Joint covariance estimation with mutual linear structure

Ilya Soloveychik; Ami Wiesel

doi:10.1109/ICASSP.2015.7178609

Joint covariance estimation with mutual linear structure

Ilya Soloveychik, Ami Wiesel

The Rachel and Selim Benin School of Engineering and Computer Science

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

2 Scopus citations

Abstract

We consider the joint estimation of structured covariance matrices. We assume the structure is unknown and perform the estimation using heterogeneous training sets. More precisely, we are given groups of measurements coming from centered normal populations with different covariance matrices. Assuming that all these covariance matrices span a low dimensional affine subspace in the space of symmetric matrices, our aim is to determine this structure. It is then utilized to improve the covariance estimation. We provide an algorithm discovering and exploring the underlying covariance structure and analyze its error bounds. Numerical simulations are presented to illustrate the performance benefits of the proposed algorithm.

Original language	English
Title of host publication	2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	3437-3441
Number of pages	5
ISBN (Electronic)	9781467369978
DOIs	https://doi.org/10.1109/ICASSP.2015.7178609
State	Published - 4 Aug 2015
Event	40th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Brisbane, Australia Duration: 19 Apr 2014 → 24 Apr 2014

Publication series

Name	ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume	2015-August
ISSN (Print)	1520-6149

Conference

Conference	40th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015
Country/Territory	Australia
City	Brisbane
Period	19/04/14 → 24/04/14

Bibliographical note

Publisher Copyright:
© 2015 IEEE.

Keywords

Structured covariance estimation
joint covariance estimation

Access to Document

10.1109/ICASSP.2015.7178609

Cite this

Soloveychik, I., & Wiesel, A. (2015). Joint covariance estimation with mutual linear structure. In 2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings (pp. 3437-3441). Article 7178609 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings; Vol. 2015-August). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICASSP.2015.7178609

Soloveychik, Ilya ; Wiesel, Ami. / Joint covariance estimation with mutual linear structure. 2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2015. pp. 3437-3441 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings).

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Soloveychik, I & Wiesel, A 2015, Joint covariance estimation with mutual linear structure. in 2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings., 7178609, ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings, vol. 2015-August, Institute of Electrical and Electronics Engineers Inc., pp. 3437-3441, 40th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015, Brisbane, Australia, 19/04/14. https://doi.org/10.1109/ICASSP.2015.7178609

Joint covariance estimation with mutual linear structure. / Soloveychik, Ilya; Wiesel, Ami.
2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2015. p. 3437-3441 7178609 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings; Vol. 2015-August).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Soloveychik I, Wiesel A. Joint covariance estimation with mutual linear structure. In 2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings. Institute of Electrical and Electronics Engineers Inc. 2015. p. 3437-3441. 7178609. (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). doi: 10.1109/ICASSP.2015.7178609

Joint covariance estimation with mutual linear structure

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