A Random Matrix-Theoretic Approach to Handling Singular Covariance Estimates

A Random Matrix-Theoretic Approach to Handling Singular Covariance Estimates

In many practical situations we would like to estimate the covariance matrix of a set of variables from an insufficient amount of data. More specifically, if we have a set of N independent, identically distributed measurements of an M dimensional random vector the maximum likelihood estimate is the...

書誌詳細
主要な著者:	Marzetta, T, Tucci, G, Simon, S
フォーマット:	Journal article
言語:	English
出版事項:	2011

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