Sample space-time covariance matrix estimation

Delaosa, Connor and Pestana, Jennifer and Goddard, Nicholas J. and Somasundaram, Samuel and Weiss, Stephan (2019) Sample space-time covariance matrix estimation. In: 2019 International Conference on Acoustics, Speech, and Signal Processing, 2019-05-12 - 2019-05-17.

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Abstract

Estimation errors are incurred when calculating the sample space-time covariance matrix. We formulate the variance of this estimator when operating on a finite sample set, compare it to known results, and demonstrate its precision in simulations. The variance of the estimation links directly to previously explored perturbation of the analytic eigenvalues and eigenspaces of a parahermitian cross-spectral density matrix when estimated from finite data.

ORCID iDs

Pestana, Jennifer ORCID: https://orcid.org/0000-0003-1527-3178

Weiss, Stephan ORCID: https://orcid.org/0000-0002-3486-7206

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• Item metadata

  Item type:	Conference or Workshop Item(Paper)
  ID code:	66827
  Dates:	Date Event 16 May 2019 Published 1 February 2019 Accepted
  Subjects:	Technology > Electrical engineering. Electronics Nuclear engineering
  Department:	Faculty of Engineering > Electronic and Electrical Engineering Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	05 Feb 2019 12:57
  Last modified:	12 Dec 2024 16:28
  URI:	https://strathprints.strath.ac.uk/id/eprint/66827