Robust Estimates of Covariance Matrices in the Large Dimensional Regime
Robust Estimates of Covariance Matrices in the Large Dimensional Regime
This article studies the limiting behavior of a class of robust population covariance matrix estimators, originally due to Maronna in 1976, in the regime where both the number of available samples and the population size grow large. Using tools from random matrix theory, we prove that, for sample vectors made …