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
Delaosa, Connor, Pestana, Jennifer ORCID: https://orcid.org/0000-0003-1527-3178, Goddard, Nicholas J., Somasundaram, Samuel and Weiss, Stephan ORCID: https://orcid.org/0000-0002-3486-7206;-
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Item type: Conference or Workshop Item(Paper) ID code: 66827 Dates: DateEvent16 May 2019Published1 February 2019AcceptedSubjects: Technology > Electrical engineering. Electronics Nuclear engineering Department: Faculty of Engineering > Electronic and Electrical Engineering
Faculty of Science > Mathematics and StatisticsDepositing user: Pure Administrator Date deposited: 05 Feb 2019 12:57 Last modified: 28 Nov 2024 01:39 URI: https://strathprints.strath.ac.uk/id/eprint/66827
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