A Convex Formulation for the Robust Estimation of Multivariate Exponential Power Models

Abstract

The multivariate power exponential (MEP) distribution can model a broad range of signals. In noisy scenarios, the robust estimation of the MEP parameters has been traditionally addressed by a fixed-point approach associated with a nonconvex optimization problem. Establishing convergence properties for this approach when the distribution mean is unknown is still an open problem. As an alternative, this paper presents a novel convex formulation for robustly estimating MEP parameters in the presence of multiplicative perturbations. The proposed approach is grounded on a re-parametrization of the original likelihood function in a way that ensures convexity. We also show that this property is preserved for several typical regularization functions. Compared with the robust Tyler’s estimator, the proposed method shows a more accurate precision matrix estimation, with similar mean and covariance estimation performance.