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Communication Dans Un Congrès Année : 2021

Properties of a new R-estimator of shape matrices

Stefano Fortunati
Alexandre Renaux

Résumé

This paper aims at presenting a simulative analysis of the main properties of a new R-estimator of shape matrices in Complex Elliptically Symmetric (CES) distributed observations. First proposed by Hallin, Oja and Paindaveine for the real-valued case and then extended to the complex field in our recent work, this R-estimator has the remarkable property to be, at the same time, distributionally robust and semiparametric efficient. Here, the efficiency of different possible configurations of this R-estimator are investigated by comparing the resulting Mean Square Error (MSE) with the Constrained Semiparametric Cramér-Rao Bound (CSCRB). Moreover, its robustness to outliers is assessed and compared with the one of the celebrated Tyler's estimator.
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Dates et versions

hal-02976913 , version 1 (23-10-2020)

Identifiants

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Stefano Fortunati, Alexandre Renaux, Frédéric Pascal. Properties of a new R-estimator of shape matrices. 28th European Signal Processing Conference (EUSIPCO 2020), Jan 2021, Amsterdam, Netherlands. ⟨10.23919/Eusipco47968.2020.9287879⟩. ⟨hal-02976913⟩
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