eigenvalue_estimati​on(Cx,n,varargin)

Estimation of eigenvalues of a covariance matrix and recompute an improved covariance matrix

EIGENVALUE_ESTIMATION improves estimation of the eigenvalues of a covariance matrix. This MATLAB function is an algorithm designed to improve the eigenvalue estimates of Wishart-distributed covariance matrices and to recompute an improved covariance matrix from the eigenvalues. The function is an implementation of the procedure developed and published by Avishai Ben-David and Charles E. Davidson, "Eigenvalue Estimation of Hyperspectral Wishart Covariance Matrices From Limited Number of Samples", IEEE Trans. Geosci. Remote Sens., Vol. 50, no. 11, pp. 4384- 4396, November 2012. DOI: 10.1109/TGRS.2012.2191415