Maximum Likelihood Estimation of a Structured Covariance Matrix With a Condition Number Constraint
From MaRDI portal
Publication:4573788
DOI10.1109/TSP.2012.2190408zbMath1393.94166MaRDI QIDQ4573788
Luca Pallotta, Augusto Aubry, Antonio De Maio, Alfonso Farina
Publication date: 18 July 2018
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Estimation and detection in stochastic control theory (93E10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
Related Items (6)
A new error in variables model for solving positive definite linear system using orthogonal matrix decompositions ⋮ Estimation of multivariate dependence structures via constrained maximum likelihood ⋮ On variable ordination of Cholesky‐based estimation for a sparse covariance matrix ⋮ Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective ⋮ Efficient algorithms for solving condition number-constrained matrix minimization problems ⋮ An efficient numerical method for condition number constrained covariance matrix approximation
This page was built for publication: Maximum Likelihood Estimation of a Structured Covariance Matrix With a Condition Number Constraint
