Asymptotic Performance of Complex $M$ -Estimators for Multivariate Location and Scatter Estimation
Overview & Synopsis
The joint estimation of means and scatter matrices is often a core problem in multivariate analysis. In order to overcome robustness issues, such as outliers from Gaussian assumption, M-estimators are now preferred to the traditional sample mean and sample covariance matrix. These estimators are well established and studied in the real case since the seventies. Their extension to the complex case has drawn recent interest. In this letter, we derive the asymptotic performance of complex M-estimators for multivariate location and scatter matrix estimation.
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Document Information
| Document Title | Asymptotic Performance of Complex $M$ -Estimators for Multivariate Location and Scatter Estimation |
|---|---|
| Author / Organization | Bruno Mériaux, Chengfang Ren, Mohammed Nabil El Korso, Arnaud Breloy, Philippe Forster |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2019 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-133842 |
| Original Source Link | Visit Source Page on hal.science » |