Optimal Bounds for Tyler's M-Estimator for Elliptical Distributions

• URL: http://arxiv.org/abs/2510.13751v1
• Date: Wed, 15 Oct 2025 16:58:13 GMT
• Title: Optimal Bounds for Tyler's M-Estimator for Elliptical Distributions
• Authors: Lap Chi Lau, Akshay Ramachandran,
• Abstract summary: Tyler proposed a natural M-estimator for distributions.<n>We show that this estimator performs very well, and that Tyler's iterative procedure converges quickly to the estimator.<n>We show that distributions satisfy $infty$-expansion at the optimal sample threshold, and then prove a novel scaling result for inputs satisfying this condition.
• Score: 1.6312989763677888
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: A fundamental problem in statistics is estimating the shape matrix of an Elliptical distribution. This generalizes the familiar problem of Gaussian covariance estimation, for which the sample covariance achieves optimal estimation error. For Elliptical distributions, Tyler proposed a natural M-estimator and showed strong statistical properties in the asymptotic regime, independent of the underlying distribution. Numerical experiments show that this estimator performs very well, and that Tyler's iterative procedure converges quickly to the estimator. Franks and Moitra recently provided the first distribution-free error bounds in the finite sample setting, as well as the first rigorous convergence analysis of Tyler's iterative procedure. However, their results exceed the sample complexity of the Gaussian setting by a $\log^{2} d$ factor. We close this gap by proving optimal sample threshold and error bounds for Tyler's M-estimator for all Elliptical distributions, fully matching the Gaussian result. Moreover, we recover the algorithmic convergence even at this lower sample threshold. Our approach builds on the operator scaling connection of Franks and Moitra by introducing a novel pseudorandom condition, which we call $\infty$-expansion. We show that Elliptical distributions satisfy $\infty$-expansion at the optimal sample threshold, and then prove a novel scaling result for inputs satisfying this condition.

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