Far East Journal of Theoretical Statistics
Volume 32, Issue 1, Pages 47 - 58
(July 2010)
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ESTIMATION OF COVARIANCE MATRIX IN SIGNAL PROCESSING IN THE PRESENCE OF WHITE NOISE
Madhusudan Bhandary
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where
is the sample covariance matrix of
observations consisting of both noise and signals. Strong consistency and
asymptotic normality of the estimator are discussed.