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Approximating the best linear unbiased estimator of non-Gaussian signals with Gaussian noise

: Sugiyama, M.; Kawanabe, M.; Blanchard, G.; Müller, K.-R.


IEICE transactions. E, English transactions. D, Information and systems 91 (2008), No.5, pp.1577-1580
ISSN: 0916-8532
Journal Article
Fraunhofer FIRST ()

Obtaining the best linear unbiased estimator (BLUE) of noisy signals is a traditional but powerful approach to noise reduction. Explicitly computing the BLUE usually requires the prior knowledge of the noise covariance matrix and the subspace to which the true signal belongs. However, such prior knowledge is often unavailable in reality, which prevents us from applying the BLUE to real-world problems. To cope with this problem, we give a practical procedure for approximating the BLUE without such prior knowledge. Our additional assumption is that the true signal follows a non-Gaussian distribution while the noise is Gaussian.