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Structured Robust Covariance Estimation (Foundations and Trends(r) in Signal Processing)

Ami Wiesel, Teng Zhang




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 |  2015-12-04 | Original language:English | PDF # 1 |  9.21 x.22 x6.14l,.36 | File type: PDF | 108 pages

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Covariance matrices have found applications in many diverse areas. These include beamforming in array processing; portfolio analysis in finance; classification of data and the handling of high-frequency data. Structured Robust Covariance Estimation considers the estimation of covariance matrices in non-standard conditions including heavy-tailed distributions and outlier contamination. Prior knowledge on the structure of these matrices is exploited in order to improve the...

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