Impact of space-time covariance estimation errors on a parahermitian matrix EVD

Delaosa, Connor and Coutts, Fraser K. and Pestana, Jennifer and Weiss, Stephan (2018) Impact of space-time covariance estimation errors on a parahermitian matrix EVD. In: 10th IEEE Workshop on Sensor Array and Multichannel Signal Processing, 2018-07-08 - 2018-07-11.

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    Abstract

    This paper studies the impact of estimation errors in the sample space-time covariance matrix on its parahermitian matrix eigenvalue decomposition. We provide theoretical bounds for the perturbation of the ground-truth eigenvalues and of the subspaces of their corresponding eigenvectors. We show that for the eigenvalues, the perturbation depends on the norm of the estimation error in the space-time covariance matrix, while the perturbation of eigenvector subspaces can additionally be influenced by the spectral distance of the eigenvalues. We confirm these theoretical results by simulations.

    ORCID iDs

    Delaosa, Connor, Coutts, Fraser K. ORCID logoORCID: https://orcid.org/0000-0003-2299-2648, Pestana, Jennifer ORCID logoORCID: https://orcid.org/0000-0003-1527-3178 and Weiss, Stephan ORCID logoORCID: https://orcid.org/0000-0002-3486-7206;