Asymptotic Performance of Complex <inline-formula> <tex-math notation="LaTeX">$M$</tex-math> </inline-formula>-Estimators for Multivariate Location and Scatter Estimation - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue IEEE Signal Processing Letters Année : 2019

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

Résumé

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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Dates et versions

hal-04472856 , version 1 (22-02-2024)

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Citer

Bruno Mériaux, Chengfang Ren, Mohammed Nabil El Korso, Arnaud Breloy, Philippe Forster. Asymptotic Performance of Complex $M$ -Estimators for Multivariate Location and Scatter Estimation. IEEE Signal Processing Letters, 2019, 26 (2), pp.367-371. ⟨10.1109/lsp.2019.2891201⟩. ⟨hal-04472856⟩
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