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Joint Estimation of Location and Scatter in Complex Elliptical Distributions: A robust semiparametric and computationally efficient R-estimator of the shape matrix
Stefano Fortunati, Alexandre Renaux, Frédéric Pascal
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The joint estimation of the location vector and the shape matrix of a set of independent and identically Complex Elliptically Symmetric (CES) distributed observations is investigated from both the theoretical and computational viewpoints. This joint estimation problem is framed in the original context of semiparametric models allowing us to handle the (generally unknown) density generator as an \textit{infinite-dimensional} nuisance parameter. In the first part of the paper, a computationally efficient and memory saving implementation of the robust and semiparmaetric efficient R-estimator for shape matrices is derived. Building upon this result, in the second part, a joint estimator, relying on the Tyler's M-estimator of location and on the R-estimator of shape matrix, is proposed and its Mean Squared Error (MSE) performance compared with the Semiparametric Cram\'{e}r-Rao Bound (CSCRB).
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