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Asymptotically optimal linear shrinkage of sample LMMSE and MVDR filters
Serra, Jordi; Nájar Martón, Montserrat
Universitat Politècnica de Catalunya. Departament de Teoria del Senyal i Comunicacions; Universitat Politècnica de Catalunya. SPCOM - Grup de Recerca de Processament del Senyal i Comunicacions
Conventional implementations of the linearminimum mean-square (LMMSE) and minimum variance distortionless response (MVDR) estimators rely on the sample matrix inversion (SMI) technique, i.e., on the sample covariance matrix (SCM). This approach is optimal in the large sample size regime. Nonetheless, in small sample size situations, those sample estimators suffer a large performance degradation. Thus, the aim of this paper is to propose corrections of these sample methods that counteract their performance degradation in the small sample size regime and keep their optimality in large sample size situations. To this aim, a twofold approach is proposed. First, shrinkage estimators are considered, as they are known to be robust to the small sample size regime. Namely, the proposed methods are based on shrinking the sample LMMSE or sample MVDR filters towards a variously called matched filter or conventional (Bartlett) beamformer in array processing. Second, random matrix theory is used to obtain the optimal shrinkage factors for large filters. The simulation results highlight that the proposed methods outperform the sample LMMSE and MVDR. Also, provided that the sample size is higher than the observation dimension, they improve classical diagonal loading (DL) and Ledoit-Wolf (LW) techniques, which counteract the small sample size degradation by regularizing the SCM. Finally, compared to state-of-the-art DL, the proposed methods reduce the computational cost and the proposed shrinkage of the LMMSE obtains performance gains.
Peer Reviewed
Àrees temàtiques de la UPC::Enginyeria de la telecomunicació::Processament del senyal
Signal processing
Shrinkage estimation
Random matrix theory
Consistent estimation
Covariance matrices
Tractament del senyal
Attribution-NonCommercial-NoDerivs 3.0 Spain

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