Title :
The inversion of covariance matrices by finite Fourier transforms (Corresp.)
fDate :
3/1/1970 12:00:00 AM
Abstract :
A matrix series is derived that converges to the inverse of a covariance matrix. The members of the series are derived from a circular matrix that can be inverted by taking finite Fourier transforms. An example of the method is presented.
Keywords :
Covariance matrices; Finite Fourier transforms; Matrix inversion; Covariance matrix; Eigenvalues and eigenfunctions; Entropy; Equations; Fourier transforms; Information theory; Linear matrix inequalities; Mathematics; Probability density function; Zinc;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1970.1054418
