Robust Estimation of Structured Covariance Matrix for Heavy-Tailed Elliptical Distributions

17 Jun 2015Ying SunPrabhu BabuDaniel P. Palomar

This paper considers the problem of robustly estimating a structured covariance matrix with an elliptical underlying distribution with known mean. In applications where the covariance matrix naturally possesses a certain structure, taking the prior structure information into account in the estimation procedure is beneficial to improve the estimation accuracy... (read more)

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