Journal
IEEE SIGNAL PROCESSING LETTERS
Volume 19, Issue 8, Pages 491-494Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/LSP.2012.2204435
Keywords
Correntropy; estimation; maximum correntropy estimation; maximum a posteriori estimation
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Funding
- National Science Foundation [ECCS 0856441]
- Office of Naval Research [ONR N00014-10-1-0375]
- National Natural Science Foundation of China [60904054]
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As a new measure of similarity, the correntropy can be used as an objective function for many applications. In this letter, we study Bayesian estimation under maximum correntropy (MC) criterion. We show that the MC estimation is, in essence, a smoothed maximum a posteriori (MAP) estimation, including the MAP and the minimum mean square error (MMSE) estimation as the extreme cases. We also prove that under a certain condition, when the kernel size in correntropy is larger than some value, the MC estimation will have a unique optimal solution lying in a strictly concave region of the smoothed posterior distribution.
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