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The Reference Prior...
The Reference Prior for Complex Covariance Matrices With Efficient Implementation Strategies
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- Svensson, Lennart, 1976 (författare)
- Chalmers tekniska högskola,Chalmers University of Technology
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- Nordenvaad, Magnus Lundberg (författare)
- Luleå tekniska universitet,Signaler och system
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(creator_code:org_t)
- 2010
- 2010
- Engelska.
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Ingår i: IEEE Transactions on Signal Processing. - 1941-0476 .- 1053-587X. ; 58:1, s. 53-66
- Relaterad länk:
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https://doi.org/10.1...
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https://research.cha...
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https://urn.kb.se/re...
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Abstract
Ämnesord
Stäng
- The paper derives the reference prior for complex covariance matrices. The reference prior is a noninformative prior that circumvents some of the weaknesses of common alternatives in multidimensional settings. As a consequence, inference based on this prior renders well-behaving solutions that in many cases outperform traditionally used approaches. The main obstacle is that inference based on this prior require integration over high-dimensional spaces which have no closed form solutions. A focus of the paper is therefore to discuss efficient implementation strategies based on Markov chain Monte Carlo methods. It is identified that certain structures can be treated analytically both for the case where the parameter of interest is the covariance matrix itself but also for cases in which the covariance matrix is a nuisance parameter that characterizes noise color. Evaluation in both these settings also verify the superior performance obtained by using the proposed prior as compared to traditional techniques to treat unknown covariance matrices.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)
Nyckelord
- Adaptive estimation
- reference prior
- covariance matrix
- MCMC
- Signalbehandling
Publikations- och innehållstyp
- art (ämneskategori)
- ref (ämneskategori)
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