Improved Shrinkage Estimators of Covariance Matrices With Toeplitz-Structured Targets in Small Sample Scenarios
Shrinkage regularization is an effective strategy to estimate the covariance matrix of multi-variate random vector in small sample scenarios. The purpose of this paper is to propose improved linear shrinkage estimators of covariance matrix as two types of Toeplitz-structured target matrices are resp...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2019-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/8807200/ |