Semicircle Law for Tyler's M-Estimator of Scatter
Statistics Theory
2011-11-22 v2 Probability
Statistics Theory
Abstract
We show convergence in probability of the spectral distribution of Tyler's M-estimator for scatter to the semicircle law.
Keywords
Cite
@article{arxiv.1004.3938,
title = {Semicircle Law for Tyler's M-Estimator of Scatter},
author = {Gabriel Frahm and Konstantin Glombek},
journal= {arXiv preprint arXiv:1004.3938},
year = {2011}
}
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11 pages