Performance Analysis of Tyler's Covariance Estimator

DOI10.1109/TSP.2014.2376911zbMATH Open1394.94549arXiv1401.6926MaRDI QIDQ4579693FDOQ4579693

Authors: Ami Wiesel, I. Soloveychik 

Publication date: 22 August 2018

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

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.

Full work available at URL: https://arxiv.org/abs/1401.6926

Mathematics Subject Classification ID

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

Cited In (4)

• 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

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