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ROCKET

ROCKET is a method for computing asymptotically normal estimates of each entry of $\Omega$, which is designed for the transelliptical model.

  • Preprint: Barber & Kolar 2015, "ROCKET: Robust Confidence Intervals via Kendall's Tau for Transelliptical Graphical Models", http://arxiv.org/abs/1502.07641

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