Miltiwindow estimators of correlation McWhorter, L. Todd ; Scharf, Louis L. "This work was supported by the Office of Naval Research, Statistics and Probability Branch, under Contract N00014-89-J-1070." This paper is concerned with the structure of estimators of correlation matrices and correlation sequences. We argue that reasonable estimators of the correlation matrix are quadratic in the data and nonnegative definite. We also specify the structure of the estimator when the data are modulated: a property we call modulation covariance. We state a representation theorem for estimators that have these attributes. We also derive a representation for estimators that have the additional requirement that the estimated matrix be Toeplitz. These representation theorems admit estimators that use multiwindowed copies of the data. In many circumstances, this multiwindow structure is superior to the conventional sum of lagged-products or outer-product estimators. Colorado State University. Libraries 1995 text ; image application/pdf ECElls00011.pdf FACFECEN100400ARTI eng c1998 IEEE
Miltiwindow estimators of correlation
McWhorter, L. Todd ; Scharf, Louis L.
"This work was supported by the Office of Naval Research, Statistics and Probability Branch, under Contract N00014-89-J-1070."
This paper is concerned with the structure of estimators of correlation matrices and correlation sequences. We argue that reasonable estimators of the correlation matrix are quadratic in the data and nonnegative definite. We also specify the structure of the estimator when the data are modulated: a property we call modulation covariance. We state a representation theorem for estimators that have these attributes. We also derive a representation for estimators that have the additional requirement that the estimated matrix be Toeplitz. These representation theorems admit estimators that use multiwindowed copies of the data. In many circumstances, this multiwindow structure is superior to the conventional sum of lagged-products or outer-product estimators.
Colorado State University. Libraries
1995
text ; image
application/pdf
ECElls00011.pdf
FACFECEN100400ARTI
eng
c1998 IEEE