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Affine Equivariant Tyler's M-Estimator Applied to Tail Parameter Learning of Elliptical Distributions

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  • نوع التسجيلة:
    Electronic Resource
  • الدخول الالكتروني :
    https://repository.hkust.edu.hk/ir/Record/1783.1-128688
    https://doi.org/10.1109/LSP.2023.3301341
    http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=1070-9908&rft.volume=&rft.issue=&rft.date=2023&rft.spage=1&rft.aulast=Ollila&rft.aufirst=Esa&rft.atitle=Affine+Equivariant+Tyler%26%23x0027%3Bs+M-Estimator+Applied+to+Tail+Parameter+Learning+of+Elliptical+Distributions&rft.title=IEEE+Signal+Processing+Letters
    http://www.scopus.com/record/display.url?eid=2-s2.0-85166750328&origin=inward
    http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=001045258700008
  • معلومة اضافية
    • Publisher Information:
      Institute of Electrical and Electronics Engineers Inc. 2023
    • Added Details:
      Ollila, Esa
      P. Palomar, Daniel
      Pascal, Frédéric
    • نبذة مختصرة :
      We propose estimating the scale parameter (mean of the eigenvalues) of the scatter matrix of an unspecified elliptically symmetric distribution using weights obtained by solving Tyler's M-estimator of the scatter matrix. The proposed Tyler's weights based estimate (TWE) of scale is then used to construct an affine equivariant Tyler's M-estimator as a weighted sample covariance matrix using normalized Tyler's weights. We then develop a unified framework for estimating the unknown tail parameter of the elliptical distribution (such as the degrees of freedom (d.o.f.) ? of the multivariate t (MVT) distribution). Using the proposed TWE of scale, a new robust estimate of the d.o.f. parameter of MVT distribution is proposed with excellent performance in heavy-tailed scenarios, outperforming other competing methods. R-package is available that implements the proposed method.
    • الموضوع:
      Covariance matrices; Covariance matrix; Eigenvalues and eigenfunctions; Elliptical distributions; Generators; Harmonic analysis; Scatter matrix; Signal processing; Symmetric matrices; Tail; Tyler's M-estimator; Article
    • Note:
      English
    • Other Numbers:
      HNK oai:repository.hkust.edu.hk:1783.1-128688
      IEEE Signal Processing Letters, v. 30, 3 August 2023, article number 10207689, p. 1017-1021
      1070-9908
      1558-2361
      1405234588
    • Contributing Source:
      HONG KONG UNIV OF SCI & TECH, THE
      From OAIster®, provided by the OCLC Cooperative.
    • الرقم المعرف:
      edsoai.on1405234588
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