A CLT on the SNR of Diagonally Loaded MVDR Filters

This paper studies the fluctuations of the signal-to-noise ratio (SNR) of minimum variance distorsionless response (MVDR) filters implementing diagonal loading in the estimation of the covariance matrix. Previous results in the signal processing literature are generalized and extended by considering...

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Detalles Bibliográficos
Autores: Mestre, X, Hachem, W
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2012
País:España
Institución:Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)
Repositorio:r-CTTC. Repositorio Institucional Producción Científica del Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)
OAI Identifier:oai:cttc.fundanetsuite.com:p2915
Acceso en línea:https://cttc.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=2915
Access Level:acceso abierto
Palabra clave:Asymptotic theory
central limit theorem (CLT)
linear filter
minimum variance estimation
performance analysis
random matrix theory
signal-to-noise ratio (SNR)
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spelling A CLT on the SNR of Diagonally Loaded MVDR FiltersMestre, XHachem, WAsymptotic theorycentral limit theorem (CLT)linear filterminimum variance estimationperformance analysisrandom matrix theorysignal-to-noise ratio (SNR)This paper studies the fluctuations of the signal-to-noise ratio (SNR) of minimum variance distorsionless response (MVDR) filters implementing diagonal loading in the estimation of the covariance matrix. Previous results in the signal processing literature are generalized and extended by considering both spatially as well as temporarily correlated samples. Specifically, a central limit theorem (CLT) is established for the fluctuations of the SNR of the diagonally loaded MVDR filter, under both supervised and unsupervised training settings in adaptive filtering applications. Our second-order analysis is based on the Nash-Poincare inequality and the integration by parts formula for Gaussian functionals, as well as classical tools from statistical asymptotic theory. Numerical evaluations validating the accuracy of the CLT confirm the asymptotic Gaussianity of the fluctuations of the SNR of the MVDR filter.Institute of Electrical and Electronics Engineers Inc.2012info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttps://cttc.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=2915IEEE TRANSACTIONS ON SIGNAL PROCESSINGISSN: 19410476ISSNe: 1053587Xreponame:r-CTTC. Repositorio Institucional Producción Científica del Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)instname:Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)Inglésinfo:eu-repo/semantics/openAccessoai:cttc.fundanetsuite.com:p29152026-06-17T11:44:47Z
dc.title.none.fl_str_mv A CLT on the SNR of Diagonally Loaded MVDR Filters
title A CLT on the SNR of Diagonally Loaded MVDR Filters
spellingShingle A CLT on the SNR of Diagonally Loaded MVDR Filters
Mestre, X
Asymptotic theory
central limit theorem (CLT)
linear filter
minimum variance estimation
performance analysis
random matrix theory
signal-to-noise ratio (SNR)
title_short A CLT on the SNR of Diagonally Loaded MVDR Filters
title_full A CLT on the SNR of Diagonally Loaded MVDR Filters
title_fullStr A CLT on the SNR of Diagonally Loaded MVDR Filters
title_full_unstemmed A CLT on the SNR of Diagonally Loaded MVDR Filters
title_sort A CLT on the SNR of Diagonally Loaded MVDR Filters
dc.creator.none.fl_str_mv Mestre, X
Hachem, W
author Mestre, X
author_facet Mestre, X
Hachem, W
author_role author
author2 Hachem, W
author2_role author
dc.subject.none.fl_str_mv Asymptotic theory
central limit theorem (CLT)
linear filter
minimum variance estimation
performance analysis
random matrix theory
signal-to-noise ratio (SNR)
topic Asymptotic theory
central limit theorem (CLT)
linear filter
minimum variance estimation
performance analysis
random matrix theory
signal-to-noise ratio (SNR)
description This paper studies the fluctuations of the signal-to-noise ratio (SNR) of minimum variance distorsionless response (MVDR) filters implementing diagonal loading in the estimation of the covariance matrix. Previous results in the signal processing literature are generalized and extended by considering both spatially as well as temporarily correlated samples. Specifically, a central limit theorem (CLT) is established for the fluctuations of the SNR of the diagonally loaded MVDR filter, under both supervised and unsupervised training settings in adaptive filtering applications. Our second-order analysis is based on the Nash-Poincare inequality and the integration by parts formula for Gaussian functionals, as well as classical tools from statistical asymptotic theory. Numerical evaluations validating the accuracy of the CLT confirm the asymptotic Gaussianity of the fluctuations of the SNR of the MVDR filter.
publishDate 2012
dc.date.none.fl_str_mv 2012
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://cttc.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=2915
url https://cttc.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=2915
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Institute of Electrical and Electronics Engineers Inc.
publisher.none.fl_str_mv Institute of Electrical and Electronics Engineers Inc.
dc.source.none.fl_str_mv IEEE TRANSACTIONS ON SIGNAL PROCESSING
ISSN: 19410476
ISSNe: 1053587X
reponame:r-CTTC. Repositorio Institucional Producción Científica del Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)
instname:Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)
instname_str Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)
reponame_str r-CTTC. Repositorio Institucional Producción Científica del Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)
collection r-CTTC. Repositorio Institucional Producción Científica del Centre Tecnològic de Telecomunicacions de Catalunya (CTTC)
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,81155

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