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Sample Space-Time Covariance Estimation
- Citation Author(s):
- 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
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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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