TSP
2010
13 years 6 months ago
2010
We address covariance estimation in the sense of minimum mean-squared error (MMSE) when the samples are Gaussian distributed. Specifically, we consider shrinkage methods which are ...
ICASSP
2009
IEEE
14 years 6 months ago
2009
IEEE
We address covariance estimation under mean-squared loss in the Gaussian setting. Specifically, we consider shrinkage methods which are suitable for high dimensional problems wit...