تقرير
Shrinkage MMSE estimators of covariances beyond the zero-mean and stationary variance assumptions
| العنوان: | Shrinkage MMSE estimators of covariances beyond the zero-mean and stationary variance assumptions |
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| المؤلفون: | Flasseur, Olivier, Thiébaut, Eric, Denis, Loïc, Langlois, Maud |
| سنة النشر: | 2024 |
| المجموعة: | Astrophysics Statistics |
| مصطلحات موضوعية: | Astrophysics - Instrumentation and Methods for Astrophysics, Statistics - Methodology |
| الوصف: | We tackle covariance estimation in low-sample scenarios, employing a structured covariance matrix with shrinkage methods. These involve convexly combining a low-bias/high-variance empirical estimate with a biased regularization estimator, striking a bias-variance trade-off. Literature provides optimal settings of the regularization amount through risk minimization between the true covariance and its shrunk counterpart. Such estimators were derived for zero-mean statistics with i.i.d. diagonal regularization matrices accounting for the average sample variance solely. We extend these results to regularization matrices accounting for the sample variances both for centered and non-centered samples. In the latter case, the empirical estimate of the true mean is incorporated into our shrinkage estimators. Introducing confidence weights into the statistics also enhance estimator robustness against outliers. We compare our estimators to other shrinkage methods both on numerical simulations and on real data to solve a detection problem in astronomy. Comment: Accepted to EUSIPCO 2024 |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2403.07104 |
| رقم الأكسشن: | edsarx.2403.07104 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |