The Empirical Likelihood method applied to covariance matrix estimation
نویسندگان
چکیده
منابع مشابه
The Empirical Likelihood method applied to covariance matrix estimation
This paper presents a new estimation scheme for signal processing problems in unknown noise field. The Empirical Likelihood has been introduced in the mathematical community, but, surprisingly, it is still unknown in the signal processing community. This estimation method is an alternative to estimate unknown parameters without using a model for the probability density function. The aim of this...
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BO LI1, KAIBO WANG2 and ARTHUR B. YEH3,∗ 1Research Center for Contemporary Management, Key Research Institute of Humanities and Social Sciences at Universities, School of Economics and Management, Tsinghua University, Beijing 100084, People’s Republic of China 2Department of Industrial Engineering, Tsinghua University, Beijing 100084, People’s Republic of China 3Department of Applied Statistics...
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Empirical likelihood framework of estimation and testing are applied to covariance structure models. Moment conditions are demonstrated to be the optimal empirical likelihood estimating equations. Model fit for over-identified models can be tested using the empirical likelihood ratio test. The bootstrap can be used to calibrate Bartlett correction factor to improve the accuracy of the asymptoti...
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properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions. OATAO is an open access repository that collects the work of Toulouse researchers and makes it freely available over the web where possible. • We consider a class of complex elliptically contoured matrix distributions (ECD). • We investigate properties of the likelihood rati...
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ژورنال
عنوان ژورنال: Signal Processing
سال: 2010
ISSN: 0165-1684
DOI: 10.1016/j.sigpro.2009.07.028