The random matrix regime of Maronna's estimator for observations corrupted by elliptical noise

DOI10.1016/J.JMVA.2017.08.002zbMath1373.15055arXiv1412.8344OpenAlexW2963194989MaRDI QIDQ1679562

Abla Kammoun, Mohamed-Slim Alouini

Publication date: 9 November 2017

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

Full work available at URL: https://arxiv.org/abs/1412.8344

zbMATH Keywords

random matrix theoryrobust statisticssignal plus noise modelrobust scatter estimation

Mathematics Subject Classification ID

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

Cites Work

• Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
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• Robust m-estimators of multivariate location and scatter
• A subspace estimator for fixed rank perturbations of large random matrices
• The random matrix regime of Maronna's M-estimator with elliptically distributed samples
• Deterministic equivalents for certain functionals of large random matrices
• No Eigenvalues Outside the Limiting Support of Generally Correlated Gaussian Matrices
• Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
• Nonparametric Detection of Signals by Information Theoretic Criteria: Performance Analysis and an Improved Estimator
• Large System Analysis of Linear Precoding in Correlated MISO Broadcast Channels Under Limited Feedback
• Improved Subspace Estimation for Multivariate Observations of High Dimension: The Deterministic Signals Case
• Robust Statistics

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