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

Jian Dong; Wei Cui; Yulong Liu

doi:10.1109/lsp.2025.3541427

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

Jian Dong Wei Cui Yulong Liu

Year: 2025 Journal: IEEE Signal Processing Letters Vol: 32 Pages: 841-845 Publisher: Institute of Electrical and Electronics Engineers

DOI: 10.1109/lsp.2025.3541427

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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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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

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

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