Efficient Estimation of Scatter Matrix with Convex Structure Under $T$ -Distribution

Bruno Meriaux; Chengfang Ren; Mohammed Nabil El Korso; Arnaud Breloy; Philippe Forster

ICASSP 2018accepted0 citations

Efficient Estimation of Scatter Matrix with Convex Structure Under $T$ -Distribution

Bruno Meriaux, Chengfang Ren, Mohammed Nabil El Korso, Arnaud Breloy, Philippe Forster

Abstract

This paper addresses structured covariance matrix estimation under t -distribution. Covariance matrices frequently reveal a particular structure due to the considered application and taking into account this structure usually improves estimation accuracy. In the framework of robust estimation, the t -distribution is particularly suited to describe heavy-tailed observation. In this context, we propose an efficient estimation procedure for covariance matrices with convex structure under t -distribution. Numerical examples for Hermitian Toeplitz structure corroborate the theoretical analysis.

BibTeX

@inproceedings{icassp2018_efficientestimat,
  title = {Efficient Estimation of Scatter Matrix with Convex Structure Under $T$ -Distribution},
  author = {Bruno Meriaux and Chengfang Ren and Mohammed Nabil El Korso and Arnaud Breloy and Philippe Forster},
  booktitle = {ICASSP 2018},
  year = {2018}
}