Spectral distribution of the exponentially windowed sample covariance matrix

Author

Yazdian, Ehsan ; Bastani, Mohammad Hassan ; Gazor, Saeed

Author_Institution

Electr. Eng. Dept., Sharif Univ. of Technol., Tehran, Iran

fYear

2012

fDate

25-30 March 2012

Firstpage

3529

Lastpage

3532

Abstract

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.

Keywords

array signal processing; covariance matrices; eigenvalues and eigenfunctions; exponential distribution; LSD; SCM; complex array data; doubly correlated Wishart matrices; exponentially windowed sample covariance matrix; limiting spectral distribution; noise-only data; random matrix theory; Arrays; Covariance matrix; Eigenvalues and eigenfunctions; Limiting; Signal processing algorithms; Transforms; Array signal processing; Limiting Spectral Distribution; Random Matrix Theory;

fLanguage

English

Publisher

ieee

Conference_Titel

Acoustics, Speech and Signal Processing (ICASSP), 2012 IEEE International Conference on

Conference_Location

Kyoto

ISSN

1520-6149

Print_ISBN

978-1-4673-0045-2

Electronic_ISBN

1520-6149

Type

conf

DOI

10.1109/ICASSP.2012.6288678

Filename

6288678