Regularized Tapered Sample Covariance Matrix

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A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
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Author
Date
2022
Department
Dept Signal Process and Acoust
Major/Subject
Mcode
Degree programme
Language
en
Pages
15
2306-2320
Series
IEEE Transactions on Signal Processing, Volume 70
Abstract
Covariance matrix tapers have a long history in signal processing and related fields. Examples of applications include autoregressive models (promoting a banded structure) or beamforming (widening the spectral null width associated with an interferer). In this paper, the focus is on high-dimensional setting where the dimension p is high, while the data aspect ratio n/p is low. We propose an estimator called Tabasco (TApered or BAnded Shrinkage COvariance matrix) that shrinks the tapered sample covariance matrix towards a scaled identity matrix. We derive optimal and estimated (data adaptive) regularization parameters that are designed to minimize the mean squared error (MSE) between the proposed shrinkage estimator and the true covariance matrix. These parameters are derived under the general assumption that the data is sampled from an unspecified elliptically symmetric distribution with finite 4th order moments (both real- and complex-valued cases are addressed). Simulation studies show that the proposed Tabasco outperforms all competing tapering covariance matrix estimators in diverse setups. An application to space-time adaptive processing (STAP) also illustrates the benefit of the proposed estimator in a practical signal processing setup.
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Publisher Copyright: © 1991-2012 IEEE.
Keywords
banding, elliptically symmetric distributions, regu- larization, Sample covariance matrix, shrinkage, sphericity, tapering
Other note
DOI
10.1109/TSP.2022.3169269
Citation
Ollila, E & Breloy, A 2022, ' Regularized Tapered Sample Covariance Matrix ', IEEE Transactions on Signal Processing, vol. 70, pp. 2306-2320 . https://doi.org/10.1109/TSP.2022.3169269
Permanent link to this item
https://urn.fi/URN:NBN:fi:aalto-202206224168
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[article-cris] Sähkötekniikan korkeakoulu / ELEC