Inference of Elliptical Copulas and Elliptical Distributions
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Updated
Sep 11, 2024 - R
Inference of Elliptical Copulas and Elliptical Distributions
Code for the paper E. Raninen and E. Ollila, "Bias Adjusted Sign Covariance Matrix," in IEEE Signal Processing Letters, vol. 29, pp. 339-343, 2022, doi: 10.1109/LSP.2021.3134940.
Code for the paper E. Raninen, D. E. Tyler and E. Ollila, "Linear pooling of sample covariance matrices," in IEEE Transactions on Signal Processing, Vol 70, pp. 659-672, 2022, doi: 10.1109/TSP.2021.3139207.
Code for the paper E. Raninen and E. Ollila, “Coupled regularized sample covariance matrix estimator for multiple classes,” in IEEE Transactions on Signal Processing, vol. 69, pp. 5681–5692, 2021, doi: 10.1109/TSP.2021.3118546.
R package for estimation of elliptical extreme quantile regions
Simulations for an article about extreme quantile region estimation
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