An EM-algorithm for Band-Toeplitz Covariance Matrix Estimation

Lars P. B. Christensen

AbstractToeplitz covariance matrix estimation has many uses in statistical
signal processing due to the stationarity assumption of many
signals. For some applications, further constraints may exist on the
maximum lag at which the correlation function is non-zero and
thereby giving rise to a band-Toeplitz covariance matrix. In this
paper, an existing EM-algorithm for Toeplitz estimation is
generalized to the case of band-Toeplitz estimation. In addition,
the Cramer-Rao lower-bound for unbiased band-Toeplitz covariance
matrix estimation is derived and through simulations it is shown
that the proposed estimator achieves the bound for medium and large
sample-sizes.
KeywordsStructured Covariance Matrix Estimation, Banded Toeplitz, EM-algorithm, Cramer-Rao Bound
TypeConference paper [With referee]
ConferenceIEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)
Year2007    Month April
Electronic version(s)[pdf]
BibTeX data [bibtex]
IMM Group(s)Intelligent Signal Processing


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