Zhenghan Zhu

Complex Parameter Rao and Wald Tests for Assessing the Bandedness of a Complex-Valued Covariance Matrix

  • General Medicine

Banding the inverse of a covariance matrix has become a popular technique for estimating a covariance matrix from a limited number of samples. It is of interest to provide criteria to determine if a matrix is bandable, as well as to test the bandedness of a matrix. In this paper, we pose the bandedness testing problem as a hypothesis testing task in statistical signal processing. We then derive two detectors, namely the complex Rao test and the complex Wald test, to test the bandedness of a Cholesky-factor matrix of a covariance matrix’s inverse. Furthermore, in many signal processing fields, such as radar and communications, the covariance matrix and its parameters are often complex-valued; thus, it is of interest to focus on complex-valued cases. The first detector is based on the complex parameter Rao test theorem. It does not require the maximum likelihood estimates of unknown parameters under the alternative hypothesis. We also develop the complex parameter Wald test theorem for general cases and derive the complex Wald test statistic for the bandedness testing problem. Numerical examples and computer simulations are given to evaluate and compare the two detectors’ performance. In addition, we show that the two detectors and the generalized likelihood ratio test are equivalent for the important complex Gaussian linear models and provide an analysis of the root cause of the equivalence.

Need a simple solution for managing your BibTeX entries? Explore CiteDrive!

  • Web-based, modern reference management
  • Collaborate and share with fellow researchers
  • Integration with Overleaf
  • Comprehensive BibTeX/BibLaTeX support
  • Save articles and websites directly from your browser
  • Search for new articles from a database of tens of millions of references
Try out CiteDrive

More from our Archive