Eigenvalue Estimation of the Exponentially Windowed Sample Covariance Matrices

Ehsan Yazdian, Saeed Gazor, Mohammad Hasan Bastani, Mohsen Sharifitabar. Eigenvalue Estimation of the Exponentially Windowed Sample Covariance Matrices. IEEE Transactions on Information Theory, 62(7):4300-4311, 2016. [doi]

Abstract

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