Search: id:"swepub:oai:DiVA.org:kth-82688" >
Structured Covarian...
Structured Covariance Matrix Estimation : A Parametric Approach
-
- Jansson, Magnus (author)
- KTH,Signaler, sensorer och system
-
- Ottersten, Björn, 1961- (author)
- KTH,Signaler, sensorer och system
-
(creator_code:org_t)
- IEEE, 2000
- 2000
- English.
-
In: Proceedings IEEE International Conference on Acoustics, Speech, and Signal Processing. - : IEEE. ; , s. 3172-3175
- Related links:
-
https://urn.kb.se/re...
-
show more...
-
https://doi.org/10.1...
-
show less...
Abstract
Subject headings
Close
- The problem of estimating a positive semi-definite Toeplitz covariance matrix consisting of a low rank matrix plus a scaled identity from noisy data arises in many applications. We propose a computationally attractive (noniterative) covariance matrix estimator with certain optimality properties. For example, under suitable assumptions the proposed estimator achieves the Cramer-Rao lower bound on the covariance matrix parameters. The resulting covariance matrix estimate is also guaranteed to possess all of the structural properties of the true covariance matrix. Previous approaches to this problem have either resulted in computationally unattractive iterative solutions or have provided estimates that only satisfy some of the structural relations
Subject headings
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)
Keyword
- Approximation methods
- Covariance matrix
- Gaussian distribution
- Iterative methods
- Maximum likelihood estimation
- Minimization methods
- Optimization methods
- Sensor systems
- Signal processing
- Signal to noise ratio
Publication and Content Type
- ref (subject category)
- kon (subject category)
To the university's database