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Fusing Eigenvalues
- Source :
- 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2019), 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2019), May 2019, Brighton, United Kingdom. pp.4968-4972, ⟨10.1109/ICASSP.2019.8682906⟩
- Publication Year :
- 2019
-
Abstract
- International audience; In this paper, we propose a new regularized (penalized) co-variance matrix estimator which encourages grouping of the eigenvalues by penalizing large differences (gaps) between successive eigenvalues. This is referred to as fusing eigenval-ues (eFusion), The proposed penalty function utilizes Tukey's biweight function that is widely used in robust statistics. The main advantage of the proposed method is that it has very small bias for sufficiently large values of penalty parameter. Hence, the method provides accurate grouping of eigenval-ues. Such benefits of the proposed method are illustrated with a numerical example, where the method is shown to perform favorably compared to a state-of-art method.
- Subjects :
- Covariance matrices
MathematicsofComputing_NUMERICALANALYSIS
Robust statistics
Gaussian distribution
02 engineering and technology
[STAT.OT]Statistics [stat]/Other Statistics [stat.ML]
Tuning
01 natural sciences
Symmetric matrices
Penalized sample covariance matrix
010104 statistics & probability
[INFO.INFO-TS]Computer Science [cs]/Signal and Image Processing
0202 electrical engineering, electronic engineering, information engineering
Symmetric matrix
Applied mathematics
Penalty method
0101 mathematics
Eigenvalues and eigenvectors
Mathematics
ta113
[STAT.AP]Statistics [stat]/Applications [stat.AP]
Eigenvalues and eigenfunctions
eFusion
Covariance matrix
Estimator
Approximation algorithm
020206 networking & telecommunications
Function (mathematics)
Approximation algorithms
Iteratively reweighted algorithm
Convergence
Tuckey's biweight function
Tuckey’s biweight function
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2019), 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2019), May 2019, Brighton, United Kingdom. pp.4968-4972, ⟨10.1109/ICASSP.2019.8682906⟩
- Accession number :
- edsair.doi.dedup.....aff6b65e56f2beae844e0ac8da4ea722