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Cramér-Rao Lower Bounds on Covariance Matrix Estimation for Complex Elliptically Symmetric Distributions

✍ Scribed by Greco, Maria; Gini, Fulvio


Book ID
121342016
Publisher
IEEE
Year
2013
Tongue
English
Weight
257 KB
Volume
61
Category
Article
ISSN
1053-587X

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Let X ; V 1 ; y; V nÀ1 be n random vectors in R p with joint density of the form where both y and S are unknown. We consider the problem of the estimation of y with the invariant loss ðd À yÞ 0 S À1 ðd À yÞ and propose estimators which dominate the usual estimator d 0 ðX Þ ¼ X simultaneously for th