Estimation for the Linear Model With Uncertain Covariance Matrices

DOI10.1109/TSP.2014.2301973MaRDI QIDQ4579076zbMATH OpenDBLPWikidataFDO

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)

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

Mathematics Subject Classification ID

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

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.

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
• scientific article; zbMATH DE number 4064310 (Why is no real title available?)
• scientific article; zbMATH DE number 5509652 (Why is no real title available?)

This page was built for publication: Estimation for the Linear Model With Uncertain Covariance Matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4579076)