Back to Search
Start Over
First- and Second-Order Moments of the Normalized Sample Covariance Matrix of Spherically Invariant Random Vectors.
- Source :
- IEEE Signal Processing Letters; Jun2007, Vol. 14 Issue 6, p425-428, 4p
- Publication Year :
- 2007
-
Abstract
- Under Gaussian assumptions, the sample covariance matrix (SCM) is encountered in many covariance based processing algorithms. In case of impulsive noise, this estimate is no more appropriate. This is the reason why when the noise is modeled by spherically invariant random vectors (SIRV), a natural extension of the SCM is extensively used in the literature: the well-known normalized sample covariance matrix (NSCM), which estimates the covariance of SIRV. Indeed, this estimate gets rid of a fluctuating noise power and is widely used in radar applications. The aim of this paper is to derive closed-form expressions of the first- and second-order moments of the NSCM. [ABSTRACT FROM AUTHOR]
- Subjects :
- ESTIMATION theory
PROBABILITY measures
ANALYSIS of covariance
ALGORITHMS
NOISE
Subjects
Details
- Language :
- English
- ISSN :
- 10709908
- Volume :
- 14
- Issue :
- 6
- Database :
- Complementary Index
- Journal :
- IEEE Signal Processing Letters
- Publication Type :
- Academic Journal
- Accession number :
- 25312123
- Full Text :
- https://doi.org/10.1109/LSP.2006.888400