The empirical likelihood method applied to covariance matrix estimation

DOI10.1016/J.SIGPRO.2009.07.028MaRDI QIDQ1048855zbMATH OpenOpenAlexFDO

Authors Hugo Harari-Kermadec, P. Larzabal, Frédéric Pascal

Publication date 8 January 2010

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sigpro.2009.07.028

zbMATH Keywords

maximum likelihoodcovariance matrix estimationempirical likelihoodnon-Gaussian noisestructured parameters estimation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Estimation and detection in stochastic control theory (93E10)

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Cites work

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• Asymptotic Statistics
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• Covariance matrix estimation for CFAR detection in correlated heavy tailed clutter
• Distributed Estimation and Detection for Sensor Networks Using Hidden Markov Random Field Models
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence regions
• Performance Analysis of Covariance Matrix Estimates in Impulsive Noise
• Signal detection in Gaussian noise of unknown level: An invariance application
• The 1972 Wald Lecture Robust Statistics: A Review

Cited in

(4)

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• Computationally efficient maximum likelihood estimation of structured covariance matrices
• scientific article; zbMATH DE number 910669 (Why is no real title available?)
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