In this work we consider the estimation of spatio-temporal covariance
matrices in the low sample non-Gaussian regime. We impose covariance structure
in the form of a sum of Kronecker products decomposition (Tsiligkaridis et al.
2013, Greenewald et al. 2013) with diagonal correction (Greenewald et al.),
which we refer to as DC-KronPCA, in the estimation of multiframe covariance
matrices. This paper extends the approaches of (Tsiligkaridis et al.) in two
directions. First, we modify the diagonally corrected method of (Greenewald et
al.) to include a block Toeplitz constraint imposing temporal stationarity
structure. Second, we improve the conditioning of the estimate in the very low
sample regime by using Ledoit-Wolf type shrinkage regularization similar to
(Chen, Hero et al. 2010). For improved robustness to heavy tailed
distributions, we modify the KronPCA to incorporate robust shrinkage estimation
(Chen, Hero et al. 2011). Results of numerical simulations establish benefits
in terms of estimation MSE when compared to previous methods. Finally, we apply
our methods to a real-world network spatio-temporal anomaly detection problem
and achieve superior results.Comment: To appear at IEEE SSP 2014 4 page
