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.
@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,
}