TY - GEN
T1 - Subspace analysis of state covariances
AU - Georgiou, Tryphon T.
PY - 2000/1/1
Y1 - 2000/1/1
N2 - The state-covariance of a linear filter imposes a generalized interpolation constraint on the power spectrum of the input. We explore this observation by first characterizing minimal line-spectra which are consistent with given state-covariance data. In particular, we present a canonical decomposition for state-covariances which is analogous to the well-known decomposition of Toeplitz matrices due to Carathkodory-Fejkr and Pisarenko. Accordingly we develop subspace-based signal estimation techniques which apply to state covariances of linear filters and are analogous to MUSIC and ESPRIT. A method analogous to one due to Capon, but based on state-covariance data instead, is also presented. Finally, through a certain duality, subspace methods are shown to be useful in identifying absorption instead of emission lines in the power spectrum of the filter-input.
AB - The state-covariance of a linear filter imposes a generalized interpolation constraint on the power spectrum of the input. We explore this observation by first characterizing minimal line-spectra which are consistent with given state-covariance data. In particular, we present a canonical decomposition for state-covariances which is analogous to the well-known decomposition of Toeplitz matrices due to Carathkodory-Fejkr and Pisarenko. Accordingly we develop subspace-based signal estimation techniques which apply to state covariances of linear filters and are analogous to MUSIC and ESPRIT. A method analogous to one due to Capon, but based on state-covariance data instead, is also presented. Finally, through a certain duality, subspace methods are shown to be useful in identifying absorption instead of emission lines in the power spectrum of the filter-input.
UR - http://www.scopus.com/inward/record.url?scp=0033676958&partnerID=8YFLogxK
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U2 - 10.1109/ICASSP.2000.861940
DO - 10.1109/ICASSP.2000.861940
M3 - Conference contribution
AN - SCOPUS:0033676958
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 269
EP - 272
BT - Signal Processing Theory and Methods I
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 25th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2000
Y2 - 5 June 2000 through 9 June 2000
ER -