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Efficient Time Recursive Coherence Spectrum Estimation
- Angelopoulos, Kostas (author)
- Glentis, George-Othan (author)
-
- Jakobsson, Andreas (author)
- Lund University,Lunds universitet,Biomedical Modelling and Computation,Forskargrupper vid Lunds universitet,Statistical Signal Processing Group,Matematisk statistik,Matematikcentrum,Institutioner vid LTH,Lunds Tekniska Högskola,Lund University Research Groups,Mathematical Statistics,Centre for Mathematical Sciences,Departments at LTH,Faculty of Engineering, LTH
- (creator_code:org_t)
- 2012
- 2012
- English 5 s.
- In: Signal Processing Conference (EUSIPCO), 2012 Proceedings of the 20th European. - 2076-1465 .- 2219-5491. - 9781467310680 ; , s. 425-429
- Conference paper (peer-reviewed)
Abstract
Subject headings
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- The coherence spectrum is of notable interest as a bivariate spectral measure in a variety of application, and the topic has lately attracted notable interest with the recent formulation of several high-resolution data adaptive estimators. In this work, we present computationally efficient time recursive implementations of the recent iterative adaptive approach (IAA) estimator, examining both the case of complete data sets and when some observations are missing. The algorithms continues the recent development of exploiting the estimators’ inherently low displacement rank of the necessary products of Toeplitz-like matrices, extending these to time-updating formulations for the IAA-based coherence estimation algorithm. Numerical simulations together with theoretical complexity measures illustrate the performance of the proposed algorithm.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Coherence spectrum
- data adaptive estimators
- efficient algorithms
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