Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure

DOI10.1109/TSP.2014.2348951MaRDI QIDQ4579499zbMATH OpenFDO

Authors Ami Wiesel, I. Soloveychik

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.1935

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We address structured covariance estimation in elliptical distributions by assuming that the covariance is a priori known to belong to a given convex set, e.g., the set of Toeplitz or banded matrices. We consider the General Method of Moments (GMM) optimization applied to robust Tyler's scatter M-estimator subject to these convex constraints. Unfortunately, GMM turns out to be non-convex due to the objective. Instead, we propose a new COCA estimator - a convex relaxation which can be efficiently solved. We prove that the relaxation is tight in the unconstrained case for a finite number of samples, and in the constrained case asymptotically. We then illustrate the advantages of COCA in synthetic simulations with structured compound Gaussian distributions. In these examples, COCA outperforms competing methods such as Tyler's estimator and its projection onto the structure set.

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Cited in

(5)

• Robust sparse covariance estimation by thresholding Tyler's M-estimator
• Gaussian and robust Kronecker product covariance estimation: existence and uniqueness
• Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data
• A review of Tyler's shape matrix and its extensions
• High dimensional T-type estimator for robust covariance matrix estimation with applications to elliptical factor models

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