Robust Estimation of Transition Matrices in High Dimensional Heavy-tailed Vector Autoregressive Processes
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Huitong Qiu, Sheng Xu, Fang Han, Han Liu, Brian Caffo
Robust Estimation of Transition Matrices in High Dimensional Heavy-tailed Vector Autoregressive Processes
ICML, 2015.

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@inproceedings{ICML-2015-QiuXHLC,
	author        = "Huitong Qiu and Sheng Xu and Fang Han and Han Liu and Brian Caffo",
	booktitle     = "{Proceedings of the 32nd International Conference on Machine Learning}",
	ee            = "http://jmlr.org/proceedings/papers/v37/qiu15.html",
	pages         = "1843--1851",
	publisher     = "{JMLR.org}",
	series        = "{JMLR Proceedings}",
	title         = "{Robust Estimation of Transition Matrices in High Dimensional Heavy-tailed Vector Autoregressive Processes}",
	volume        = 37,
	year          = 2015,
}

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