Estimation of Toeplitz Covariance Matrices in Large Dimensional Regime With Application to Source Detection

DOI10.1109/TSP.2015.2447493zbMATH Open1394.94618OpenAlexW1659823078MaRDI QIDQ4580805FDOQ4580805

Authors Julia Vinogradova, R. Couillet, W. Hachem

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/1403.1243

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Detection theory in information and communication theory (94A13)

Abstract: In this article, we derive concentration inequalities for the spectral norm of two classical sample estimators of large dimensional Toeplitz covariance matrices, demonstrating in particular their asymptotic almost sure consistence. The consistency is then extended to the case where the aggregated matrix of time samples is corrupted by a rank one (or more generally, low rank) matrix. As an application of the latter, the problem of source detection in the context of large dimensional sensor networks within a temporally correlated noise environment is studied. As opposed to standard procedures, this application is performed online, i.e. without the need to possess a learning set of pure noise samples.

Cited in

(6)

• Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening
• Sample Efficient Toeplitz Covariance Estimation
• On the behavior of large empirical autocovariance matrices between the past and the future
• Generalized Coprime Sampling of Toeplitz Matrices for Spectrum Estimation
• Embedding nonnegative definite Toeplitz matrices in nonnegative definite circulant matrices, with application to covariance estimation
• Random matrix improved covariance estimation for a large class of metrics*

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