Abstract
In this paper, we deal with covariance matrix estimation in complex elliptically symmetric (CES) distributions. We focus on Tyler's estimator (TyE) and the well-known sample covariance matrix (SCM). TyE is widely used in practice, but its statistical behavior is still poorly understood. On the other hand, under Gaussian assumption, the SCM is Wishart-distributed, but its properties degrade in non-Gaussian environments. The main contribution is the derivation of new properties of TyE under CES framework, in order to approximate its behavior with a simpler one, the Wishart one. Finally, Monte-Carlo simulations support that claims and demonstrate the interest of this result.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
