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Showing 1 to 1 of 1 for “"Robust estimation of multivariate location and scatter"”.
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Highly Robust and Efficient Estimators of Multivariate Location and Covariance with Applications to Array Processing and Financial Portfolio Optimization
… stochastic data processing fields, mean and covariance matrices are commonly employed for purposes such as standardizing multivariate data through decorrelation. For practical applications, these matrices are usually estimated, and often, the data used for these estimates are non-Gaussian …