TY - GEN
T1 - Measure-transformed quasi maximum likelihood estimation with application to source localization
AU - Todros, Koby
AU - Hero, Alfred O.
N1 - Publisher Copyright:
© 2015 IEEE.
PY - 2015/8/4
Y1 - 2015/8/4
N2 - In this paper, we consider the problem of estimating a deterministic vector parameter when the likelihood function is unknown or not expressible. We develop an estimator, called measure-transformed quasi maximum likelihood estimator (MT-QMLE), that minimizes the empirical Kullback-Leibler divergence between the transformed probability measure of the data and a hypothesized Gaussian probability distribution. By judicious choice of the transform we show that the proposed estimator can gain sensitivity to higher-order statistical information and resilience to outliers. Under some regularity conditions we show that the MT-QMLE is consistent, asymptotically normal and unbiased. Furthermore, we derive a necessary and sufficient condition for its asymptotic efficiency. The MT-QMLE is applied to source localization in a simulation example that illustrates its sensitivity to higher-order information and resilience to outliers.
AB - In this paper, we consider the problem of estimating a deterministic vector parameter when the likelihood function is unknown or not expressible. We develop an estimator, called measure-transformed quasi maximum likelihood estimator (MT-QMLE), that minimizes the empirical Kullback-Leibler divergence between the transformed probability measure of the data and a hypothesized Gaussian probability distribution. By judicious choice of the transform we show that the proposed estimator can gain sensitivity to higher-order statistical information and resilience to outliers. Under some regularity conditions we show that the MT-QMLE is consistent, asymptotically normal and unbiased. Furthermore, we derive a necessary and sufficient condition for its asymptotic efficiency. The MT-QMLE is applied to source localization in a simulation example that illustrates its sensitivity to higher-order information and resilience to outliers.
KW - Higher-order statistics
KW - parameter estimation
KW - probability measure transform
KW - robust estimation
KW - source localization
UR - http://www.scopus.com/inward/record.url?scp=84946083058&partnerID=8YFLogxK
U2 - 10.1109/ICASSP.2015.7178614
DO - 10.1109/ICASSP.2015.7178614
M3 - Conference contribution
AN - SCOPUS:84946083058
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 3462
EP - 3466
BT - 2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings
PB - Institute of Electrical and Electronics Engineers
T2 - 40th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015
Y2 - 19 April 2014 through 24 April 2014
ER -