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Covariance matrix estimation is one of the most important problems in statistics.
A new measure of rank correlation
Maurice G Kendall · 1938
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Ordinal measures of association
William H Kruskal · 1958
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Robust estimation of a location parameter
Peter J Huber · 1964
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A robust version of the probability ratio test
Peter J Huber · 1965
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The rotation of eigenvectors by a perturbation. III
Chandler Davis and William Morton Kahan · 1970
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A general qualitative definition of robustness
Frank R Hampel · 1971
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On the uniform convergence of relative frequencies of events to their probabilities
Vladimir N Vapnik and A Ya Chervonenkis · 1971
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Minimax tests and the Neyman-Pearson lemma for capacities
Peter J Huber and Volker Strassen · 1973
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T6: Order statistics, in mimeographed notes for Statistics 411
John W Tukey · 1974
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Mathematics and the picturing of data
John W Tukey · 1975
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Robust M-estimators of multivariate location and scatter
Ricardo Antonio Maronna · 1976
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Exploratory data analysis
John W Tukey · 1977
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Central limit theorems for empirical measures
Richard M Dudley · 1978
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Existence of submatrices with all possible columns
J Michael Steele · 1978
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Breakdown properties of multivariate location estimators
David L Donoho · 1982
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The notion of breakdown point
David L Donoho and Peter J Huber · 1983
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Descriptive statistics for multivariate distributions
Hannu Oja · 1983
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On the Huber-Strassen theorem
Andreas Buja · 1986
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Robust Regression and Outlier Detection
Annick M Leroy and Peter J Rousseeuw · 1987
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A distribution-free M-estimator of multivariate scatter
David E Tyler · 1987
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On the method of bounded differences
Colin McDiarmid · 1989
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Symmetric Multivariate and Related Distributions
Kai-Tai Fang, Samuel Kotz, and Kai Wang Ng · 1990
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On a notion of data depth based on random simplices
Regina Y Liu · 1990
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The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality
Pascal Massart · 1990
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Geometrizing rates of convergence, III
David L Donoho and Richard C Liu · 1991
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The asymptotics of Rousseeuw’s minimum volume ellipsoid estimator
Laurie Davies · 1992
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Breakdown properties of location estimates based on halfspace depth and projected outlyingness
David L Donoho and Miriam Gasko · 1992
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Asymptotics for the minimum covariance determinant estimator
RW Butler, PL Davies, and M Jhun · 1993
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Statistical estimation and optimal recovery
David L Donoho · 1994
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Analysis of functional MRI time-series
Karl J Friston, Peter Jezzard, and Robert Turner · 1994
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Sphere packing numbers for subsets of the Boolean n-cube with bounded Vapnik-Chervonenkis dimension
David Haussler · 1995
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Trend estimation and regression analysis in climatological time series: an application of structural time series models and the Kalman filter
H Visser and J Molenaar · 1995
On consistency and sparsity for principal components analysis in high dimensions
Iain M Johnstone and Arthur Yu Lu · 2009
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Sparsistency and rates of convergence in large covariance matrix estimation
Clifford Lam and Jianqing Fan · 2009
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Optimal rates of convergence for covariance matrix estimation
T Tony Cai, Cun-Hui Zhang, and Harrison H Zhou · 2010
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Introduction to the non-asymptotic analysis of random matrices
Roman Vershynin · 2010
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MASS: support functions and datasets for Venables and Ripley’s MASS
Brian Ripley · 2011
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Optimal rates of convergence for sparse covariance matrix estimation
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Assouad, Fano, and Le Cam
Bin Yu · 1997
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On Tyler’s M-functional of scatter in high dimension
Lutz Dümbgen · 1998
Cited alongside, same era.
Constructing the bivariate Tukey median
Peter J Rousseeuw and Ida Ruts · 1998
Cited alongside, same era.
Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
Christophe Croux and Gentiane Haesbroeck · 1999
Cited alongside, same era.
Multivariate analysis by data depth: descriptive statistics, graphics and inference,(with discussion and a rejoinder by Liu and Singh)
Regina Y Liu, Jesse M Parelius, and Kesar Singh · 1999
Cited alongside, same era.
Regression depth
Peter J Rousseeuw and Mia Hubert · 1999
Cited alongside, same era.
T Tony Cai and Harrison H Zhou · 2012
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Combinatorial Methods in Density Estimation
Luc Devroye and Gábor Lugosi · 2012
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Convergence of stochastic processes
David Pollard · 2012
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Minimax bounds for sparse PCA with noisy high-dimensional data
Aharon Birnbaum, Iain M Johnstone, Boaz Nadler, and Debashis Paul · 2013
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Fang Han and Han Liu · 2013
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Sparse principal component analysis and iterative thresholding
Zongming Ma · 2013
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Volume ratio, sparsity, and minimaxity under unitarily invariant norms
Zongming Ma and Yihong Wu · 2013
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Minimax sparse principal subspace estimation in high dimensions
Vincent Q Vu and Jing Lei · 2013
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Optimal estimation of sparse correlation matrices of semiparametric Gaussian copulas
Lingzhou Xue and Hui Zou · 2013
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PAGE: Robust pattern guided estimation of large covariance matrix
Jianqing Fan, Fang Han, and Han Liu · 2014
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Scale-invariant sparse PCA on high-dimensional meta-elliptical data
Fang Han and Han Liu · 2014
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Robust scatter matrix estimation for high dimensional distributions with heavy tails
Fang Han, Junwei Lu, and Han Liu · 2014
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Multivariate analysis of nonparametric estimates of large correlation matrices
Ritwik Mitra and Cun-Hui Zhang · 2014
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Rank-based tapering estimation of bandable correlation matrices
Lingzhou Xue and Hui Zou · 2014
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Optimal estimation and rank detection for sparse spiked covariance matrices
T Tony Cai, Zongming Ma, and Yihong Wu · 2015
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Variance breakdown of Huber (M)-estimators: n / p → m ∈ ( 1 , ∞ ) n/p\rightarrow m\in(1,\infty)
David L Donoho and Andrea Montanari · 2015
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Estimating structured high-dimensional covariance and precision matrices: Optimal rates and adaptive estimation
T Tony Cai, Zhao Ren, and Harrison H Zhou · 2016
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ECA: High dimensional elliptical component analysis in non-Gaussian distributions
Fang Han and Han Liu · 2016
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Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
Marten Wegkamp and Yue Zhao · 2016
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Marčenko–Pastur law for Tyler’s M-estimator
Teng Zhang, Xiuyuan Cheng, and Amit Singer · 2016
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Supplement to “Robust covariance and scatter matrix estimation under Huber’s contamination mode”
Mengjie Chen, Chao Gao, and Zhao Ren · 2017
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