Title :
Maximum likelihood estimation of positive definite Hermitian Toeplitz matrices using outer approximations
Author :
Davis, Linda ; Evans, Rob ; Polak, Elijah
Author_Institution :
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Abstract :
In this paper, we consider the problem of finding the constrained maximum likelihood estimate of a covariance matrix, which is known to be positive definite and Hermitian Toeplitz. We propose a new approach based on the method of outer approximations. The proposed algorithm is demonstrated with an example
Keywords :
Hermitian matrices; Toeplitz matrices; covariance matrices; maximum likelihood estimation; signal processing; constrained maximum likelihood estimate; covariance matrix; maximum likelihood estimation; outer approximations; positive definite Hermitian Toeplitz matrices; positive definite matrix; signal processing problems; Costs; Covariance matrix; Information processing; Iterative algorithms; Least squares approximation; Least squares methods; Matrix decomposition; Maximum likelihood estimation; Signal processing; Signal processing algorithms;
Conference_Titel :
Statistical Signal and Array Processing, 1998. Proceedings., Ninth IEEE SP Workshop on
Conference_Location :
Portland, OR
Print_ISBN :
0-7803-5010-3
DOI :
10.1109/SSAP.1998.739331
