Large-Dimensional Behavior of Regularized Maronna's M-Estimators of Covariance Matrices

DOI10.1109/TSP.2018.2831629zbMath1414.62176arXiv1804.09912OpenAlexW2799190677MaRDI QIDQ4622241

David Morales-Jimenez, Nicolas Auguin, Romain Couillet, Matthew R. McKay

Publication date: 12 February 2019

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

Full work available at URL: https://arxiv.org/abs/1804.09912

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Random matrices (algebraic aspects) (15B52)

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