Nicolas Auguin

collaborators

2 papers

math.ST2018

Large-dimensional behavior of regularized Maronna's M-estimators of covariance matrices

Nicolas Auguin, David Morales-Jimenez, Matthew R. McKay +1

Robust estimators of large covariance matrices are considered, comprising regularized (linear shrinkage) modifications of Maronna's classical M-estimators. These estimators provide…

cs.IT2017

Exact Statistical Characterization of $2 \times 2$ Gram Matrices with Arbitrary Variance Profile

Nicolas Auguin, David Morales-Jimenez, Matthew McKay

This paper is concerned with the statistical properties of the Gram matrix $W = H H^{†}$ , where $H$ is a $2 \times 2$ complex central Gaussian ma…

Large-dimensional behavior of regularized Maronna's M-estimators of covariance matrices

Exact Statistical Characterization of 2×2 Gram Matrices with Arbitrary Variance Profile

Exact Statistical Characterization of $2 \times 2$ Gram Matrices with Arbitrary Variance Profile