Marchenko-Pastur Law for Tyler's M-estimator

2014/01/15 by Zhang, Teng, Cheng, Xiuyuan, Singer, Amit · 2 citations
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1401.3424

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

Cited by

• Limiting Spectral Distribution of High-dimensional Multivariate Kendall-τ
• Efficient Estimation of Regularized Tyler's M-Estimator Using Approximate LOOCV

Related

• Semicircle Law for Tyler's M-Estimator of Scatter
• The Random Matrix Regime of Maronna's M-estimator with elliptically distributed samples
• Sample covariance matrices and special symmetric partitions
• Isotropic Local Laws for Sample Covariance and Generalized Wigner Matrices
• The random matrix regime of Maronna's M-estimator for observations corrupted by elliptical noises