51 citations · 127 across the 23 of their papers we have counts for
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Group Symmetric Robust Covariance Estimation
Ilya Soloveychik, Dmitry Trushin, Ami Wiesel
In this paper we consider Tyler's robust covariance M-estimator under group symmetry constraints. We assume that the covariance matrix is invariant to the conjugation action of a u…
Tyler's Covariance Matrix Estimator in Elliptical Models with Convex Structure
Ilya Soloveychik, Ami Wiesel
We address structured covariance estimation in elliptical distributions by assuming that the covariance is a priori known to belong to a given convex set, e.g., the set of Toeplitz…
Error Bound for Compound Wishart Matrices
Ilya Soloveychik
In this paper we consider non-asymptotic behavior of the real compound Wishart matrices that generalize the classical real Wishart distribution. In particular, we consider matrices…
Performance Analysis of Tyler's Covariance Estimator
Ilya Soloveychik, Ami Wiesel
This paper analyzes the performance of Tyler's M-estimator of the scatter matrix in elliptical populations. We focus on the non-asymptotic setting and derive the estimation error b…