Mathematics
8 years ago

New method for estimating covariance matrix reduces sensitivity to outliers.

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Rank Covariance Matrix for a Partially Known Covariance Matrix
Kristi Kuljus, Dietrich von Rosen

Paper Summary

The article discusses a new way to estimate a special type of covariance matrix when only part of the original matrix is known. By using certain properties of this new matrix, researchers were able to simplify the estimation process, especially when dealing with large amounts of data. This method can help reduce the impact of outliers in statistical analysis.

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