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mateuszbaran / CovarianceEstimation.jl

Lightweight robust covariance estimation in Julia
MIT License
42 stars 7 forks source link

M-estimators #67

Open Marco-Congedo opened 4 years ago

Marco-Congedo commented 4 years ago

Hi,

referring to the list in issue #8 , i implemented the classical Tyler's M-estimator (1987) and the shrinked version proposed by Zhang and Wiesel (2016), with both the Ledoit & Wolf-type of shrinkage and the one advocated by the authors based on random matrix theory. The good news is that Zhang and Wiesel's estimator is pretty efficient, with a computational complexity comparable to the classical Tyler's M-estimator.

Are you interested in putting them in this package?

REFERENCES David E. Tyler (1987) A Distribution-Free M-Estimator of Multivariate Scatter The Annals of Statistics, 15(1), 234-251.

Teng Zhang, Ami Wiesel (2016) Automatic diagonal loading for Tyler's robust covariance estimator IEEE Statistical Signal Processing Workshop (SSP), 1-5.

tlienart commented 4 years ago

Definitely, thanks!

Marco-Congedo commented 4 years ago

Nice, actually the two algorithms are stand-alone, they only requires LinearAlgebra. Let me commit the .jl to start with, so that you can check and tell me how you see the support for those estimators should be done. Ok?

mateuszbaran commented 4 years ago

Thanks! I can look at your code and give some tips.

Marco-Congedo commented 4 years ago

OK, let me clean up a bit the code and i will commit.

Marco-Congedo commented 4 years ago

I committed. You will also find code for testing and benchmarking the algorithms as they stand. If you have any question do not hesitate to ask.

mateuszbaran commented 4 years ago

Thanks but where did you commit it?

Marco-Congedo commented 4 years ago

Sorry, now it should be OK.

mateuszbaran commented 4 years ago

Sorry but I can't find it, could you paste a link here?

mateuszbaran commented 4 years ago

OK, I see it now :+1: .

Marco-Congedo commented 2 years ago

Hello, any news on the addition of the Tyler's type M-estimator?

mateuszbaran commented 2 years ago

Sorry for this delay but it looks like it still requires a considerable amount of work. I don't currently need covariance estimation for anything so I keep prioritizing other tasks.