Regularized Tyler's Scatter Estimator: Existence, Uniqueness, and Algorithms

DOI10.1109/TSP.2014.2348944MaRDI QIDQ4579488zbMATH OpenFDO

Authors Ying Sun, Prabhu Babu, D. P. Palomar

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/1407.3079

Mathematics Subject Classification ID

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

Abstract: This paper considers the regularized Tyler's scatter estimator for elliptical distributions, which has received considerable attention recently. Various types of shrinkage Tyler's estimators have been proposed in the literature and proved work effectively in the "small n large p" scenario. Nevertheless, the existence and uniqueness properties of the estimators are not thoroughly studied, and in certain cases the algorithms may fail to converge. In this work, we provide a general result that analyzes the sufficient condition for the existence of a family of shrinkage Tyler's estimators, which quantitatively shows that regularization indeed reduces the number of required samples for estimation and the convergence of the algorithms for the estimators. For two specific shrinkage Tyler's estimators, we also proved that the condition is necessary and the estimator is unique. Finally, we show that the two estimators are actually equivalent. Numerical algorithms are also derived based on the majorization-minimization framework, under which the convergence is analyzed systematically.

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• Robust sparse covariance estimation by thresholding Tyler's M-estimator
• Weighted elastic net penalized mean-variance portfolio design and computation
• Regularized <formula formulatype="inline"><tex Notation="TeX">$M$</tex> </formula>-Estimators of Scatter Matrix
• Robust Shape Matrix Estimation for High-Dimensional Compositional Data with Application to Microbial Inter-Taxa Analysis
• Tyler's and Maronna's M-estimators: non-asymptotic concentration results
• A review of Tyler's shape matrix and its extensions
• Min-max framework for majorization-minimization algorithms in signal processing applications: an overview
• A regularized T-type estimator for high-dimensional data
• High dimensional T-type estimator for robust covariance matrix estimation with applications to elliptical factor models

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