TY - GEN

T1 - Mismatched MMSE estimation of multivariate Gaussian sources

AU - Esnaola, Iñaki

AU - Tulino, Antonia M.

AU - Poor, H. Vincent

PY - 2012

Y1 - 2012

N2 - The distortion increase in minimum mean-square error (MMSE) estimation of multivariate Gaussian sources is analyzed for the situation in which the statistics are mismatched, i.e., the covariance matrix is not perfectly known during the estimation process. First a deterministic mismatch model with an additive perturbation matrix is considered, for which we provide closed form expressions for the distortion excess caused by the mismatch. The mismatch study is then generalized by using random matrix theory tools which allow an asymptotic result for a broad class of perturbation matrices to be proved.

AB - The distortion increase in minimum mean-square error (MMSE) estimation of multivariate Gaussian sources is analyzed for the situation in which the statistics are mismatched, i.e., the covariance matrix is not perfectly known during the estimation process. First a deterministic mismatch model with an additive perturbation matrix is considered, for which we provide closed form expressions for the distortion excess caused by the mismatch. The mismatch study is then generalized by using random matrix theory tools which allow an asymptotic result for a broad class of perturbation matrices to be proved.

UR - http://www.scopus.com/inward/record.url?scp=84867531934&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84867531934&partnerID=8YFLogxK

U2 - 10.1109/ISIT.2012.6284652

DO - 10.1109/ISIT.2012.6284652

M3 - Conference contribution

AN - SCOPUS:84867531934

SN - 9781467325790

T3 - IEEE International Symposium on Information Theory - Proceedings

SP - 716

EP - 720

BT - 2012 IEEE International Symposium on Information Theory Proceedings, ISIT 2012

T2 - 2012 IEEE International Symposium on Information Theory, ISIT 2012

Y2 - 1 July 2012 through 6 July 2012

ER -