Semicircle law of Tyler's \(M\)-estimator for scatter

DOI10.1016/J.SPL.2012.01.017zbMath1243.62074arXiv1004.3938OpenAlexW2028915711MaRDI QIDQ433584

Konstantin Glombek, Gabriel Frahm

Publication date: 5 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.3938

zbMATH Keywords

random matrixspectral distributionsemicircle law

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Random matrices (algebraic aspects) (15B52)

Related Items (2)

Marčenko-Pastur law for Tyler's M-estimator ⋮ M-estimation with incomplete and dependent multivariate data

Cites Work

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