An EMalgorithm for BandToeplitz 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 nonzero and
thereby giving rise to a bandToeplitz covariance matrix. In this
paper, an existing EMalgorithm for Toeplitz estimation is
generalized to the case of bandToeplitz estimation. In addition,
the CramerRao lowerbound for unbiased bandToeplitz covariance
matrix estimation is derived and through simulations it is shown
that the proposed estimator achieves the bound for medium and large
samplesizes. 
Keywords  Structured Covariance Matrix Estimation, Banded Toeplitz, EMalgorithm, CramerRao 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 