Skip to main content
placeholder image

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

Conference Paper


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.

Publication Date


  • 2016

Citation


  • 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.

Scopus Eid


  • 2-s2.0-84973334033

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/5437

Has Global Citation Frequency


Start Page


  • 3956

End Page


  • 3959

Place Of Publication


  • United States

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.

Publication Date


  • 2016

Citation


  • 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.

Scopus Eid


  • 2-s2.0-84973334033

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/5437

Has Global Citation Frequency


Start Page


  • 3956

End Page


  • 3959

Place Of Publication


  • United States