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

DOI10.1109/TSP.2014.2348944zbMath1394.94569arXiv1407.3079MaRDI QIDQ4579488

Prabhu Babu, Ying Sun, Daniel 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)

Related Items (4)

Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator ⋮ 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

This page was built for publication: Regularized Tyler's Scatter Estimator: Existence, Uniqueness, and Algorithms