Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure

• Published in: IEEE transactions on signal processing Vol. 62; no. 20; pp. 5251 - 5259
• Main Authors: Soloveychik, Ilya, Wiesel, Ami
• Format: Journal Article
• Language: English
• Published: New York IEEE 15.10.2014; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: 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

We address structured covariance estimation in elliptical distributions by assuming that the covariance is a priori known to belong to a given convex set, e.g., the set of Toeplitz or banded matrices. We consider the General Method of Moments (GMM) optimization applied to robust Tyler's scatter...