Semicircle Law for Tyler's M-Estimator of Scatter

Details Semicircle Law for Tyler's M-Estimator of Scatter Semicircle Law for Tyler's M-Estimator of Scatter

2010-04-22

arxiv.org/abs/1004.3938v2

Mathematics

Statistics Theory

11 pages

Scientific paper

We show convergence in probability of the spectral distribution of Tyler's
M-estimator for scatter to the semicircle law.

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