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We propose and analyze a new estimator of the covariance matrix that admits strong theoretical guarantees under weak assumptions on the underlying distribution, such as existence of moments of only low order. While estimation of covariance matrices corresponding to sub-Gaussian distributions is well-understood, much less in known in the case of heavy-tailed data. As K. Balasubramanian and M. Yuan write, "data from real-world experiments oftentimes tend to be corrupted with outliers and/or exhibit heavy tails. In such cases, it is not clear that those covariance matrix estimators .. remain optimal" and "what are the other possible strategies to deal with heavy tailed distributions warrant further studies." We make a step towards answering this question and prove tight deviation inequalities for the proposed estimator that depend only on the parameters controlling the intrinsic dimension'' associated to the covariance matrix (as opposed to the dimension of the ambient space); in particular, our results are applicable in the case of high-dimensional observations.
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One-Bit Normalized Scatter Matrix Estimation For Complex Elliptically Symmetric Distributions
One-bit quantization has attracted attention in massive MIMO, radar, and array processing, due to its simplicity, low cost, and capability of parameter estimation. Specifically, the shape of the covariance of the unquantized data can be estimated from the arcsine law and onebit data, if the unquantized data is Gaussian. However, in practice, the Gaussian assumption is not satisfied due to outliers. It is known from the literature that outliers can be modeled by complex elliptically symmetric (CES) distributions with heavy tails. This paper shows that the arcsine law remains applicable to CES distributions. Therefore, the normalized scatter matrix of the unquantized data can be readily estimated from one-bit samples derived from CES distributions. The proposed estimator is not only computationally fast but also robust to CES distributions with heavy tails. These attributes will be demonstrated through numerical examples, in terms of computational time and the estimation error. An application in DOA estimation with MUSIC spectrum is also presented.
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- Award ID(s):
- 1712633
- PAR ID:
- 10275633
- Date Published:
- Journal Name:
- Proc. IEEE Int. Conf. Acoust. Speech, and Signal Proc
- Page Range / eLocation ID:
- 9130 to 9134
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Conference Paper:
- https://doi.org/10.1109/ICASSP40776.2020.9053956
