Title :
Comments on "Covariance shaping least-squares estimation"
Author_Institution :
Dept. of Autom., Tsinghua Univ., Beijing, China
Abstract :
A routine linear algebra-based derivation is provided for the optimal estimate in a parametric estimation problem, which is a little more general than that discussed in the above paper. Compared with the procedure adopted by Eldar and Oppenheim, it is more direct and simple and, therefore, easier to be understood. Moreover, the optimal estimate is expressed in a more computationally attractive form, and the results of Eldar and Oppenheim can be regarded as a special case.
Keywords :
covariance analysis; least squares approximations; linear algebra; parameter estimation; covariance shaping least-square estimation; parametric estimation; routine linear algebra-based derivation; Adaptive filters; Automation; Covariance matrix; Linear algebra; Linear matrix inequalities; Null space; Numerical simulation; Symmetric matrices;
Journal_Title :
Signal Processing, IEEE Transactions on
DOI :
10.1109/TSP.2004.834262
