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

DOI10.1109/TSP.2014.2348951zbMath1394.94548arXiv1404.1935MaRDI QIDQ4579499

Ami Wiesel, Ilya 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)

Related Items (3)

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 ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator

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