@inproceedings{08a26a64e3f74556b2822dfa9a4433b2,
title = "Tyler's estimator performance analysis",
abstract = "This paper analyzes the performance of Tyler's M-estimator of the scatter matrix in elliptical populations. We focus on non-asymptotic performance analysis of Tyler's estimator. Given n samples of dimension p < n, we show that the squared Frobenius norm of the error of the inverse estimator is proportional to p2/(1-c2)2n with high probability, where c is the coherence coefficient of the properly scaled estimator. Under additional group symmetry conditions we improve the obtained bound, utilizing the inherent sparsity properties of group symmetry.",
keywords = "Elliptical distribution shape matrix estimation, Tyler's scatter estimator, concentration bounds, scatter matrix M-estimators",
author = "Ilya Soloveychik and Ami Wiesel",
note = "Publisher Copyright: {\textcopyright} 2015 IEEE.; 40th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 ; Conference date: 19-04-2014 Through 24-04-2014",
year = "2015",
month = aug,
day = "4",
doi = "10.1109/ICASSP.2015.7179061",
language = "الإنجليزيّة",
series = "ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "5688--5692",
booktitle = "2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings",
address = "الولايات المتّحدة",
}