Marčenko–Pastur law for Tyler’s M-estimator

Teng Zhang, Xiuyuan Cheng and Amit Singer

Journal of Multivariate Analysis, 2016, vol. 149, issue C, 114-123

Abstract: This paper studies the limiting behavior of Tyler’s M-estimator for the scatter matrix, in the regime that the number of samples n and their dimension p both go to infinity, and p/n converges to a constant y with 0Keywords: Covariance estimation; Robust statistics; Random matrix theory (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X16300069
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:149:y:2016:i:c:p:114-123

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2016.03.010

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().