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MA
2016
Springer

Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals

7 years 11 months ago
Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals
A central limit theorem for bilinear forms of the type a∗ ˆCN (ρ)−1 b, where a, b ∈ CN are unit norm deterministic vectors and ˆCN (ρ) a robust-shrinkage estimator of scatter parametrized by ρ and built upon n independent elliptical vector observations, is presented. The fluctuations of a∗ ˆCN (ρ)−1 b are found to be of order N− 1 2 and to be the same as those of a∗ ˆSN (ρ)−1 b for ˆSN (ρ) a matrix of a theoretical tractable form. This result is exploited in a classical signal detection problem to provide an improved detector which is both robust to elliptical data observations (e.g., impulsive noise) and optimized across the shrinkage parameter ρ.
Romain Couillet, Abla Kammoun, Frédé
Added 07 Apr 2016
Updated 07 Apr 2016
Type Journal
Year 2016
Where MA
Authors Romain Couillet, Abla Kammoun, Frédéric Pascal 0001
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