The Random Matrix Regime of Maronna's M-estimator with elliptically distributed samples

Romain Couillet, Frédéric Pascal, Jack W. Silverstein

This article demonstrates that the robust scatter matrix estimator ${\hat{C}}_N\in {\mathbb{C}}^{N\times N}$ of a multivariate elliptical population $x_1,\dots ,x_n\in {\mathbb{C}}^N$…