Joint Covariance Estimation With Mutual Linear Structure
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Publication:4618261
DOI10.1109/TSP.2015.2502556zbMATH Open1412.94091arXiv1507.00123MaRDI QIDQ4618261FDOQ4618261
Authors: Ami Wiesel, I. Soloveychik 
Publication date: 7 February 2019
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Abstract: We consider the problem of joint estimation of structured covariance matrices. Assuming the structure is unknown, estimation is achieved using heterogeneous training sets. Namely, given groups of measurements coming from centered populations with different covariances, our aim is to determine the mutual structure of these covariance matrices and estimate them. Supposing that the covariances span a low dimensional affine subspace in the space of symmetric matrices, we develop a new efficient algorithm discovering the structure and using it to improve the estimation. Our technique is based on the application of principal component analysis in the matrix space. We also derive an upper performance bound of the proposed algorithm in the Gaussian scenario and compare it with the Cramer-Rao lower bound. Numerical simulations are presented to illustrate the performance benefits of the proposed method.
Full work available at URL: https://arxiv.org/abs/1507.00123
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