Tyler's and Maronna's M-estimators: non-asymptotic concentration results (Q6097559)

scientific article; zbMATH DE number 7692920

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English	Tyler's and Maronna's M-estimators: non-asymptotic concentration results	scientific article; zbMATH DE number 7692920

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instance of

scholarly article

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title

Tyler's and Maronna's M-estimators: non-asymptotic concentration results (English)

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Journal of Multivariate Analysis

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publication date

5 June 2023

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full work available at URL

https://arxiv.org/abs/2206.10167

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zbMATH Keywords

Maronna's M-estimator

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robust covariance estimation

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Tyler's M-estimator

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MaRDI profile type

MaRDI publication profile

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cites work

A note on the Hanson-Wright inequality for random vectors with dependencies

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Sharp bounds on the rate of convergence of the empirical covariance matrix

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Large-Dimensional Behavior of Regularized Maronna's M-Estimators of Covariance Matrices

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Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals

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

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Asymptotics of graphical projection pursuit

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On Tyler's $M$-functional of scatter in high dimension

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New algorithms for $M$-estimation of multivariate scatter and location

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Q3996150

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Robust sparse covariance estimation by thresholding Tyler's M-estimator

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Characterization of a class of weak transport-entropy inequalities on the line

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A Bound on Tail Probabilities for Quadratic Forms in Independent Random Variables

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High-breakdown robust multivariate methods

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Isoperimetric problems for convex bodies and a localization lemma

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Q5628978

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Bourgain's slicing problem and KLS isoperimetry up to polylog

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Bounding the Smallest Singular Value of a Random Matrix Without Concentration

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Q4183227

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Regularized <formula formulatype="inline"><tex Notation="TeX">$M$</tex> </formula>-Estimators of Scatter Matrix

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Identifiers

zbMATH Open document ID

1520.62057

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arXiv ID

2206.10167

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Mathematics Subject Classification ID

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10.1016/J.JMVA.2023.105184

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Sitelinks

Mathematics(1 entry)

mardi Publication:6097559