Large Dimensional Analysis of Robust M-estimators of Covariance with Outliers

David Morales-Jimenez, Romain Couillet, Matthew R. McKay

Research output: Contribution to journalArticle

12 Citations (Scopus)

Abstract

A large dimensional characterization of robust M-estimators of covariance (or scatter) is provided under the assumption that the dataset comprises independent (essentially Gaussian) legitimate samples as well as arbitrary deterministic samples, referred to as outliers. Building upon recent random matrix advances in the area of robust statistics, we specifically show that the so-called Maronna M-estimator of scatter asymptotically behaves similar to well-known random matrices when the population and sample sizes grow together to infinity. The introduction of outliers leads the robust estimator to behave asymptotically as the weighted sum of the sample outer products, with a constant weight for all legitimate samples and different weights for the outliers. A fine analysis of this structure reveals importantly that the propensity of the M-estimator to attenuate (or enhance) the impact of outliers is mostly dictated by the alignment of the outliers with the inverse population covariance matrix of the legitimate samples. Thus, robust M-estimators can bring substantial benefits over more simplistic estimators such as the per-sample normalized version of the sample covariance matrix, which is not capable of differentiating the outlying samples. The analysis shows that, within the class of Maronna's estimators of scatter, Huber estimator is more favorable (in a sense to be defined) for rejecting outliers than classical alternatives such as Tyler's scale invariant estimator, often preferred in the literature. In fact, the analysis reveals that estimators similar to Tyler's run the risk of enhancing (instead of mitigating) some outliers.
Original languageEnglish
Pages (from-to)5784-5797
Number of pages14
JournalIEEE Transactions on Signal Processing
Volume63
Issue number21
Early online date24 Jul 2015
DOIs
Publication statusPublished - 01 Nov 2015

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