riecovest.covariance_estimation.est_manifold_tylers_with_scale_opt

riecovest.covariance_estimation.est_manifold_tylers_with_scale_opt(data_noisy_signal, data_noise, rank)

Signal and noise covariance estimation using the log-likelihood of an elliptical distribution, with scaling optimization.

This is a slight variation of the proposed method of [brunnstroemRobust2024], which explicitly optimizes over a scaling factor.

Parameters:

• data_noisy_signal (ndarray of shape (ambient_dim, num_samples)) – Noisy signal samples.

• data_noise (ndarray of shape (ambient_dim, num_samples)) – Noise samples.

• rank (int) – Rank of the signal covariance matrix.

Returns:

• Rx (ndarray of shape (ambient_dim, ambient_dim)) – Estimated signal covariance matrix.

• Rv (ndarray of shape (ambient_dim, ambient_dim)) – Estimated noise covariance matrix.