shrinkM toolbox
The MATLAB toolbox shrinkM is a collection of functions to compute the M-estimators of covariance with optimal (in the MMSE sense) eigenvalue shrinkage proposed in references [1] and [2]. The toolbox contains methods for the proposed RSCM, RHub, RMVT and RTyl estimators.
We also include a demo example of how to use the functions in the toolbox on a simulated data. The simulated data follows a Gaussian distribution with an AR(1) covariance structure. With the provided demo example you can reproduce the figures in references [1,2] related to this simulation design.
Contents
How to cite
If you use this toolbox or any of its function, please cite at least one of the publications below:
- [1] Esa Ollila, Daniel P. Palomar, and Frederic Pascal, "Shrinking the eigenvalues of M-estimators of covariance matrix," Arxiv, 2020.
- [2] E. Ollila, D.P. Palomar and F. Pascal, "M-estimators of scatter with eigenvalue shrinkage," in Proc. IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP'20), Barcelona, Spain, May 4-9, 2020, pp. 5305-5309. doi
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