Robust Estimation of Structured Covariance Matrix for Heavy-Tailed Elliptical Distributions


This paper considers the problem of robustly estimating a structured covariance matrix with an elliptical underlying distribution with a known mean. In applications where the covariance matrix naturally possesses a certain structure, taking the prior structure information into account in the estimation procedure is beneficial to improving the estimation… (More)
DOI: 10.1109/TSP.2016.2546222


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