Direct Estimation of Eigenvalues of Large Dimensional Precision Matrix

In this paper, we consider directly estimating the eigenvalues of precision matrix, without inverting the corresponding estimator for the eigenvalues of covariance matrix. We focus on a general asymptotic regime, i.e., the large dimensional regime, where both the dimension $N$ and the sample size $K$ tend to infinity whereas their quotient $N/K$ converges to a positive constant. By utilizing tools from random matrix theory, we construct an improved estimator for eigenvalues of precision matrix. We prove the consistency of the new estimator under large dimensional regime. In order to obtain the asymptotic bias term of the proposed estimator, we provide a theoretical result that characterizes the convergence rate of the expected Stieltjes transform (with its derivative) of the spectra of the sample covariance matrix. Using this result, we prove that the asymptotic bias term of the proposed estimator is of order $O(1/K^2)$. Additionally, we establish a central limiting theorem (CLT) to describe the fluctuations of the new estimator. Finally, some numerical examples are presented to validate the excellent performance of the new estimator and to verify the accuracy of the CLT.

Compound Gaussian Radar Clutter Model With Positive Tempered Alpha-Stable Texture

The compound Gaussian (CG) family of distributions has achieved great success in modeling sea clutter. This work develops a flexible-tailed CG model to improve generality in clutter modeling, by introducing the positive tempered $\alpha$-stable (PT$\alpha$S) distribution to model clutter texture. The PT$\alpha$S distribution exhibits widely tunable tails by tempering the heavy tails of the positive $\alpha$-stable (P$\alpha$S) distribution, thus providing greater flexibility in texture modeling. Specifically, we first develop a bivariate isotropic CG-PT$\alpha$S complex clutter model that is defined by an explicit characteristic function, based on which the corresponding amplitude model is derived. Then, we prove that the amplitude model can be expressed as a scale mixture of Rayleighs, just as the successful compound K and Pareto models. Furthermore, a characteristic function-based method is developed to estimate the parameters of the amplitude model. Finally, real-world sea clutter data analysis indicates the amplitude model's flexibility in modeling clutter data with various tail behaviors.