Marčenko-Pastur Law For Tyler'S M-Estimator

Keywords

Covariance estimation; Random matrix theory; Robust statistics

Abstract

This paper studies the limiting behavior of Tyler's M-estimator for the scatter matrix, in the regime that the number of samples n and their dimension p both go to infinity, and p/n converges to a constant y with 0

Publication Date

7-1-2016

Publication Title

Journal of Multivariate Analysis

Volume

149

Number of Pages

114-123

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.jmva.2016.03.010

Socpus ID

84966378352 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84966378352

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