Asymptotic Performance of Complex M-estimators for Multivariate Location and Scatter Estimation
Signal Processing
2019-01-24 v1
Abstract
The joint estimation of means and scatter matrices is often a core problem in multivariate analysis. In order to overcome robustness issues, such as outliers from Gaussian assumption, M-estimators are now preferred to the traditional sample mean and sample covariance matrix. These estimators are well established and studied in the real case since the seventies. Their extension to the complex case has drawn recent interest. In this letter, we derive the asymptotic performance of complex M-estimators for multivariate location and scatter matrix estimation.
Keywords
Cite
@article{arxiv.1901.02640,
title = {Asymptotic Performance of Complex M-estimators for Multivariate Location and Scatter Estimation},
author = {Bruno Mériaux and Chengfang Ren and Mohammed Nabil El Korso and Arnaud Breloy and Philippe Forster},
journal= {arXiv preprint arXiv:1901.02640},
year = {2019}
}