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|Title:||On eigenvalues distribution of correlation matrices|
|Source:||Farhang-Boroujeny, B. (1991). On eigenvalues distribution of correlation matrices. Proceedings - IEEE International Symposium on Circuits and Systems 2 : 1251-1254. ScholarBank@NUS Repository.|
|Abstract:||The distribution of the eigenvalues of the correlation matrices of stochastic processes is addressed. A filtering view of the eigenproblem of the correlation matrices is given. It is shown that eigenvectors of a correlation matrix may be thought of as the coefficients of a set of optimimum finite-impulse-response (FIR) filters that may be designed through an optimization procedure. It is shown that the eigenvalues of the correlation matrix of a transversal filter may be obtained by averaging its output power when the complex conjugate of its corresponding eigenvectors is used as its tap-gain vector. This results in an effective mathematical tool that may be readily used for estimation of the eigenvalues of the correlation matrices under many conditions of interest.|
|Source Title:||Proceedings - IEEE International Symposium on Circuits and Systems|
|Appears in Collections:||Staff Publications|
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