The empirical likelihood method applied to covariance matrix estimation

DOI10.1016/J.SIGPRO.2009.07.028zbMATH Open1177.94068OpenAlexW1996309066MaRDI QIDQ1048855FDOQ1048855

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

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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)

Cites Work

• Asymptotic Statistics
• Empirical likelihood ratio confidence regions
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• Empirical likelihood and general estimating equations
• Empirical likelihood
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• Channel identification for high speed digital communications
• Covariance Structure Maximum-Likelihood Estimates in Compound Gaussian Noise: Existence and Algorithm Analysis
• The 1972 Wald Lecture Robust Statistics: A Review
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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
• Performance Analysis of Covariance Matrix Estimates in Impulsive Noise
• Signal detection in Gaussian noise of unknown level: An invariance application

Cited In (4)

• Calibration of the empirical likelihood method for a vector mean
• Computationally efficient maximum likelihood estimation of structured covariance matrices
• Title not available (Why is that?)
• Covariance matrix estimation in the presence of auxiliary information

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