Signal and Image processing

Asymptotic Performance of Complex M-estimators for Multivariate Location and Scatter Estimation

Publié le - IEEE Signal Processing Letters

Auteurs : Bruno Meriaux, Chengfang Ren, Mohammed Nabil El Korso, Arnaud Breloy, Philippe Forster

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.