Robust regularized covariance matrix estimation: well-posedness and convergent algorithm
稳健正则化协方差矩阵估计:适定性与收敛算法
In this paper, we study properties of penalized and structured M-estimators of multivariate scatter, based on geodesically convex but not necessarily smooth penalty functions. Existence and uniqueness conditions for these penalized and structured estimators are given. However, we show that the standard fixed-point algorithm which is usually applied to an M-estimation problem does not necessarily converge for penalized M-estimation problems. Hence, we develop a new but simple…