Shrinkage estimators of large covariance matrices with Toeplitz targets in array signal processing
Abstract The problem of estimating a large covariance matrix arises in various statistical applications. This paper develops new covariance matrix estimators based on shrinkage regularization. Individually, we consider two kinds of Toeplitz-structured target matrices as the data come from the comple...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2022-11-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-022-21889-8 |