Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/72819
Title: On eigenvalues distribution of correlation matrices
Authors: Farhang-Boroujeny, B. 
Issue Date: 1991
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
URI: http://scholarbank.nus.edu.sg/handle/10635/72819
ISSN: 02714310
Appears in Collections:Staff Publications

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