An approximate solution to the simultaneous diagonalization of two covariance kernels: applications to second-order stochastic processes

DOI10.1109/18.945284zbMath1018.94503OpenAlexW2151690960MaRDI QIDQ4544713

A. Oya, Jesus Navarro-Moreno, Juan Carlos Ruiz-Molina

Publication date: 4 August 2002

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.945284

zbMATH Keywords

stochastic processes signal detection Gaussian signal approximate simultaneous orthogonal expansions Rayleigh-Ritz eigenfunctions

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Signal detection and filtering (aspects of stochastic processes) (60G35) Detection theory in information and communication theory (94A13) Applications of functional analysis in probability theory and statistics (46N30) Application of orthogonal and other special functions (94A11)

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