Performance Analysis of Tyler's Covariance Estimator

DOI10.1109/TSP.2014.2376911MaRDI QIDQ4579693zbMATH 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/1401.6926

Mathematics Subject Classification ID

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

Abstract: This paper analyzes the performance of Tyler's M-estimator of the scatter matrix in elliptical populations. We focus on the non-asymptotic setting and derive the estimation error bounds depending on the number of samples n and the dimension p. We show that under quite mild conditions the squared Frobenius norm of the error of the inverse estimator decays like p^2/n with high probability.

Cited in

(5)

• Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure
• Gaussian and robust Kronecker product covariance estimation: existence and uniqueness
• A review of Tyler's shape matrix and its extensions
• Tyler's and Maronna's M-estimators: non-asymptotic concentration results
• Ledoit-Wolf linear shrinkage with unknown mean

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