Robust Estimates of Covariance Matrices in the Large Dimensional Regime

DOI10.1109/TIT.2014.2354045zbMath1360.62263arXiv1204.5320OpenAlexW3105672394WikidataQ57440676 ScholiaQ57440676MaRDI QIDQ2983371

Romain Couillet, Frédéric P. Pascal, Jack W. Silverstein

Publication date: 16 May 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.5320

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35) Random matrices (probabilistic aspects) (60B20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (9)

Marčenko-Pastur law for Tyler's M-estimator ⋮ Improving portfolios global performance using a cleaned and robust covariance matrix estimate ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator ⋮ Generating universal adversarial perturbation with ResNet ⋮ Tyler's and Maronna's M-estimators: non-asymptotic concentration results ⋮ Optimal cleaning for singular values of cross-covariance matrices ⋮ Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals ⋮ Robust spiked random matrices and a robust G-MUSIC estimator ⋮ The random matrix regime of Maronna's M-estimator with elliptically distributed samples

This page was built for publication: Robust Estimates of Covariance Matrices in the Large Dimensional Regime