The random matrix regime of Maronna’s M-estimator with elliptically distributed samples
نویسندگان
چکیده
منابع مشابه
The random matrix regime of Maronna's M-estimator with elliptically distributed samples
This article demonstrates that the robust scatter matrix estimator ĈN ∈ CN×N of a multivariate elliptical population x1, . . . , xn ∈ C originally proposed by Maronna in 1976, and defined as the solution (when existent) of an implicit equation, behaves similar to a well-known random matrix model in the limiting regime where the population N and sample n sizes grow at the same speed. We show pre...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2015
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2015.02.020