Marchenko-Pastur Law for Tyler's M-estimator

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Marchenko-Pastur Law for Tyler's M-estimator

15 January 2014

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Papers citing "Marchenko-Pastur Law for Tyler's M-estimator"

13 / 13 papers shown

Title
Efficient Estimation of Regularized Tyler's M-Estimator Using Approximate LOOCV Karim Abou-Moustafa 25 0 0 30 May 2025
T-Rex: Fitting a Robust Factor Model via Expectation-Maximization Daniel Cederberg 79 0 0 17 May 2025
Improved Convergence Rates of Windowed Anderson Acceleration for Symmetric Fixed-Point Iterations Casey Garner Gilad Lerman Teng Zhang 46 1 0 04 Nov 2023
Robust and Sparse M-Estimation of DOA Christoph F. Mecklenbräuker Peter Gerstoft Esa Ollila Yongsung Park 65 15 0 15 Jan 2023
Riemannian optimization for non-centered mixture of scaled Gaussian distributions Antoine Collas A. Breloy Chengfang Ren G. Ginolhac J. Ovarlez 56 6 0 07 Sep 2022
Tyler's and Maronna's M-estimators: Non-Asymptotic Concentration Results Elad Romanov Gil Kur B. Nadler 62 3 0 21 Jun 2022
A Concentration of Measure and Random Matrix Approach to Large Dimensional Robust Statistics Cosme Louart Romain Couillet 32 5 0 17 Jun 2020
Generative Adversarial Nets for Robust Scatter Estimation: A Proper Scoring Rule Perspective Chao Gao Yuan Yao Weizhi Zhu 76 22 0 05 Mar 2019
User-Friendly Covariance Estimation for Heavy-Tailed Distributions Y. Ke Stanislav Minsker Zhao Ren Qiang Sun Wen-Xin Zhou 91 57 0 05 Nov 2018
Robust Sparse Covariance Estimation by Thresholding Tyler's M-Estimator John Goes Gilad Lerman B. Nadler 53 23 0 25 Jun 2017
Cleaning large correlation matrices: tools from random matrix theory J. Bun J. Bouchaud M. Potters 82 268 0 25 Oct 2016
Sub-Gaussian estimators of the mean of a random matrix with heavy-tailed entries Stanislav Minsker 116 103 0 23 May 2016
Performance Analysis of Tyler's Covariance Estimator I. Soloveychik A. Wiesel 89 22 0 27 Jan 2014