Eigenvalue Estimation of Parameterized Covariance Matrices of Large Dimensional Data

DOI10.1109/TSP.2012.2212016MaRDI QIDQ4574128zbMATH OpenOpenAlexFDO

Authors Abla Kammoun, Jamal Najim, Jian-Feng Yao

Publication date 18 July 2018

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

Full work available at URL https://arxiv.org/abs/1201.4672

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: This paper deals with the problem of estimating the covariance matrix of a series of independent multivariate observations, in the case where the dimension of each observation is of the same order as the number of observations. Although such a regime is of interest for many current statistical signal processing and wireless communication issues, traditional methods fail to produce consistent estimators and only recently results relying on large random matrix theory have been unveiled. In this paper, we develop the parametric framework proposed by Mestre, and consider a model where the covariance matrix to be estimated has a (known) finite number of eigenvalues, each of it with an unknown multiplicity. The main contributions of this work are essentially threefold with respect to existing results, and in particular to Mestre's work: To relax the (restrictive) separability assumption, to provide joint consistent estimates for the eigenvalues and their multiplicities, and to study the variance error by means of a Central Limit theorem.

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• Exponential bounds for regularized Hotelling's T2 statistic in high dimension
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• An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes

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