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Estimation for the Linear Model With Uncertain Covariance Matrices
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-3599-5584
KTH, School of Electrical Engineering (EES), Signal Processing. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-6855-5868
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2014 (English)In: IEEE Transactions on Signal Processing, ISSN 1053-587X, E-ISSN 1941-0476, Vol. 62, no 6, 1525-1535 p.Article in journal (Refereed) Published
Abstract [en]

We derive a maximum a posteriori estimator for the linear observation model, where the signal and noise covariance matrices are both uncertain. The uncertainties are treated probabilistically by modeling the covariance matrices with prior inverse-Wishart distributions. The nonconvex problem of jointly estimating the signal of interest and the covariance matrices is tackled by a computationally efficient fixed-point iteration as well as an approximate variational Bayes solution. The statistical performance of estimators is compared numerically to state-of-the-art estimators from the literature and shown to perform favorably.

Place, publisher, year, edition, pages
2014. Vol. 62, no 6, 1525-1535 p.
Keyword [en]
Maximum a posteriori estimation, covariance matrices, inverse Wishart
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-144379DOI: 10.1109/TSP.2014.2301973ISI: 000333025000016Scopus ID: 2-s2.0-84896445021OAI: oai:DiVA.org:kth-144379DiVA: diva2:713242
Funder
EU, FP7, Seventh Framework Programme, 228044Swedish Research Council, 621-2011-5847 621-2012-4134
Note

QC 20140422

Available from: 2014-04-22 Created: 2014-04-22 Last updated: 2017-12-05Bibliographically approved

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Bengtsson, MatsJansson, MagnusChatterjee, Saikat

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Zachariah, DaveShariati, NafisehBengtsson, MatsJansson, MagnusChatterjee, Saikat
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Signal ProcessingACCESS Linnaeus CentreCommunication Theory
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