HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Journal articles

On the Convergence of Maronna's M-Estimators of Scatter

Abstract : In this letter, we propose an alternative proof for the uniqueness of Maronna's M-estimator of scatter [1] for vector observations under a mild constraint of linear independence of any subset of of these vectors. This entails in particular almost sure uniqueness for random vectors with a density as long as. This approach allows to establish further relations that demonstrate that a properly normalized Tyler's-estimator of scatter [2] can be considered as a limit of Maronna's M-estimator. More precisely, the contribution is to show that each-estimator, verifying some mild conditions, converges towards a particular Tyler's-estimator. These results find important implications in recent works on the large dimensional (random matrix) regime of robust-estimation.
Complete list of metadata

Cited literature [17 references]  Display  Hide  Download

https://hal-centralesupelec.archives-ouvertes.fr/hal-01251753
Contributor : Frédéric Pascal Connect in order to contact the contributor
Submitted on : Wednesday, February 26, 2020 - 10:56:05 AM
Last modification on : Thursday, October 14, 2021 - 9:15:51 AM
Long-term archiving on: : Wednesday, May 27, 2020 - 2:54:06 PM

File

double.pdf
Files produced by the author(s)

Identifiers

Citation

Yacine Chitour, Romain Couillet, Frédéric Pascal. On the Convergence of Maronna's M-Estimators of Scatter. IEEE Signal Processing Letters, Institute of Electrical and Electronics Engineers, 2015, 22 (6), pp.709-712. ⟨10.1109/LSP.2014.2367547⟩. ⟨hal-01251753⟩

Share

Metrics

Record views

156

Files downloads

45