2014
DOI: 10.1109/tsp.2014.2360826
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Regularized <formula formulatype="inline"><tex Notation="TeX">$M$</tex> </formula>-Estimators of Scatter Matrix

Abstract: Abstract-In this paper, a general class of regularized Mestimators of scatter matrix are proposed which are suitable also for low or insufficient sample support (small n and large p) problems. The considered class constitutes a natural generalization of M -estimators of scatter matrix (Maronna, 1976) and are defined as a solution to a penalized M -estimation cost function that depend on a pair (α, β) of regularization parameters. We derive general conditions for uniqueness of the solution using concept of geod… Show more

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Cited by 91 publications
(9 citation statements)
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“…When D > N , these estimators are undefined [69,104], and even when D ≤ N they may be ill-conditioned. It is thus common to regularize them [82,100].…”
Section: F Robust Covariancesmentioning
confidence: 99%
“…When D > N , these estimators are undefined [69,104], and even when D ≤ N they may be ill-conditioned. It is thus common to regularize them [82,100].…”
Section: F Robust Covariancesmentioning
confidence: 99%
“…Symmetric α-stable random vectors belong to the larger class of complex elliptically symmetric (CES) distributed random vectors [51][52][53]. CES distributions comprise, e.g., complex normal, complex t-, complex K-, generalized Gaussian, and inverse Gaussian distributions that are used to model radar clutter.…”
Section: Statistics For Distributed Scatterersmentioning
confidence: 99%
“…allow to reach an unique solution for any α and for any initial valueR 0 [49]. For the best of our knowledge, the literature has not provide a method for computing optimal value α.…”
Section: Sirv Casementioning
confidence: 99%
“…The existence of the estimator as a function of the parameter of regularisation is proven in [47,48]. An optimal parameter of regularisation is proposed in [49]. For the Huber's estimator, the existence has been proven in [49], but no criteria has been defined to estimate the optimal value.…”
Section: Introductionmentioning
confidence: 99%
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