OATAO - Open Archive Toulouse Archive Ouverte Open Access Week

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, 5 (7). 3357-3362. ISSN 1053-587X

(Document in English)

PDF (Author's version) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader

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


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
HAL Id:hal-03610279
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution:Université de Toulouse > Université Toulouse 1 Capitole - UT1 (FRANCE)
Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
Université de Toulouse > Institut National Polytechnique de Toulouse - Toulouse INP (FRANCE)
Université de Toulouse > Université Toulouse III - Paul Sabatier - UT3 (FRANCE)
French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE)
Université de Toulouse > Université Toulouse - Jean Jaurès - UT2J (FRANCE)
Laboratory name:
Délégation Générale pour l'Armement (DGA) - Thales Systèmes Aéroportés
Deposited On:07 Nov 2008 16:05

Repository Staff Only: item control page