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Performance Analysis of Tyler's Covariance Estimator
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Performance Analysis of Tyler's Covariance Estimator

I. Soloveychik
A. Wiesel
ArXiv (abs)PDFHTML

Papers citing "Performance Analysis of Tyler's Covariance Estimator"

7 / 7 papers shown
Title
Affine equivariant Tyler's M-estimator applied to tail parameter learning of elliptical distributions
Affine equivariant Tyler's M-estimator applied to tail parameter learning of elliptical distributions
Esa Ollila
Daniel P. Palomar
Frédéric Pascal
28
4
0
07 May 2023
Ledoit-Wolf linear shrinkage with unknown mean
Ledoit-Wolf linear shrinkage with unknown mean
Benoit Oriol
Alexandre Miot
55
3
0
14 Apr 2023
Tyler's and Maronna's M-estimators: Non-Asymptotic Concentration Results
Tyler's and Maronna's M-estimators: Non-Asymptotic Concentration Results
Elad Romanov
Gil Kur
B. Nadler
72
3
0
21 Jun 2022
A Robust Test for Elliptical Symmetry
A Robust Test for Elliptical Symmetry
I. Soloveychik
11
0
0
05 Jun 2020
Rigorous Guarantees for Tyler's M-estimator via quantum expansion
Rigorous Guarantees for Tyler's M-estimator via quantum expansion
Cole Franks
Ankur Moitra
67
26
0
31 Jan 2020
Joint Inverse Covariances Estimation with Mutual Linear Structure
Joint Inverse Covariances Estimation with Mutual Linear Structure
I. Soloveychik
A. Wiesel
28
0
0
20 Nov 2015
Robust estimation of principal components from depth-based multivariate rank covariance matrix
Robust estimation of principal components from depth-based multivariate rank covariance matrix
S. Majumdar
46
2
0
25 Feb 2015