Tag: computationally

Fast and Robust: Computationally Efficient Covariance Estimation for Sub-Weibull Vectors arXiv:2512.17632v1 Announce Type: new Abstract: High-dimensional covariance estimation is notoriously sensitive to outliers. While statistically optimal estimators exist for general heavy-tailed distributions, they often rely on computationally expensive techniques like semidefinite programming or iterative M-estimation ($O(d^3)$). In this work, we target the specific regime of…