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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 sev-enties. 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-01968961 , version 1 (03-01-2019)

Identifiants

Citer

Bruno Meriaux, 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-01968961⟩
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