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Nguyen, Viet Anh (author), Kuhn, Daniel (author), Mohajerin Esfahani, P. (author)We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a p-dimensional Gaussian random vector from n independent samples. The proposed model minimizes the worst case (maximum) of Stein’s loss across all normal reference distributions within a...journal article 2022