Robust Estimation of Structured Scatter Matrices in (Mis)matched Models

Abstract : Covariance matrix estimation is a ubiquitous problem in signal processing. In most modern signal processing applications, data are generally modeled by non-Gaussian distributions with covariance matrices exhibiting a particular structure. Taking into account this structure and the non-Gaussian behavior improve drastically the estimation accuracy. In this paper, we consider the estimation of structured scatter matrix for complex elliptically distributed observations, where the assumed model can differ from the actual distribution of the observations. Specifically, we tackle this problem, in a mismatched framework, by proposing a novel estimator, named StructurEd ScAtter Matrix Estimator (SESAME), which is based on a two-step estimation procedure. We conduct theoretical analysis on the unbiasedness and the asymptotic efficiency and Gaussianity of SESAME. In addition, we derive a recur-sive estimation procedure that iteratively applies the SESAME method, called Recursive-SESAME (R-SESAME), reaching with improved performance at lower sample support the (Mismatched) Cramér-Rao Bound. Furthermore, we show that some special cases of the proposed method allow to retrieve preexisting methods. Finally, numerical results corroborate the theoretical analysis and assess the usefulness of the proposed algorithms.
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Submitted on : Tuesday, July 2, 2019 - 1:15:18 PM
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Bruno Meriaux, Chengfang Ren, Mohammed Nabil El Korso, Arnaud Breloy, Philippe Forster. Robust Estimation of Structured Scatter Matrices in (Mis)matched Models. Signal Processing, Elsevier, 2019, 165, pp.163-174. ⟨10.1016/j.sigpro.2019.06.030⟩. ⟨hal-02165848⟩

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