To cite 'fitHeavyTail' in publications, please use:

D. P. Palomar, R. Zhou, X. Wang, F. Pascal, and E. Ollila (2023). fitHeavyTail: Mean and Covariance Matrix Estimation under Heavy Tails. R package version 0.2.0. https://CRAN.R-project.org/package=fitHeavyTail

Y. Sun, P. Babu, and D. P. Palomar (2014). Regularized Tyler’s scatter estimator: Existence, uniqueness, and algorithms. IEEE Transactions on Signal Processing, vol. 62, no. 19, pp. 5143-5156. https://doi.org/10.1109/TSP.2014.2348944

Y. Sun, P. Babu, and D. P. Palomar (2015). Regularized robust estimation of mean and covariance matrix under heavy-tailed distributions. IEEE Transactions on Signal Processing, vol. 63, no. 12, pp. 3096-3109. https://doi.org/10.1109/TSP.2015.2417513

E. Ollila, D. P. Palomar, and F. Pascal (2021). Shrinking the Eigenvalues of M-estimators of Covariance Matrix. IEEE Transactions on Signal Processing, vol. 69, pp. 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 R. Zhou and X. Wang and F. Pascal and
      E. Ollila},
    note = {R package version 0.2.0},
    year = {2023},
    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},
  }