Eigenelement Statistics of Sample Covari
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Petre Stoica; Torsten Söderström
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Article
📅
1997
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Elsevier Science
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English
⚖ 186 KB
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 formul