High-Dimensional Regularization of the Spatial Sign Covariance Matrix for Robust Shape Estimation
空间符号协方差矩阵的高维正则化与稳健形状估计
Covariance estimation is a key component of many applications in system identification and data-driven control. Although heavy-tailed distributions may lack a covariance matrix to estimate, the shape matrix provides a well-defined, scale-free generalization for the broad family of elliptical distributions. In this setting, practitioners often employ Tyler's M-estimator (TME), which is defined implicitly and is computed using a fixed-point iteration. The spatial sign…