Robust Covariance Matrix Estimation in Heterogeneous Low Rank Context

DOI10.1109/TSP.2016.2599494MaRDI QIDQ4621031zbMATH OpenOpenAlexFDO

Authors Arnaud Breloy, Guillaume Ginolhac, Frédéric Pascal, Philippe Forster

Publication date 8 February 2019

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

Full work available at URL https://doi.org/10.1109/tsp.2016.2599494

Mathematics Subject Classification ID

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

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Cited in

(5)

• Entrywise Estimation of Singular Vectors of Low-Rank Matrices With Heteroskedasticity and Dependence
• High‐dimensional covariance matrix estimation using a low‐rank and diagonal decomposition
• Optimally Weighted PCA for High-Dimensional Heteroscedastic Data
• A semidefinite relaxation for sums of heterogeneous quadratic forms on the Stiefel manifold
• Trajectory optimization of unmanned aerial vehicles in the electromagnetic environment

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