JOURNAL ARTICLE

Covariance Matrix Estimation From Correlated Sub-Gaussian Samples via the Shrinkage Estimator

Jian DongWei CuiYulong Liu

Year: 2025 Journal:   IEEE Signal Processing Letters Vol: 32 Pages: 841-845   Publisher: Institute of Electrical and Electronics Engineers
Keywords:
Shrinkage estimator Covariance matrix Shrinkage Estimation of covariance matrices Mathematics Estimator Scatter matrix Gaussian Statistics Gaussian process Pattern recognition (psychology) Algorithm Computer science Applied mathematics Artificial intelligence Minimum-variance unbiased estimator Minimax estimator Physics

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Topics

Target Tracking and Data Fusion in Sensor Networks
Physical Sciences →  Computer Science →  Artificial Intelligence
Gaussian Processes and Bayesian Inference
Physical Sciences →  Computer Science →  Artificial Intelligence

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