Time Varying Autoregressive Moving Average Models for Covariance Estimation

We consider large scale covariance estimation using a small number of samples in applications where there is a natural ordering between the random variables. The two classical approaches to this problem rely on banded covariance and banded inverse covariance structures, corresponding to time varying...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	IEEE transactions on signal processing 2013-06, Vol.61 (11), p.2791-2801
Hauptverfasser:	Wiesel, A., Bibi, O., Globerson, A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Autoregressive moving average covariance estimation Detection, estimation, filtering, equalization, prediction Exact sciences and technology Information, signal and communications theory instrumental variables matrix completion Signal and communications theory Signal representation. Spectral analysis Signal, noise Telecommunications and information theory
Online-Zugang:	Volltext bestellen
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!