Asymptotic normality of the sample mean and covariances of evanescent fields in noise

Authors:
Mark Kliger;Joseph M. Francos
Affiliations:
Department of Electrical Engineering and Computer Science, University of Michigan, Ann Arbor, MI, 48109-2122, USA;Department of Electrical and Computer Engineering, Ben-Gurion University, Beer-Sheva 84105, Israel
Venue:
Journal of Multivariate Analysis
Year:
2007

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Abstract

We consider the asymptotic properties of the sample mean and the sample covariance sequence of a field composed of the sum of a purely indeterministic and evanescent components. The asymptotic normality of the sample mean and sample covariances is established. A Bartlett-type formula for the asymptotic covariance matrix of the sample covariances of this field, is derived.