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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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.