A New Riemannian Averaged Fixed-Point Algorithm for MGGD Parameter Estimation

Abstract : Multivariate generalized Gaussian distribution (MGGD) has been an attractive solution to many signal processing problems due to its simple yet flexible parametric form, which requires the estimation of only a few parameters, i.e., the scatter matrix and the shape parameter. Existing fixed-point (FP) algorithms provide an easy to implement method for estimating the scatter matrix, but are known to fail, giving highly inaccurate results, when the value of the shape parameter increases. Since many applications require flexible estimation of the shape parameter , we propose a new FP algorithm, Riemannian averaged FP (RA-FP), which can effectively estimate the scatter matrix for any value of the shape parameter. We provide the mathematical justification of the convergence of the RA-FP algorithm based on the Riemannian geometry of the space of symmetric positive definite matrices. We also show using numerical simulations that the RA-FP algorithm is invariant to the initialization of the scatter matrix and provides significantly improved performance over existing FP and method-of-moments (MoM) algorithms for the estimation of the scatter matrix.
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Zois Boukouvalas, Salem Said, Lionel Bombrun, Yannick Berthoumieu, Tülay Adalı. A New Riemannian Averaged Fixed-Point Algorithm for MGGD Parameter Estimation. IEEE Signal Processing Letters, Institute of Electrical and Electronics Engineers, 2015, 22 (12), pp.2314-2318. ⟨10.1109/LSP.2015.2478803⟩. ⟨hal-01230086⟩

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