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On Toeplitz and Kronecker Structured Covariance Matrix Estimation
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0001-6615-6583
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-6855-5868
2010 (English)In: Sensor Array and Multichannel Signal Processing Workshop: SAM, IEEE , 2010, 185-188 p.Conference paper, Published paper (Refereed)
Abstract [en]

A number of signal processing applications require the estimation of covariance matrices. Sometimes, the particular scenario or system imparts a certain theoretical structure on the matrices that are to be estimated. Using this knowledge allows the design of algorithms exploiting such structure, resulting in more robust and accurate estimators, especially for small samples. We study a scenario with a measured covariance matrix known to be the Kronecker product of two other, possibly structured, covariance matrices that are to be estimated. Examples of scenarios in which such a problem occurs are MIMO-communications and EEG measurements. When the matrices that are to be estimated are Toeplitz structured, we show our algorithms to be able to achieve the Cramér-Rao Lower Bound already at very small sample sizes.

Place, publisher, year, edition, pages
IEEE , 2010. 185-188 p.
Keyword [en]
Algorithm design and analysis, Brain modeling, Covariance matrix, Estimation, Signal processing, Signal processing algorithms, Symmetric matrices
National Category
Signal Processing Telecommunications
Identifiers
URN: urn:nbn:se:kth:diva-44910DOI: 10.1109/SAM.2010.5606733Scopus ID: 2-s2.0-78650152924ISBN: 978-1-4244-9395-1 (print)OAI: oai:DiVA.org:kth-44910DiVA: diva2:451520
Conference
Sensor Array and Multichannel Signal Processing Workshop
Projects
ACCESS
Funder
EU, FP7, Seventh Framework Programme, 228044
Note
© 2010 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. QC 20111026Available from: 2011-10-26 Created: 2011-10-26 Last updated: 2012-02-12Bibliographically approved

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Wirfält, PetterJansson, Magnus
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