Rank-deficient prewhitening with quotient SVD and ULV decompositions

DOI10.1007/BF02510915zbMath0901.65026OpenAlexW1511565938MaRDI QIDQ1387236

Per Christian Hansen

Publication date: 2 June 1998

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02510915

zbMATH Keywords

signal processingcolored noisegeneralized singular value decompositionprewhiteningULV decompositionrank-deficient covariance matrix

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20) Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• A new matrix decomposition for signal processing
• A weighted pseudoinverse, generalized singular values, and constrained least squares problems
• The singular value decomposition and long and short spaces of noisy matrices
• Rank-Deficient and Discrete Ill-Posed Problems
• Unnamed Item