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Impact of Space-Time Covariance Estimation Errors on a Parahermitian Matrix EVD

Abstract: 

This paper studies the impact of estimation errors in the sample space-time covariance matrix on its parahermitian matrix eigenvalue decomposition. We provide theoretical bounds for the perturbation of the ground-truth eigenvalues and of the subspaces of their corresponding eigenvectors. We show that for the eigenvalues, the perturbation depends on the norm of the estimation error in the space-time covariance matrix, while the perturbation of eigenvector subspaces can additionally be influenced by the distance between the eigenvalues. We confirm these theoretical results by simulations.

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Paper Details

Authors:
Connor Delaosa, Fraser K. Coutts, Jennifer Pestana, Stephan Weiss
Submitted On:
4 July 2018 - 5:17am
Short Link:
Type:
Poster
Event:
Presenter's Name:
Connor Delaosa
Paper Code:
M2-P3
Document Year:
2018
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Document Files

sam_p18a_a0.pdf

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[1] Connor Delaosa, Fraser K. Coutts, Jennifer Pestana, Stephan Weiss, "Impact of Space-Time Covariance Estimation Errors on a Parahermitian Matrix EVD", IEEE SigPort, 2018. [Online]. Available: http://sigport.org/3351. Accessed: Nov. 12, 2018.
@article{3351-18,
url = {http://sigport.org/3351},
author = {Connor Delaosa; Fraser K. Coutts; Jennifer Pestana; Stephan Weiss },
publisher = {IEEE SigPort},
title = {Impact of Space-Time Covariance Estimation Errors on a Parahermitian Matrix EVD},
year = {2018} }
TY - EJOUR
T1 - Impact of Space-Time Covariance Estimation Errors on a Parahermitian Matrix EVD
AU - Connor Delaosa; Fraser K. Coutts; Jennifer Pestana; Stephan Weiss
PY - 2018
PB - IEEE SigPort
UR - http://sigport.org/3351
ER -
Connor Delaosa, Fraser K. Coutts, Jennifer Pestana, Stephan Weiss. (2018). Impact of Space-Time Covariance Estimation Errors on a Parahermitian Matrix EVD. IEEE SigPort. http://sigport.org/3351
Connor Delaosa, Fraser K. Coutts, Jennifer Pestana, Stephan Weiss, 2018. Impact of Space-Time Covariance Estimation Errors on a Parahermitian Matrix EVD. Available at: http://sigport.org/3351.
Connor Delaosa, Fraser K. Coutts, Jennifer Pestana, Stephan Weiss. (2018). "Impact of Space-Time Covariance Estimation Errors on a Parahermitian Matrix EVD." Web.
1. Connor Delaosa, Fraser K. Coutts, Jennifer Pestana, Stephan Weiss. Impact of Space-Time Covariance Estimation Errors on a Parahermitian Matrix EVD [Internet]. IEEE SigPort; 2018. Available from : http://sigport.org/3351