Marčenko-Pastur law for Tyler's M-estimator

DOI10.1016/J.JMVA.2016.03.010MaRDI QIDQ290712zbMATH OpenOpenAlexFDO

Authors Teng Zhang, Xiuyuan Cheng, A. Singer

Publication date 3 June 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.3424

zbMATH Keywords

covariance estimationrandom matrix theoryrobust statistics

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Random matrices (algebraic aspects) (15B52) Robustness and adaptive procedures (parametric inference) (62F35)

Abstract: This paper studies the limiting behavior of Tyler's M-estimator for the scatter matrix, in the regime that the number of samples $n$ and their dimension $p$ both go to infinity, and $p/n$ converges to a constant $y$ with $0<y<1$. We prove that when the data samples $x_1,ldots,x_n$ are identically and independently generated from the Gaussian distribution $mathcalN(0,I)$, the operator norm of the difference between a properly scaled Tyler's M-estimator and $su{m}_{i=1}^n{x}_i{x}_i^{o}p/n$ tends to zero. As a result, the spectral distribution of Tyler's M-estimator converges weakly to the Marv{c}enko-Pastur distribution.

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Cited in

(12)

• Sub-Gaussian estimators of the mean of a random matrix with heavy-tailed entries
• Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds
• User-friendly covariance estimation for heavy-tailed distributions
• Robust sparse covariance estimation by thresholding Tyler's M-estimator
• A review of Tyler's shape matrix and its extensions
• An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
• Robust modifications of U-statistics and applications to covariance estimation problems
• A concentration of measure and random matrix approach to large-dimensional robust statistics
• Tyler's and Maronna's M-estimators: non-asymptotic concentration results
• The random matrix regime of Maronna's M-estimator with elliptically distributed samples
• scientific article; zbMATH DE number 7306864 (Why is no real title available?)
• Semicircle law of Tyler's \(M\)-estimator for scatter

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