NDLI: Geometric methods for structured covariance estimation

Content Provider	IEEE Xplore Digital Library
Author	Lipeng Ning Xianhua Jiang Georgiou, T.
Copyright Year	2012
Description	Author affiliation: Dept. of Electr. & Comput. Eng., Univ. of Minnesota, Minneapolis, MN, USA (Lipeng Ning; Xianhua Jiang; Georgiou, T.)
Abstract	The problem considered in this paper is that of approximating a sample covariance matrix by one with a Toeplitz structure. The importance stems from the apparent sensitivity of spectral analysis on the linear structure of covariance statistics in conjunction with the fact that estimation error destroys the Toepliz pattern. The approximation is based on appropriate distance measures. To this end, we overview some of the common metrics and divergence measures which have been used for this purpose as well as introduce certain alternatives. In particular, the metric induced by Monge-Kantorovich transportation of the respective probability measures leads to an efficient linear matrix inequality (LMI) formulation of the approximation problem and relates to approximation in the Hellinger metric. We compare these with the maximum likelihood and the Burg method on a representative case study from the literature.
Sponsorship	IEEE Control Syst. Soc.
Starting Page	1877
Ending Page	1882
File Size	298768
Page Count	6
File Format	PDF
ISBN	9781457710957
ISSN	07431619
e-ISBN	9781457710964
e-ISBN	9781467321020
DOI	10.1109/ACC.2012.6315639
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-06-27
Publisher Place	Canada
Access Restriction	Subscribed
Rights Holder	American Automatic Control Council(AACC)
Subject Keyword	Measurement Transportation Approximation methods Covariance matrix Vectors Noise Maximum likelihood estimation
Content Type	Text
Resource Type	Article
Subject	Electrical and Electronic Engineering

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in