riecovest.covariance_estimation.tyler_estimator

riecovest.covariance_estimation.tyler_estimator(data, num_iter=20)

Compute the Tyler estimator of the covariance matrix of the given data.

Parameters:

• data (ndarray of shape (dim, num_samples)) – Data matrix.

• num_iter (int) – Number of iterations of the Tyler estimator algorithm.

Returns:

tyler – Tyler estimator of the covariance matrix.

Return type:

ndarray of shape (dim, dim)

References

[tylerDistributionfree1987] D. E. Tyler, “A distribution-free M-estimator of multivariate scatter,” The Annals of Statistics, vol. 15, no. 1, pp. 234–251, 1987. [ollilaComplex2012] E. Ollila, D. E. Tyler, V. Koivunen, and H. V. Poor, “Complex elliptically symmetric distributions: survey, new results and applications,” IEEE Transactions on Signal Processing, vol. 60, no. 11, pp. 5597–5625, Nov. 2012, doi: 10.1109/TSP.2012.2212433.