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

DOI10.1214/22-AAP1801MaRDI QIDQ2108907zbMATH OpenFDO

Authors 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

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

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

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