Robust spiked random matrices and a robust G-MUSIC estimator

DOI10.1016/J.JMVA.2015.05.009zbMATH Open1322.62148arXiv1404.7685OpenAlexW2112790040MaRDI QIDQ495368FDOQ495368

Authors: R. Couillet 

Publication date: 10 September 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: A class of robust estimators of scatter applied to information-plus-impulsive noise samples is studied, where the sample information matrix is assumed of low rank; this generalizes the study of (Couillet et al., 2013b) to spiked random matrix models. It is precisely shown that, as opposed to sample covariance matrices which may have asymptotically unbounded (eigen-)spectrum due to the sample impulsiveness, the robust estimator of scatter has bounded spectrum and may contain isolated eigenvalues which we fully characterize. We show that, if found beyond a certain detectability threshold, these eigenvalues allow one to perform statistical inference on the eigenvalues and eigenvectors of the information matrix. We use this result to derive new eigenvalue and eigenvector estimation procedures, which we apply in practice to the popular array processing problem of angle of arrival estimation. This gives birth to an improved algorithm based on the MUSIC method, which we refer to as robust G-MUSIC.

Full work available at URL: https://arxiv.org/abs/1404.7685

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zbMATH Keywords

random matrix theoryrobust estimationspiked modelsMUSIC

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric robustness (62G35) Analysis of variance and covariance (ANOVA) (62J10) Random matrices (algebraic aspects) (15B52)

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Cited In (10)

• Two-dimensional robust source localization under non-Gaussian noise
• Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals
• Network models to improve robot advisory portfolios
• Marčenko-Pastur law for Tyler's M-estimator
• Large information plus noise random matrix models and consistent subspace estimation in large sensor networks
• Robust estimation of structured covariance matrices
• The random matrix regime of Maronna's estimator for observations corrupted by elliptical noise
• On the behavior of large empirical autocovariance matrices between the past and the future
• The random matrix regime of Maronna's M-estimator with elliptically distributed samples
• Improving portfolios global performance using a cleaned and robust covariance matrix estimate

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