Estimation of the covariance structure of heavy-tailed distributions

Understand

We propose and analyze a new estimator of the covariance matrix that admits strong theoretical guarantees under weak assumptions on the underlying distribution, such as existence of moments of only low order.

• While estimation of covariance matrices corresponding to sub-Gaussian distributions is well-understood, much less in known in the case of heavy-tailed data.
• As K.
• Balasubramanian and M.