Title :
Performance Analysis of Tyler´s Covariance Estimator
Author :
Soloveychik, Ilya ; Wiesel, Ami
Author_Institution :
Rachel & Selim Benin Sch. of Comput. Sci. & Eng., Hebrew Univ. of Jeursalem, Jeursalem, Israel
Abstract :
This paper analyzes the performance of Tyler´s M-estimator of the scatter matrix in elliptical populations. We focus on the non-asymptotic setting and derive estimation error bounds depending on the number of samples n and the dimension p. We show that under mild conditions the squared Frobenius norm of the error of the inverse estimator decays like p2/n with high probability.
Keywords :
S-matrix theory; covariance analysis; covariance matrices; estimation theory; probability; signal sampling; Tyler M-estimator; Tyler covariance estimator performance analysis; elliptical population; inverse estimator decay; nonasymptotic setting; probability; scatter matrix; squared Frobenius norm; Covariance matrices; Maximum likelihood estimation; Performance analysis; Robustness; Shape; Vectors; Concentration bounds; Tyler´s scatter estimator; elliptical distribution shape matrix estimation; scatter matrix M-estimators;
Journal_Title :
Signal Processing, IEEE Transactions on
DOI :
10.1109/TSP.2014.2376911