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Ml estimation of covariance matrices with kronecker and persymmetric structure
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-6855-5868
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0001-6615-6583
Ericsson Research, Ericsson AB, Kista, Sweden.
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0003-2298-6774
2009 (English)In: 2009 IEEE 13TH DIGITAL SIGNAL PROCESSING WORKSHOP & 5TH IEEE PROCESSING EDUCATION WORKSHOP, VOLS 1 AND 2, PROCEEDINGS, NEW YORK: IEEE , 2009, 298-301 p.Conference paper, Published paper (Refereed)
Abstract [en]

Estimation of covariance matrices is often an integral part in many signal processing algorithms. In some applications, the covariance matrices can be assumed to have certain structure. Imposing this structure in the estimation typically leads to improved accuracy and robustness (e.g., to small sample effects). In MIMO communications or in signal modelling of EEG data the full covariance matrix can sometimes be modelled as the Kronecker product of two smaller covariance matrices. These smaller matrices may also be structured, e.g., being Toeplitz or at least persymmetric. In this paper we discuss a recently proposed closed form maximum likelihood (ML) based method for the estimation of the Kronecker factor matrices. We also extend the previously presented method to be able to impose the persymmetric constraint into the estimator. Numerical examples show that the mean square errors of the new estimator attains the Cramer-Rao bound even for very small sample sizes.

Place, publisher, year, edition, pages
NEW YORK: IEEE , 2009. 298-301 p.
Keyword [en]
Centro-Hermitian, Forward-backward, Kronecker, Maximum likelihood, Persymmetric, Structured covariance matrices
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:kth:diva-30795DOI: 10.1109/DSP.2009.4785938ISI: 000267715800054Scopus ID: 2-s2.0-63649136358ISBN: 978-1-4244-3676-7 (print)OAI: oai:DiVA.org:kth-30795DiVA: diva2:403563
Conference
13th IEEE Digital Signal Processing Workshop/5th IEEE Signal Processing Education Workshop Marco Isl, FL, JAN 04-07, 2009
Note

QC 20110314

Available from: 2011-03-14 Created: 2011-03-04 Last updated: 2013-04-11Bibliographically approved

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Jansson, MagnusWirfält, PetterOttersten, Björn

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