We also investigate Huber-type estimators for the covariance and precision matrices of the process with (2 + 2ϵ)th moments, for some 0 < ϵ ≤ 1, and present the convergence rates for robust ...

Equivalently, x (1) is the largest principal component variance of the covariance matrix X'X, or the largest eigenvalue of a p-variate Wishart distribution on n degrees of freedom with identity ...