Estimating Positive Definite Matrices using Frechet Mean

Estimation of covariance matrices is a common problem in signal processing applications. Commonly applied techniques based on the cost optimization (e.g. maximum likelihood estimation) result in an unconstrained estimation in which the positive definite nature of covariance matrices is ignored. Consequently this may result in accurate estimation of the covariance matrix which may affect overall performance of the system. In this paper we …