Methods of L1 estimation of a covariance matrix
Jacqueline S. Galpin, Douglas M. Hawkins · RePEc: Research Papers in Economics
The classical relationship between the spectral decomposition of a covariance matrix and the estimation of its principal components is utilized in obtaining robust covariance matrix estimates from robust estimates of the principal components, based on L, formulations. The performance of these estimates is studied using some problematical data sets discussed in the literature.