An EM-algorithm for Band-Toeplitz Covariance Matrix Estimation |
Lars P. B. Christensen
|
| Abstract | Toeplitz 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. |
| Keywords | Structured Covariance Matrix Estimation, Banded Toeplitz, EM-algorithm, Cramer-Rao Bound |
| Type | Conference paper [With referee] |
| Conference | IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) |
| Year | 2007 Month April |
| Electronic version(s) | [pdf] |
| BibTeX data | [bibtex] |
| IMM Group(s) | Intelligent Signal Processing |