Computationally efficient maximum likelihood estimation of structured covariance matrices

DOI10.1109/78.757219MaRDI QIDQ2723620zbMATH OpenOpenAlexFDO

Authors Hongbin Li, Petre Stoica, Jian Li

Publication date 8 July 2001

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/78.757219

zbMATH Keywords

simulation studyAML algorithmextended invariance principle

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

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Cited in

(17)

• On the existence of positive-definite maximum-likelihood estimates of structured covariance matrices
• Estimation of structured covariances with application to array beamforming
• Computing the square roots of matrices with central symmetry
• Parallel restricted maximum likelihood estimation for linear models with a dense exogenous matrix
• Covariance Structure Maximum-Likelihood Estimates in Compound Gaussian Noise: Existence and Algorithm Analysis
• Fitting Laplacian regularized stratified Gaussian models
• Numerical solutions of AXB=C for centrosymmetric matrix X under a specified submatrix constraint.
• Numerically Stable Implementations of the Structured Covariance Expectation-Maximization Algorithm
• Structured low rank approximation
• A modified COMET-EXIP method for estimating a scattered source
• scientific article; zbMATH DE number 910669 (Why is no real title available?)
• The empirical likelihood method applied to covariance matrix estimation
• Perturbation analysis for the QX factorization for centrosymmetric matrices
• Rigorous perturbation bounds for the QX decomposition for centrosymmetric matrices
• Reweighted covariance fitting based on nonconvex Schatten-p minimization for gridless direction of arrival estimation
• Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods
• Maximum likelihood estimation of structured persymmetric covariance matrices

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