large Minimum Variance Portfolios JMLR 2024
Statistical inference with implicit SGD: proximal Robbins-Monro vs. Polyak-Ruppert ICML 2022
Factor Analysis on a Graph AISTATS 2018
Toward Efficient and Accurate Covariance Matrix Estimation on Compressed Data ICML 2017
Estimation of the covariance structure of heavy-tailed distributions NIPS 2017
Loss Minimization and Parameter Estimation with Heavy Tails JMLR 2016
Equivalence of Graphical Lasso and Thresholding for Sparse Graphs JMLR 2016
Covariance shrinkage for autocorrelated data NIPS 2014
Generalizing Analytic Shrinkage for Arbitrary Covariance Structures NIPS 2013
Sparse Bayesian Multi-Task Learning NIPS 2011