Eigenelement Statistics of Sample Covariance Matrix in the Correlated Data Case

✍ Scribed by Petre Stoica; Torsten Söderström

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 186 KB
• Volume: 7
• Category: Article
• ISSN: 1051-2004
• DOI: 10.1006/dspr.1997.0287

✦ Synopsis

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.