Rank-One Signal Recovery in Sparse Wishart Noise

Preben Forer, Urte Adomaityte, Pierpaolo Vivo

We study the high-dimensional recovery of a signal vector $\mathbf{x}$ in the presence of sparse Wishart-like noise. We define an $N\times N$ matrix $A = J+(θ/N)\mathbf{xx}^{\top}…