We consider the problem of estimating the covariance matrix of an observation vector, using heterogeneous training samples, i.e., samples whose covariance matrices are not exactly ...
Abstract--This correspondence derives lower bounds on the meansquare error (MSE) for the estimation of a covariance matrix , using samples k = 1; . . . ; K, whose covariance matric...
Covariance estimation for high dimensional vectors is a classically difficult problem in statistical analysis and machine learning. In this paper, we propose a maximum likelihood ...
Reducing the number of secondary data used to estimate the Clutter Covariance Matrix (CCM) for Space Time Adaptive Processing (STAP) techniques is still an active research topic. ...
Guillaume Ginolhac, Philippe Forster, Jean Philipp...
This paper investigates an efficient estimation method for a class of switching regressions based on the characteristic function (CF). We show that with the exponential weighting ...