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Sample Space-Time Covariance Estimation

Citation Author(s):
Connor Delaosa, Jennifer Pestana, Nicholas J. Goddard, Sam Somasundaram, Stephan Weiss
Submitted by:
Connor Delaosa
Last updated:
15 May 2019 - 4:53pm
Document Type:
Presentation Slides
Document Year:
2019
Event:
Presenters:
Connor Delaosa
Paper Code:
2408
 

Estimation errors are incurred when calculating the sample space-time covariance matrix. We formulate the variance of this estimator when operating on a finite sample set, compare it to known results, and demonstrate its precision in simulations. The variance of the estimation links directly to previously explored perturbation of the analytic eigenvalues and eigenspaces of a parahermitian cross-spectral density matrix when estimated from finite data.

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