Search for: limiting-spectral-distribution
Eigenvalue estimation of the exponentially windowed sample covariance matrices, Article IEEE Transactions on Information Theory ; Volume 62, Issue 7 , 2016 , Pages 4300-4311 ; 00189448 (ISSN) ; Gazor, S ; Bastani, M. H ; Sharifitabar, M ; Sharif University of Technology
Institute of Electrical and Electronics Engineers Inc 2016
In this paper, we consider an exponentially windowed sample covariance matrix (EWSCM) and propose an improved estimator for its eigenvalues. We use new advances in random matrix theory, which describe the limiting spectral distribution of the large dimensional doubly correlated Wishart matrices to find the support and distribution of the eigenvalues of the EWSCM. We then employ the complex integration and residue theorem to design an estimator for the eigenvalues, which satisfies the cluster separability condition, assuming that the eigenvalue multiplicities are known. We show that the proposed estimator is consistent in the asymptotic regime and has good performance in finite sample size...
Limiting spectral distribution of the sample covariance matrix of the windowed array data, Article Eurasip Journal on Advances in Signal Processing ; Volume 2013, Issue 1 , 2013 ; 16876172 (ISSN) ; Gazor, S ; Bastani, M. H ; Sharif University of Technology
In this article, we investigate the limiting spectral distribution of the sample covariance matrix (SCM) of weighted/windowed complex data. We use recent advances in random matrix theory and describe the distribution of eigenvalues of the doubly correlated Wishart matrices. We obtain an approximation for the spectral distribution of the SCM obtained from windowed data. We also determine a condition on the coefficients of the window, under which the fragmentation of the support of noise eigenvalues can be avoided, in the noise-only data case. For the commonly used exponential window, we derive an explicit expression for the l.s.d of the noise-only data. In addition, we present a method to...
Spectral distribution of the exponentially windowed sample covariance matrix, Article ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings, 25 March 2012 through 30 March 2012, Kyoto ; 2012 , Pages 3529-3532 ; 15206149 (ISSN) ; 9781467300469 (ISBN) ; Bastani, M. H ; Gazor, S ; Sharif University of Technology
In this paper, we investigate the effect of applying an exponential window on the limiting spectral distribution (l.s.d.) of the exponentially windowed sample covariance matrix (SCM) of complex array data. We use recent advances in random matrix theory which describe the distribution of eigenvalues of the doubly correlated Wishart matrices. We derive an explicit expression for the l.s.d. of the noise-only data. Simulations are performed to support our theoretical claims