Semicircle law of Tyler's M-estimator for scatter

DOI10.1016/J.SPL.2012.01.017MaRDI QIDQ433584zbMATH OpenOpenAlexFDO

Authors Gabriel Frahm, Konstantin Glombek

Publication date 5 July 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.3938

zbMATH Keywords

random matrixspectral distributionsemicircle law

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

Abstract: We show convergence in probability of the spectral distribution of Tyler's M-estimator for scatter to the semicircle law.

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Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 2146311 (Why is no real title available?)
• A distribution-free M-estimator of multivariate scatter
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• Asymptotic distributions of robust shape matrices and scales
• Characteristic vectors of bordered matrices with infinite dimensions
• Convergence to the semicircle law
• Corrections to LRT on large-dimensional covariance matrix by RMT
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• Limit Theorem for the Eigenvalues of the Sample Covariance Matrix when the Underlying Distribution is Isotropic
• On Tyler's \(M\)-functional of scatter in high dimension
• Random Matrix Theory and Wireless Communications
• Redescending \(M\)-estimates of multivariate location and scatter
• Semicircle Law for Hadamard Products
• Spectral analysis of large dimensional random matrices
• Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials

Cited in

(5)

• A review of Tyler's shape matrix and its extensions
• scientific article; zbMATH DE number 2187778 (Why is no real title available?)
• Marčenko-Pastur law for Tyler's M-estimator
• The random matrix regime of Maronna's M-estimator with elliptically distributed samples
• M-estimation with incomplete and dependent multivariate data

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