On adaptive EVD asymptotic distribution of centro-symmetriccovariance matrices

Authors:
J.-P. Delmas
Affiliations:
Inst. Nat. des Telecommun., Evry
Venue:
IEEE Transactions on Signal Processing
Year:
1999

Citing 0
Cited 3

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Generalized reflexive solutions of the matrix equation AXB=D and an associated optimal approximation problem

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Inverse eigenproblem for R-symmetric matrices and their approximation

Journal of Computational and Applied Mathematics

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Abstract

This article investigates the gain in statistical performance/complexity of the adaptive estimation of the eigenvalue decomposition (EVD) of covariance matrices when the centro-symmetric (CS) structure of such matrices is utilized. After deriving the asymptotic distribution of the EVD estimators, it is shown, in particular, that the closed-form expressions for the asymptotic covariance of batch and adaptive EVD estimators are very similar, provided that the number of samples is replaced by the inverse of the step size