Distributionally robust inverse covariance estimation : the Wasserstein shrinkage estimator
Viet Anh Nguyen, Daniel Kuhn, Peyman Mohajerin Esfahani
| Year of publication: |
2022
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| Authors: | Viet Anh Nguyen ; Kuhn, Daniel ; Mohajerin Esfahani, Peyman |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 1, p. 490-515
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| Subject: | data-driven optimization | distributionally robust optimization | Machine Learning and Data Science | maximum likelihood estimation | shrinkage estimator | Wasserstein distance | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics | Künstliche Intelligenz | Artificial intelligence | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2020.2076 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012820667