A Concentration of Measure and Random Matrix Approach to Large Dimensional Robust Statistics

DOI10.1214/22-AAP1801MaRDI QIDQ6343112arXivFDO

Authors Cosme Louart, R. Couillet

Publication date 17 June 2020

Published in arXiv

Full work available at URL https://doi.org/10.1214/22-AAP1801

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Robustness and adaptive procedures (parametric inference) (62F35)

arXiv classification

math.PRstat.ML

Abstract: This article studies the emph{robust covariance matrix estimation} of a data collection $X=(x_1,ldots,x_n)$ with $x_i=sqrta{u}_i{z}_i+m$, where $z_{i}inmathbb{R}^p$ is a extit{concentrated vector} (e.g., an elliptical random vector), $minmathbb{R}^p$ a deterministic signal and $a{u}_{i}inmathbbR$ a scalar perturbation of possibly large amplitude, under the assumption where both $n$ and $p$ are large. This estimator is defined as the fixed point of a function which we show is contracting for a so-called extit{stable semi-metric}. We exploit this semi-metric along with concentration of measure arguments to prove the existence and uniqueness of the robust estimator as well as evaluate its limiting spectral distribution.

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