DocumentCode
2468385
Title
Maximum likelihood estimation of positive definite Hermitian Toeplitz matrices using outer approximations
Author
Davis, Linda ; Evans, Rob ; Polak, Elijah
Author_Institution
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
fYear
1998
fDate
14-16 Sep 1998
Firstpage
49
Lastpage
52
Abstract
In this paper, we consider the problem of finding the constrained maximum likelihood estimate of a covariance matrix, which is known to be positive definite and Hermitian Toeplitz. We propose a new approach based on the method of outer approximations. The proposed algorithm is demonstrated with an example
Keywords
Hermitian matrices; Toeplitz matrices; covariance matrices; maximum likelihood estimation; signal processing; constrained maximum likelihood estimate; covariance matrix; maximum likelihood estimation; outer approximations; positive definite Hermitian Toeplitz matrices; positive definite matrix; signal processing problems; Costs; Covariance matrix; Information processing; Iterative algorithms; Least squares approximation; Least squares methods; Matrix decomposition; Maximum likelihood estimation; Signal processing; Signal processing algorithms;
fLanguage
English
Publisher
ieee
Conference_Titel
Statistical Signal and Array Processing, 1998. Proceedings., Ninth IEEE SP Workshop on
Conference_Location
Portland, OR
Print_ISBN
0-7803-5010-3
Type
conf
DOI
10.1109/SSAP.1998.739331
Filename
739331
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