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Covariance matrix estimation with heterogeneous samples

Besson, Olivier and Bidon, Stéphanie and Tourneret, Jean-Yves Covariance matrix estimation with heterogeneous samples. (2008) IEEE Transactions on Signal Processing, vol. 5 (n° 3). pp. 909-920. ISSN 1053-587X

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Official URL: http://dx.doi.org/10.1109/TSP.2007.908995

Abstract

We consider the problem of estimating the covariance matrix Mp of an observation vector, using heterogeneous training samples, i.e., samples whose covariance matrices are not exactly Mp. More precisely, we assume that the training samples can be clustered into K groups, each one containing Lk, snapshots sharing the same covariance matrix Mk. Furthermore, a Bayesian approach is proposed in which the matrices Mk. are assumed to be random with some prior distribution. We consider two different assumptions for Mp. In a fully Bayesian framework, Mp is assumed to be random with a given prior distribution. Under this assumption, we derive the minimum mean-square error (MMSE) estimator of Mp which is implemented using a Gibbs-sampling strategy. Moreover, a simpler scheme based on a weighted sample covariance matrix (SCM) is also considered. The weights minimizing the mean square error (MSE) of the estimated covariance matrix are derived. Furthermore, we consider estimators based on colored or diagonal loading of the weighted SCM, and we determine theoretically the optimal level of loading. Finally, in order to relax the a priori assumptions about the covariance matrix Mp, the second part of the paper assumes that this matrix is deterministic and derives its maximum-likelihood estimator. Numerical simulations are presented to illustrate the performance of the different estimation schemes.

Item Type:Article
Additional Information:Thanks to 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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