Z. D. Bai and J. W. Silverstein, No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices, The Annals of Probability, vol.26, issue.1, pp.316-345, 1998.
DOI : 10.1214/aop/1022855421

Z. D. Bai and J. W. Silverstein, Spectral analysis of large dimensional random matrices, 2009.
DOI : 10.1007/978-1-4419-0661-8

Y. Chen, A. Wiesel, and A. O. Hero, Robust Shrinkage Estimation of High-Dimensional Covariance Matrices, IEEE Transactions on Signal Processing, vol.59, issue.9, pp.4097-4107, 2011.
DOI : 10.1109/TSP.2011.2138698

R. Couillet, F. Pascal, and J. W. Silverstein, Robust M-estimation for Array Processing: a random matrix approach, IEEE Transactions on Information Theory. URL, 2013.

R. Couillet, F. Pascal, and J. W. Silverstein, The random matrix regime of Maronna???s M-estimator with elliptically distributed samples, Journal of Multivariate Analysis, vol.139, p.7034, 1311.
DOI : 10.1016/j.jmva.2015.02.020
URL : https://hal.archives-ouvertes.fr/hal-01242488

V. Dahirel, K. Shekhar, F. Pereyra, T. Miura, M. Artyomov et al., Coordinate linkage of HIV evolution reveals regions of immunological vulnerability, Proceedings of the National Academy of Sciences, pp.11530-11535, 2011.
DOI : 10.1073/pnas.1105315108

R. A. Horn and C. R. Johnson, Matrix Analysis, 1985.

P. J. Huber, Robust Estimation of a Location Parameter, The Annals of Mathematical Statistics, vol.35, issue.1, pp.73-101, 1964.
DOI : 10.1214/aoms/1177703732

J. T. Kent and D. E. Tyler, Redescending M-estimates of multivariate location and scatter. The Annals of Statistics, pp.2102-2119, 1991.

L. Laloux, P. Cizeau, M. Potters, and J. P. Bouchaud, RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS, International Journal of Theoretical and Applied Finance, vol.03, issue.03, pp.391-397, 2000.
DOI : 10.1142/S0219024900000255

O. Ledoit and M. Wolf, Improved estimation of the covariance matrix of stock returns with an application to portfolio selection, Journal of Empirical Finance, vol.10, issue.5, pp.603-621, 2003.
DOI : 10.1016/S0927-5398(03)00007-0

O. Ledoit and M. Wolf, A well-conditioned estimator for large-dimensional covariance matrices, Journal of Multivariate Analysis, vol.88, issue.2, pp.365-411, 2004.
DOI : 10.1016/S0047-259X(03)00096-4

R. A. Maronna, Robust M-estimators of multivariate location and scatter. The annals of statistics, pp.51-67, 1976.

V. A. Mar?-cenko and L. A. Pastur, DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES, Mathematics of the USSR-Sbornik, vol.1, issue.4, pp.457-483, 1967.
DOI : 10.1070/SM1967v001n04ABEH001994

X. Mestre, Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates, IEEE Transactions on Information Theory, vol.54, issue.11, pp.5113-5129, 2008.
DOI : 10.1109/TIT.2008.929938

X. Mestre, On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices, IEEE Transactions on Signal Processing, vol.56, issue.11, pp.5353-5368, 2008.
DOI : 10.1109/TSP.2008.929662

X. Mestre, M. Lagunas, and . Feb, Modified Subspace Algorithms for DoA Estimation With Large Arrays, IEEE Transactions on Signal Processing, vol.56, issue.2, pp.598-614, 2008.
DOI : 10.1109/TSP.2007.907884

F. Pascal, Y. Chitour, and Y. Quek, Generalized robust shrinkage estimator ? Application to STAP data. Submitted for publication, p.6567, 1311.

A. A. Quadeer, R. H. Louie, K. Shekhar, A. K. Chakraborty, I. Hsing et al., Statistical linkage of mutations in the non-structural proteins of hepatitis C virus exposes targets for immunogen design, 2013.

F. Rubio, X. Mestre, and D. P. Palomar, Performance analysis and optimal selection of large minimum variance portfolios under estimation risk. Selected Topics in Signal Processing, IEEE Journal, vol.6, issue.4, pp.337-350, 2012.

J. Schäfer and K. Strimmer, A Shrinkage Approach to Large-Scale Covariance Matrix Estimation and Implications for Functional Genomics, Statistical Applications in Genetics and Molecular Biology, vol.4, issue.1, p.32, 2005.
DOI : 10.2202/1544-6115.1175

L. Scharf, Statistical Signal Processing: Detection, Estimation and Time- Series Analysis, 1991.

J. W. Silverstein and Z. D. Bai, On the Empirical Distribution of Eigenvalues of a Class of Large Dimensional Random Matrices, Journal of Multivariate Analysis, vol.54, issue.2, pp.175-192, 1995.
DOI : 10.1006/jmva.1995.1051

J. W. Silverstein and S. Choi, Analysis of the Limiting Spectral Distribution of Large Dimensional Random Matrices, Journal of Multivariate Analysis, vol.54, issue.2, pp.295-309, 1995.
DOI : 10.1006/jmva.1995.1058

J. H. Steiger, Tests for comparing elements of a correlation matrix., Psychological Bulletin, vol.87, issue.2, p.245, 1980.
DOI : 10.1037/0033-2909.87.2.245

E. C. Titchmarsh, The Theory of Functions, 1939.

D. E. Tyler, A Distribution-Free $M$-Estimator of Multivariate Scatter, The Annals of Statistics, vol.15, issue.1, pp.234-251, 1987.
DOI : 10.1214/aos/1176350263

J. Yu, M. R. Mckay, and F. Rubio, Minimum variance portfolio optimisation with high frequency data: A robust approach based on random matrix theory, 2013.

T. Zhang, X. Cheng, and A. Singer, Marchenko-Pastur Law for Tyler's and Maronna's M-estimators, 2014.