A concentration of measure and random matrix approach to large-dimensional robust statistics

DOI10.1214/22-AAP1801MaRDI QIDQ2108907FDOQ2108907

Cosme Louart, R. Couillet

Publication date: 20 December 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.09728

zbMATH Keywords

random matrix theoryrobust estimationconcentration of measure

Mathematics Subject Classification ID

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

Cites Work

• Robust Estimation of a Location Parameter
• A distribution-free M-estimator of multivariate scatter
• Robust m-estimators of multivariate location and scatter
• The concentration of measure phenomenon
• Marčenko-Pastur law for Tyler's M-estimator
• Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
• Regularized <formula formulatype="inline"><tex Notation="TeX">$M$</tex> </formula>-Estimators of Scatter Matrix
• Exact Maximum Likelihood Estimates for SIRV Covariance Matrix: Existence and Algorithm Analysis
• A concentration of measure and random matrix approach to large-dimensional robust statistics

Cited In (2)

• A concentration of measure and random matrix approach to large-dimensional robust statistics
• A Concentration of Measure and Random Matrix Approach to Large Dimensional Robust Statistics

This page was built for publication: A concentration of measure and random matrix approach to large-dimensional robust statistics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2108907)