Robust Kronecker Product PCA for Spatio-Temporal Covariance Estimation
نویسندگان
چکیده
منابع مشابه
Gaussian and robust Kronecker product covariance estimation: Existence and uniqueness
We study the Gaussian and robust covariance estimation, assuming the true covariance matrix to be a Kronecker product of two lower dimensional square matrices. In both settings we define the estimators as solutions to the constrained maximum likelihood programs. In the robust case, we consider Tyler’s estimator defined as the maximum likelihood estimator of a certain distribution on a sphere. W...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2015
ISSN: 1053-587X,1941-0476
DOI: 10.1109/tsp.2015.2472364