TY - GEN
T1 - Properties of a new r-estimator of shape matrices
AU - Fortunati, Stefano
AU - Renaux, Alexandre
AU - Pascal, Frédéric
N1 - Publisher Copyright:
© 2021 European Signal Processing Conference, EUSIPCO. All rights reserved.
PY - 2021/1/24
Y1 - 2021/1/24
N2 - This paper aims at presenting a simulative analysis of the main properties of a new R-estimator of shape matrices in Complex Elliptically Symmetric (CES) distributed observations. First proposed by Hallin, Oja and Paindaveine for the real-valued case and then extended to the complex field in our recent work, this R-estimator has the remarkable property to be, at the same time, distributionally robust and semiparametric efficient. Here, the efficiency of different possible configurations of this R-estimator are investigated by comparing the resulting Mean Square Error (MSE) with the Constrained Semiparametric Cramér-Rao Bound (CSCRB). Moreover, its robustness to outliers is assessed and compared with the one of the celebrated Tyler's estimator.
AB - This paper aims at presenting a simulative analysis of the main properties of a new R-estimator of shape matrices in Complex Elliptically Symmetric (CES) distributed observations. First proposed by Hallin, Oja and Paindaveine for the real-valued case and then extended to the complex field in our recent work, this R-estimator has the remarkable property to be, at the same time, distributionally robust and semiparametric efficient. Here, the efficiency of different possible configurations of this R-estimator are investigated by comparing the resulting Mean Square Error (MSE) with the Constrained Semiparametric Cramér-Rao Bound (CSCRB). Moreover, its robustness to outliers is assessed and compared with the one of the celebrated Tyler's estimator.
KW - CES distributions
KW - R-estimator
KW - Scatter matrix estimation
KW - Semiparametric models
UR - https://www.scopus.com/pages/publications/85099315107
U2 - 10.23919/Eusipco47968.2020.9287879
DO - 10.23919/Eusipco47968.2020.9287879
M3 - Conference contribution
AN - SCOPUS:85099315107
T3 - European Signal Processing Conference
SP - 2443
EP - 2447
BT - 28th European Signal Processing Conference, EUSIPCO 2020 - Proceedings
PB - European Signal Processing Conference, EUSIPCO
T2 - 28th European Signal Processing Conference, EUSIPCO 2020
Y2 - 24 August 2020 through 28 August 2020
ER -