Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure - Soloveychik, Ilya; Wiesel, Ami (IEEE transactions on signal processing, 2014)
Keywords: Asymptotic properties; Banded structure; Computer aided engineering; Covariance; Covariance matrices; Elliptical distribution; Estimators; Generalized method of moments; Mathematical analysis; Optimization; Robust control; robust covariance estimation; Simulation; Transaction processing; Tyler's scatter estimator