Sample space-time covariance matrix estimation

Connor Delaosa, Jennifer Pestana, Nicholas J. Goddard, Samuel Somasundaram, Stephan Weiss

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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.
Original languageEnglish
Pages8033-8037
Number of pages5
Publication statusPublished - 16 May 2019
Event2019 International Conference on Acoustics, Speech, and Signal Processing - Brighton, United Kingdom
Duration: 12 May 201917 May 2019

Conference

Conference2019 International Conference on Acoustics, Speech, and Signal Processing
Abbreviated titleICASSP 2019
CountryUnited Kingdom
CityBrighton
Period12/05/1917/05/19

Keywords

  • space-time covariance
  • estimation
  • parahermitian matrix EVD
  • polynomial matrices

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    Delaosa, C., Pestana, J., Goddard, N. J., Somasundaram, S., & Weiss, S. (2019). Sample space-time covariance matrix estimation. 8033-8037. Paper presented at 2019 International Conference on Acoustics, Speech, and Signal Processing, Brighton, United Kingdom.