On posterior distributions for signals in Gaussian noise with unknown covariance matrix

@article{Svensson2005OnPD,
  title={On posterior distributions for signals in Gaussian noise with unknown covariance matrix},
  author={Lars J. Svensson and Mattias Lundberg},
  journal={IEEE Transactions on Signal Processing},
  year={2005},
  volume={53},
  pages={3554-3571}
}
A Bayesian approach to estimate parameters of signals embedded in complex Gaussian noise with unknown color is presented. The study specifically focuses on a Bayesian treatment of the unknown noise covariance matrix making up a nuisance parameter in such problems. By integrating out uncertainties regarding the noise color, an enhanced ability to estimate both the signal parameters as well as properties of the error is exploited. Several noninformative priors for the covariance matrix, such as… CONTINUE READING
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