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Bounds for estimation of covariance matrices from heterogeneous samples

Besson, Olivier and Bidon, Stéphanie and Tourneret, Jean-Yves Bounds for estimation of covariance matrices from heterogeneous samples. (2008) IEEE Transactions on Signal Processing, vol. 5 (n° 7). pp. 3357-3362. ISSN 1053-587X

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Official URL: http://dx.doi.org/10.1109/TSP.2008.917341

Abstract

This correspondence derives lower bounds on the mean-square error (MSE) for the estimation of a covariance matrix mbi Mp, using samples mbi Zk,k=1,...,K, whose covariance matrices mbi Mk are randomly distributed around mbi Mp. This framework can be encountered e.g., in a radar system operating in a nonhomogeneous environment, when it is desired to estimate the covariance matrix of a range cell under test, using training samples from adjacent cells, and the noise is nonhomogeneous between the cells. We consider two different assumptions for mbi Mp. First, we assume that mbi Mp is a deterministic and unknown matrix, and we derive the Cramer-Rao bound for its estimation. In a second step, we assume that mbi Mp is a random matrix, with some prior distribution, and we derive the Bayesian bound under this hypothesis.

Item Type:Article
Additional Information:Thanks to the Institute of Electrical and Electronics Engineers(IEEE).The original PDF can be found on the IEEE website : http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=78
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution: Université de Toulouse > Université de Toulouse I-Sciences Sociales - UT1
Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE
Université de Toulouse > Institut National Polytechnique de Toulouse - INPT
Université de Toulouse > Université Paul Sabatier-Toulouse III - UPS
French research institutions > Centre National de la Recherche Scientifique - CNRS
Université de Toulouse > Université de Toulouse II-Le Mirail - UTM
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Deposited By: Olivier Besson

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