Robust spiked random matrices and a robust G-MUSIC estimator

@article{Couillet2015RobustSR,
  title={Robust spiked random matrices and a robust G-MUSIC estimator},
  author={Romain Couillet},
  journal={J. Multivariate Analysis},
  year={2015},
  volume={140},
  pages={139-161}
}
A class of robust estimators of scatter applied to information-plus-impulsive noise samples is studied, where the sample information matrix is assumed of low rank; this generalizes the study (Couillet et al., 2013b) to spiked random matrix models. It is precisely shown that, as opposed to sample covariance matrices which may have asymptotically unbounded… CONTINUE READING