Forward-only and forward-backward sample covariances - A comparative study

• In some applications the covariance matrix of the observations enjoys a particular symmetry: it is not only symmetric with respect to its main diagonal but also with respect to the anti-diagonal. The standard forward-only sample covariance estimate does n

Nyckelord

forward-only sample covariance; performance analysis; centro-hermitian matrix; direction estimation; capon method; maximum likelihood method

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