In this paper we consider the use of the space vs. time Kronecker product
decomposition in the estimation of covariance matrices for spatio-temporal
data. This decomposition imposes lower dimensional structure on the estimated
covariance matrix, thus reducing the number of samples required for estimation.
To allow a smooth tradeoff between the reduction in the number of parameters
(to reduce estimation variance) and the accuracy of the covariance
approximation (affecting estimation bias), we introduce a diagonally loaded
modification of the sum of kronecker products representation [1]. We derive a
Cramer-Rao bound (CRB) on the minimum attainable mean squared predictor
coefficient estimation error for unbiased estimators of Kronecker structured
covariance matrices. We illustrate the accuracy of the diagonally loaded
Kronecker sum decomposition by applying it to video data of human activity.Comment: 5 pages, 8 figures, accepted to CAMSAP 201
