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Recursive estimation of the covariance matrix of a compound-Gaussian process and its application to adaptive CFAR detection

✍ Scribed by Conte, E.; De Maio, A.; Ricci, G.

Book ID
119821304
Publisher
IEEE
Year
2002
Tongue
English
Weight
325 KB
Volume
50
Category
Article
ISSN
1053-587X

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An exact formula of the inverse covariance matrix of an autoregressive stochastic process is obtained using the Gohberg}Semencul explicit inverse of the Toeplitz matrix. This formula is used to build an estimator of the inverse covariance matrix of a stochastic process based on a single realization.