The random matrix regime of Maronna's M-estimator with elliptically distributed samples

DOI10.1016/j.jmva.2015.02.020zbMath1320.62174arXiv1311.7034OpenAlexW2143045817WikidataQ57437089 ScholiaQ57437089MaRDI QIDQ2350052

Jack W. Silverstein, Romain Couillet, Frédéric P. Pascal

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.7034

zbMATH Keywords

random matrix theoryrobust estimationelliptical distribution

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Random matrices (probabilistic aspects) (60B20) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (14)

Marčenko-Pastur law for Tyler's M-estimator ⋮ Kernel spectral clustering of large dimensional data ⋮ Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds ⋮ Efficient computation of limit spectra of sample covariance matrices ⋮ A random matrix approach to neural networks ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator ⋮ The random matrix regime of Maronna's estimator for observations corrupted by elliptical noise ⋮ Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators ⋮ Tyler's and Maronna's M-estimators: non-asymptotic concentration results ⋮ Optimal cleaning for singular values of cross-covariance matrices ⋮ Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals ⋮ Robust spiked random matrices and a robust G-MUSIC estimator ⋮ Cleaning large correlation matrices: tools from random matrix theory ⋮ Asymptotic properties on high-dimensional multivariate regression M-estimation

Uses Software

• robustbase

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