Title

Choosing the diagonal loading factor for linear signal estimation using cross validation

RIS ID

107071

Publication Details

J. Tong, Q. Guo, J. Xi, Y. Yu & P. J. Schreier, "Choosing the diagonal loading factor for linear signal estimation using cross validation," in 2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2016, pp. 3956-3959.

Abstract

Linear signal estimation based on sample covariance matrices (SCMs) can perform poorly if the training data are limited and the SCMs are ill-conditioned. Diagonal loading (DL) may be used to improve robustness in the face of limited training data. This paper introduces two leave-one-out cross-validation schemes for choosing the DL factor. One scheme repeatedly splits the training data with respect to time, while the other repeatedly splits the out-of-training data with respect to space. We derive computationally efficient implementations and compare them with the oracle choice in terms of the mean squared error.

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Link to publisher version (DOI)

http://dx.doi.org/10.1109/ICASSP.2016.7472419