Covariance Structure Maximum-Likelihood Estimates in Compound Gaussian Noise: Existence and Algorithm Analysis

DOI10.1109/TSP.2007.901652MaRDI QIDQ4567600zbMATH OpenOpenAlexFDO

Authors Frédéric Pascal, Jean Philippe Ovarlez, Philippe Forster, Yacine Chitour, P. Larzabal

Publication date 27 June 2018

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

Full work available at URL https://doi.org/10.1109/tsp.2007.901652

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Recommendations

• Computationally efficient maximum likelihood estimation of structured covariance matrices
• On the maximum likelihood estimation of a covariance matrix
• Maximum Likelihood Estimation of a Structured Covariance Matrix With a Condition Number Constraint
• On the existence of positive-definite maximum-likelihood estimates of structured covariance matrices
• Maximum likelihood estimation for linear Gaussian covariance models
• Generalized maximum-likelihood estimation of variance-covariance components with non-infor\-mative prior.
• Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs
• Exact Maximum Likelihood Estimates for SIRV Covariance Matrix: Existence and Algorithm Analysis
• Maximum likelihood estimation of structured persymmetric covariance matrices
• Computationally efficient restricted maximum likelihood estimation of generalized covariance functions

Cited in

(17)

• Gaussian and robust Kronecker product covariance estimation: existence and uniqueness
• A maxiset approach of a Gaussian noise model
• Performance analysis of GLRT-based adaptive detector for distributed targets in compound-Gaussian clutter
• Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
• The empirical likelihood method applied to covariance matrix estimation
• Maximum likelihood estimation via the extended covariance and combined square-root filters
• Generalized maximum-likelihood estimation of variance-covariance components with non-infor\-mative prior.
• Performance analysis of two structured covariance matrix estimators in compound-Gaussian clutter
• CFAR assessment of covariance matrix estimators for non-Gaussian clutter
• A review of Tyler's shape matrix and its extensions
• On the existence of positive-definite maximum-likelihood estimates of structured covariance matrices
• Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data
• The random matrix regime of Maronna's M-estimator with elliptically distributed samples
• Covariance structure regularization via Frobenius-norm discrepancy
• Improving portfolios global performance using a cleaned and robust covariance matrix estimate
• Covariance structure regularization via entropy loss function
• Conditional Expected Likelihood Technique for Compound Gaussian and Gaussian Distributed Noise Mixtures

This page was built for publication: Covariance Structure Maximum-Likelihood Estimates in Compound Gaussian Noise: Existence and Algorithm Analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4567600)