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Estimating complex covariance by observing two variables at a time. (English) Zbl 06102773

Summary: The estimation of covariance matrices is central in array signal processing systems. This note addresses complex covariance estimation for the situation, where the complex data are available only as independent pairwise sets (observations) corresponding to individual elements of the matrix. The formulation for the empirical estimate and the normal maximum likelihood estimate is developed for the general case of different sample sizes for each observation. The approach allows, for example, the estimate of the \(p\) by \(p\) covariance matrix of a \(p\)-port sensor array from a two-port measurement instrument.

MSC:

62H10 Multivariate distribution of statistics
62H12 Estimation in multivariate analysis
62H15 Hypothesis testing in multivariate analysis
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References:

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