Estimation for the Linear Model With Uncertain Covariance Matrices

DOI10.1109/TSP.2014.2301973zbMATH Open1394.94676DBLPjournals/tsp/ZachariahSBJC14arXiv1401.7195WikidataQ62585875 ScholiaQ62585875MaRDI QIDQ4579076FDOQ4579076

Authors: Dave Zachariah, Nafiseh Shariati, M. Bengtsson, Magnus Jansson, Saikat Chatterjee 

Publication date: 22 August 2018

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

Abstract: We derive a maximum a posteriori estimator for the linear observation model, where the signal and noise covariance matrices are both uncertain. The uncertainties are treated probabilistically by modeling the covariance matrices with prior inverse-Wishart distributions. The nonconvex problem of jointly estimating the signal of interest and the covariance matrices is tackled by a computationally efficient fixed-point iteration as well as an approximate variational Bayes solution. The statistical performance of estimators is compared numerically to state-of-the-art estimators from the literature and shown to perform favorably.

Full work available at URL: https://arxiv.org/abs/1401.7195

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (5)

• Estimate of trend parameters and variance components in the linear model with unknown covariance matrix.
• Reduced-rank estimation for ill-conditioned stochastic linear model with high signal-to-noise ratio
• The impact of estimation uncertainty on covariate effects in nonlinear models
• Title not available (Why is that?)
• Title not available (Why is that?)

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