Semicircle law of Tyler's M-estimator for scatter

DOI10.1016/J.SPL.2012.01.017zbMATH Open1243.62074arXiv1004.3938OpenAlexW2028915711MaRDI QIDQ433584FDOQ433584

Authors: Gabriel Frahm, Konstantin Glombek 

Publication date: 5 July 2012

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

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

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

Recommendations

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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)

Cites Work

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Cited In (5)

• A review of Tyler's shape matrix and its extensions
• Title not available (Why is that?)
• 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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