Semicircle Law for Tyler's M-Estimator of Scatter

arxiv: 1004.3938 · v2 · pith:YQRFXR26new · submitted 2010-04-22 · 🧮 math.ST · math.PR· stat.TH

Gabriel Frahm , Konstantin Glombek This is my paper

classification 🧮 math.ST math.PRstat.TH

keywords m-estimatorscattersemicircletylerconvergencedistributionprobabilityspectral

0 comments

read the original abstract

We show convergence in probability of the spectral distribution of Tyler's M-estimator for scatter to the semicircle law.

This paper has not been read by Pith yet.