Cross Entropy Approximation of Structured Gaussian Covariance Matrices

@article{Liou2008CrossEA,
  title={Cross Entropy Approximation of Structured Gaussian Covariance Matrices},
  author={Cheng-Yuan Liou and Bruce R. Musicus},
  journal={IEEE Transactions on Signal Processing},
  year={2008},
  volume={56},
  pages={3362-3367}
}
  • C. Liou, B. Musicus
  • Published 1 July 2008
  • Computer Science
  • IEEE Transactions on Signal Processing
We apply two variations of the principle of minimum cross entropy (the Kullback information measure) to fit parameterized probability density models to observed data densities. For an array beamforming problem with P incident narrowband point sources, sensors, and colored noise, both approaches yield eigenvector fitting methods similar to that of the MUSIC algorithm and of the oblique transformation in factor analysis. Furthermore, the corresponding cross entropies (CE) are related to the MDL… 
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