To cite 'fitHeavyTail' in publications, please use:

Palomar DP, Zhou R, Wang X (2022). fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails. R package version 0.1.4, https://CRAN.R-project.org/package=fitHeavyTail.

Sun Y, Babu P, Palomar DP (2014). “Regularized Tyler’s scatter estimator: Existence, uniqueness, and algorithms.” IEEE Transactions on Signal Processing, 62(19), 5143–5156. https://doi.org/10.1109/TSP.2014.2348944.

Sun Y, Babu P, Palomar DP (2015). “Regularized robust estimation of mean and covariance matrix under heavy-tailed distributions.” IEEE Transactions on Signal Processing, 63(12), 3096–3109. https://doi.org/10.1109/TSP.2015.2417513.

Ollila E, Palomar DP, Pascal F (2021). “Shrinking the Eigenvalues of M-estimators of Covariance Matrix.” IEEE Transactions on Signal Processing, 69, 256–269. https://doi.org/10.1109/TSP.2020.3043952.

Corresponding BibTeX entries:

  @Manual{,
    title = {{fitHeavyTail: Mean and Covariance Matrix Estimation under
      Heavy Tails}},
    author = {D. P. Palomar and Rui Zhou and Xiwen Wang},
    note = {R package version 0.1.4},
    year = {2022},
    url = {https://CRAN.R-project.org/package=fitHeavyTail},
  }

  @Article{,
    title = {Regularized Tyler’s scatter estimator: Existence,
      uniqueness, and algorithms},
    author = {Y. Sun and P. Babu and D. P. Palomar},
    journal = {IEEE Transactions on Signal Processing},
    volume = {62},
    number = {19},
    pages = {5143--5156},
    year = {2014},
    url = {https://doi.org/10.1109/TSP.2014.2348944},
  }

  @Article{,
    title = {Regularized robust estimation of mean and covariance
      matrix under heavy-tailed distributions},
    author = {Y. Sun and P. Babu and D. P. Palomar},
    journal = {IEEE Transactions on Signal Processing},
    volume = {63},
    number = {12},
    pages = {3096--3109},
    year = {2015},
    url = {https://doi.org/10.1109/TSP.2015.2417513},
  }

  @Article{,
    title = {Shrinking the Eigenvalues of M-estimators of Covariance
      Matrix},
    author = {E. Ollila and D. P. Palomar and F. Pascal},
    journal = {IEEE Transactions on Signal Processing},
    volume = {69},
    pages = {256--269},
    year = {2021},
    url = {https://doi.org/10.1109/TSP.2020.3043952},
  }