On the Asymptotics of Maronna's Robust PCA

• Published in: IEEE transactions on signal processing Vol. 67; no. 19; pp. 4964 - 4975
• Main Authors: Draskovic, Gordana, Breloy, Arnaud, Pascal, Frederic
• Format: Journal Article
• Language: English
• Published: IEEE 01.10.2019; Institute of Electrical and Electronics Engineers
• Subjects: <inline-formula xmlns:ali="http://www.niso.org/schemas/ali/1.0/" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"> <tex-math notation="LaTeX"> M</tex-math> </inline-formula>-estimators; Applications; CES distributions; Computer Science; Covariance matrices; eigenvalue decomposition; Eigenvalues and eigenfunctions; Estimation; Matrix decomposition; Other Statistics; Principal component analysis; principal subspace; Signal and Image Processing; Statistics; Symmetric matrices; Wishart distribution

The eigenvalue decomposition (EVD) parameters of the second order statistics are ubiquitous in statistical analysis and signal processing. Notably, the EVD of the <inline-formula><tex-math notation="LaTeX">M</tex-math></inline-formula>-estimators of the scatter matr...