Large Dimensional Analysis of Robust M-Estimators of Covariance With Outliers

DOI10.1109/TSP.2015.2460225zbMath1394.62070arXiv1503.01245OpenAlexW1632651649MaRDI QIDQ4580893

Romain Couillet, David Morales-Jimenez, Matthew R. McKay

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.01245

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Marčenko-Pastur law for Tyler's M-estimator ⋮ Efficient computation of limit spectra of sample covariance matrices ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator ⋮ Tyler's and Maronna's M-estimators: non-asymptotic concentration results ⋮ Regression analysis: likelihood, error and entropy ⋮ Robust spiked random matrices and a robust G-MUSIC estimator

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