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Estimating complex covariance matrices

Lennart Svensson (Institutionen för signaler och system, Signalbehandling) ; Magnus Lundberg (Institutionen för signaler och system, Signalbehandling)
Proc. 38th Asilomar conference on signals, systems and computers (2004)
[Konferensbidrag, refereegranskat]

The problem of estimating complex covariance matrices is considered. The objective is to obtain a well behaving estimator that circumvents the weaknesses of the standard sample covariance and regularized estimators. To this end, we use a variational technique that previously has been successfully applied in the real data case. As a side result, an important identity for complex Wishart distributions is also derived. Simulations indicate substantial improvements compared to both the sample covariance and the regularized estimator.

Denna post skapades 2010-05-12. Senast ändrad 2010-05-12.
CPL Pubid: 121541


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Institutionen för signaler och system, Signalbehandling


Matematisk statistik

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