Eigenelement statistics of sample covariance matrix in the correlated data case

被引：5

作者：

Stoica, P

Soderstrom, T

机构：

[1] Systems and Control Group, Department of Technology, Uppsala University, S-751 03 Uppsala

[2] Applied Electronics Department, Chalmers University of Technology, Gothenburg

[3] Lund Institute of Technology, Lund

[4] Department of Technology, Uppsala University, Uppsala

来源：

DIGITAL SIGNAL PROCESSING | 1997年 / 7卷 / 02期

关键词：

D O I：

10.1006/dspr.1997.0287

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

This paper derives the asymptotic second-order moments of the distinct eigenvalues and the corresponding eigenvectors of a sample covariance matrix in the correlated snapshot case. The general moment formulas obtained herein encompass several previously published results as special cases. The formulas are useful in analysing the statistical performance of eigenstructure-based methods for sinusoidal frequency estimation or for estimating the directions-of-arrival in the case where the emitter signals exhibit temporal correlation. (C) 1997 Academic Press.

引用

页码：136 / 143

页数：8

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