Robust estimation of covariance matrices

DOI10.1109/9.58534MaRDI QIDQ5202605zbMATH OpenOpenAlexFDO

Authors Reid G. Reynolds

Publication date 1990

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.58534

zbMATH Keywords

robustnessslowly varying systems

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

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Cited in

(11)

• Error covariance matrix estimation of noisy and dynamically coupled time series
• Robust surveillance of covariance matrices using a single observation
• Improved robust performance bounds in covariance majorant analysis
• scientific article; zbMATH DE number 6117333 (Why is no real title available?)
• Estimation robuste pour des lois à symétrie elliptique à matrice de covariance inconnue
• Robust estimation of structured covariance matrices
• Asymptotic Properties of Robust Complex Covariance Matrix Estimates
• Robust Covariance Matrix Estimation in Heterogeneous Low Rank Context
• Robust Estimation of Structured Covariance Matrix for Heavy-Tailed Elliptical Distributions
• scientific article; zbMATH DE number 7376767 (Why is no real title available?)
• Robust Estimation of Multivariate Covariance Components

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