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Spectral distribution of the exponentially windowed sample covariance matrix

Yazdian, E ; Sharif University of Technology | 2012

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  1. Type of Document: Article
  2. DOI: 10.1109/ICASSP.2012.6288678
  3. Publisher: IEEE , 2012
  4. Abstract:
  5. 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
  6. Keywords:
  7. Array signal processing ; Limiting Spectral Distribution ; Eigenvalues ; Random matrix theory ; Sample covariance matrix ; Spectral distribution ; Wishart matrices ; Covariance matrix ; Eigenvalues and eigenfunctions ; Random variables ; Signal processing
  8. Source: 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)
  9. URL: http://ieeexplore.ieee.org/xpl/login.jsp?tp=&arnumber=6288678&url=http%3A%2F%2Fieeexplore.ieee.org%2Fxpls%2Fabs_all.jsp%3Farnumber%3D6288678