TSP
2010
12 years 11 months ago
2010
We address covariance estimation in the sense of minimum mean-squared error (MMSE) when the samples are Gaussian distributed. Specifically, we consider shrinkage methods which are ...
ICASSP
2009
IEEE
13 years 11 months ago
2009
IEEE
We address covariance estimation under mean-squared loss in the Gaussian setting. Specifically, we consider shrinkage methods which are suitable for high dimensional problems wit...