Abstract
Conference Title: ICASSP 2015 - 2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) Conference Start Date: 2015, April 19 Conference End Date: 2015, April 24 Conference Location: South Brisbane, Queensland, Australia This paper lies in the lineage of recent works studying the asymptotic behaviour of robust-scatter estimators in the case where the number of observations and the dimension of the population covariance matrix grow at infinity with the same pace. In particular, we analyze the fluctuations of bilinear forms of the robust shrinkage estimator of covariance matrix. We show that this result can be leveraged in order to improve the design of robust detection methods. As an example, we provide an improved generalized likelihood ratio based detector which combines robustness to impulsive observations and optimality across the shrinkage parameter, the optimality being considered for the false alarm regulation.