Robust shrinkage estimation of high-dimensional covariance matrices

IEEE Transactions on Signal Processing

Volumn 59, Issue 9, 2011, Pages 4097-4107

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

^a UNIVERSITY OF MICHIGAN   (United States)

^b HEBREW UNIVERSITY OF JERUSALEM   (Israel)

Author keywords

Activity intrusion detection; covariance estimation; elliptical distribution; large p small n; robust estimation; shrinkage methods; wireless sensor network

Indexed keywords

COVARIANCE ESTIMATION; ELLIPTICAL DISTRIBUTION; LARGE P SMALL N; ROBUST ESTIMATION; WIRELESS SENSOR;

COVARIANCE MATRIX; MEAN SQUARE ERROR; SENSORS; SHRINKAGE; WIRELESS NETWORKS;

ESTIMATION;

EID: 80051725450     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TSP.2011.2138698     Document Type: Article

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