Asymptotic Performance of Complex M-Estimators for Multivariate Location and Scatter Estimation

被引：3
|
作者：
Meriaux, Bruno [1 ]
Ren, Chengfang [1 ]
El Korso, Mohammed Nabil [2 ]
Breloy, Arnaud [2 ]
Forster, Philippe [3 ]
机构：
[1] Cent Supelec, SONDRA, F-91190 Gif Sur Yvette, France
[2] Paris Nanterre Univ, LEME, F-92000 Nanterre, France
[3] Paris Nanterre Univ, SATIE, F-92000 Nanterre, France
来源：
IEEE SIGNAL PROCESSING LETTERS | 2019年 / 26卷 / 02期
关键词：
Complex observations; robust estimation of multivariate location and scatter; complex elliptically symmetric distributions; ROBUST; MATRIX; DISTRIBUTIONS;
D O I：
10.1109/LSP.2019.2891201
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
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.
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页码：367 / 371
页数：5
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