Affine Equivariant Tyler's M-Estimator Applied to Tail Parameter Learning of Elliptical Distributions
Author:
Affiliation:
1. Department of Information and Communications Engineering, Aalto University, Aalto, Finland
2. Hong Kong University of Science and Technology, Hong Kong
3. CNRS Université Paris-Saclay, CentraleSupélec, Rennes, France
Funder
Hong Kong GRF
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Subject
Applied Mathematics,Electrical and Electronic Engineering,Signal Processing
Link
http://xplorestaging.ieee.org/ielx7/97/10036333/10207689.pdf?arnumber=10207689
Reference25 articles.
1. Tyler’s and Maronna’s M-estimators: Non-asymptotic concentration results
2. Robust sparse covariance estimation by thresholding Tyler’s M-estimator
3. On the Breakdown Properties of Some Multivariate M-Functionals*
4. Minimax bias-robust estimation of the dispersion matrix of a multivariate distribution
5. Marčenko–Pastur law for Tyler’s M-estimator
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