Performance Analysis of Tyler's Covariance Estimator

v1v2v3v4 (latest)

Performance Analysis of Tyler's Covariance Estimator

27 January 2014

ArXiv (abs)PDF HTML

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 Esa Ollila Daniel P. Palomar Frédéric Pascal 31 4 0 07 May 2023
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 Elad Romanov Gil Kur B. Nadler 79 3 0 21 Jun 2022
A Robust Test for Elliptical Symmetry I. Soloveychik 13 0 0 05 Jun 2020
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 I. Soloveychik A. Wiesel 31 0 0 20 Nov 2015
Robust estimation of principal components from depth-based multivariate rank covariance matrix S. Majumdar 56 2 0 25 Feb 2015