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On the MAP estimation in the context of elliptical distributions

Steeve Zozor 1 Christophe Vignat 2
1 GIPSA-SIGMAPHY - GIPSA - Signal Images Physique
GIPSA-DIS - Département Images et Signal, GIPSA-PSD - GIPSA Pôle Sciences des Données
Abstract : The purpose of this paper is to study the estimation problem of a multivariate elliptically symmetric random variable corrupted by a multivariate elliptically symmetric noise. In this study, the maximum a posteriori (MAP) approach is presented, extending recent works by Alecu et al. and Selesnick: (i) the estimation is performed in a multivariate context, (ii) the corrupting noise is not limited to be Gaussian. This paper also extends our previous work that dealt with the minimum mean square error (MMSE) approach. The MMSE is briefly recalled and the MAP is derived. Then the practical use of the MAP in a general setting is discussed and compared to that of the MMSE and of the Wiener estimator. Several examples illustrate the behaviors of these estimators and exhibit their performances.
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https://hal.archives-ouvertes.fr/hal-00436588
Contributor : Steeve Zozor <>
Submitted on : Friday, November 27, 2009 - 10:23:30 AM
Last modification on : Wednesday, May 13, 2020 - 4:30:04 PM

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  • HAL Id : hal-00436588, version 1

Citation

Steeve Zozor, Christophe Vignat. On the MAP estimation in the context of elliptical distributions. 17th European Signal Processing Conference (EUSIPCO-2009), Aug 2009, Glasgow, United Kingdom. pp.2460-2464. ⟨hal-00436588⟩

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