Shrinkage estimation of high dimensional covariance matrices

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Volumn , Issue , 2009, Pages 2937-2940

  Chen, Yilun ^a   Wiesel, Ami ^a   Hero III, Alfred O ^a  

^a The Department of Civil and Environmental Engineering   (United States)

Author keywords

Covariance estimation; Mean squared loss; Rao Blackwell; Shrinkage

Indexed keywords

CLOSED-FORM EXPRESSION; COVARIANCE ESTIMATION; COVARIANCE MATRICES; ESTIMATION ERRORS; GAUSSIAN MODEL; GAUSSIAN SETTING; HIGH-DIMENSIONAL; HIGH-DIMENSIONAL PROBLEMS; ITERATIVE APPROACH; MEAN SQUARED ERROR; MEAN-SQUARED LOSS; NUMBER OF SAMPLES; NUMERICAL SIMULATION; RAO-BLACKWELL; SHRINKAGE ESTIMATOR; SIMPLE EXPRESSION; SUFFICIENT STATISTICS;

ACOUSTICS; COMPUTER SIMULATION; COVARIANCE MATRIX; SHRINKAGE; SIGNAL PROCESSING;

ESTIMATION;

EID: 70349218023     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.2009.4960239     Document Type: Conference Paper

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