Correntropy: Properties and Applications in Non-Gaussian Signal Processing

  • Authors:
  • Weifeng Liu;P.P. Pokharel;J.C. Principe

  • Affiliations:
  • Florida Univ., Gainesville;-;-

  • Venue:
  • IEEE Transactions on Signal Processing
  • Year:
  • 2007

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Abstract

The optimality of second-order statistics depends heavily on the assumption of Gaussianity. In this paper, we elucidate further the probabilistic and geometric meaning of the recently defined correntropy function as a localized similarity measure. A close relationship between correntropy and M-estimation is established. Connections and differences between correntropy and kernel methods are presented. As such correntropy has vastly different properties compared with second-order statistics that can be very useful in non-Gaussian signal processing, especially in the impulsive noise environment. Examples are presented to illustrate the technique.