English

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

Machine Learning 2023-07-19 v2

Abstract

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 M-estimator subject to these convex constraints. Unfortunately, GMM turns out to be non-convex due to the objective. Instead, we propose a new COCA estimator - a convex relaxation which can be efficiently solved. We prove that the relaxation is tight in the unconstrained case for a finite number of samples, and in the constrained case asymptotically. We then illustrate the advantages of COCA in synthetic simulations with structured compound Gaussian distributions. In these examples, COCA outperforms competing methods such as Tyler's estimator and its projection onto the structure set.

Keywords

Cite

@article{arxiv.1404.1935,
  title  = {Tyler's Covariance Matrix Estimator in Elliptical Models with Convex Structure},
  author = {Ilya Soloveychik and Ami Wiesel},
  journal= {arXiv preprint arXiv:1404.1935},
  year   = {2023}
}

Comments

arXiv admin note: text overlap with arXiv:1311.0594