Intrinsic Cramér–Rao Bounds for Scatter and Shape Matrices Estimation in CES Distributions
Intrinsic Cramér–Rao Bounds for Scatter and Shape Matrices Estimation in CES Distributions
Scatter matrix and its normalized counterpart, referred to as shape matrix, are key parameters in multivariate statistical signal processing, as they generalize the concept of covariance matrix in the widely used Complex Elliptically Symmetric distributions. Following the framework of [1], intrinsic Cramér-Rao bounds are derived for the problem of scatter …