Robust shrinkage estimation of high-dimensional covariance matrices

2010 IEEE Sensor Array and Multichannel Signal Processing Workshop, SAM 2010

Volumn , Issue , 2010, Pages 189-192

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

^a Department of Ecology and Evolutionary Biology   (United States)

^b HEBREW UNIVERSITY OF JERUSALEM   (Israel)

Author keywords

[No Author keywords available]

Indexed keywords

CLOSED FORM; CLOSED-FORM EXPRESSION; COVARIANCE ESTIMATION; COVARIANCE MATRICES; DISTRIBUTION-FREE; ELLIPTICAL DISTRIBUTIONS; ESTIMATION ERRORS; FIXED POINT ITERATION; HEAVY-TAILED; HIGH-DIMENSIONAL; HIGH-DIMENSIONAL PROBLEMS; MINIMUM MEAN SQUARED ERROR; NUMBER OF SAMPLES; PLUG-IN ESTIMATE;

COVARIANCE MATRIX; SENSOR ARRAYS; SHRINKAGE; SIGNAL PROCESSING;

ESTIMATION;

EID: 78650161161     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/SAM.2010.5606730     Document Type: Conference Paper

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