Reversible Jump MCMC for Joint Detection and Estimation of Sources in Colored Noise

This paper presents a novel Bayesian solution to the difficult problem of joint detection and estimation of sources impinging on a single array of sensors in spatially colored noise with arbitrary covariance structure. Robustness to the noise covariance structure is achieved by integrating out the unknown covariance matrix in an appropriate posterior distribution. The proposed procedure uses the reversible jump Markov chain Monte Carlo (MCMC) …