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This article is cited in 1 scientific paper (total in 1 paper)
MATHEMATICS
Search of weights in the problem of finite-rank signal estimation in presence of noise
N. K. Zvonarev St. Petersburg State University, 7-9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation
Abstract:
The problem of weighted finite-rank time-series approximation is considered for signal estimation in "signal plus noise" model, where the inverse covariance matrix of noise is $(2p+1)$-diagonal. Finding of weights, which improve the estimation accuracy, is examined. An effective method for the numerical search of the weights is constructed and proved. Numerical simulations are performed to study the improvement of the estimation accuracy for several noise models.
Keywords:
time series, Cadzow's iterative method, time series of finite rank, weighted lowrank approximation, Kullback-Leibler divergence, optimization methods.
Received: 11.12.2020 Revised: 11.01.2020 Accepted: 19.03.2020
Citation:
N. K. Zvonarev, “Search of weights in the problem of finite-rank signal estimation in presence of noise”, Vestnik of Saint Petersburg University. Mathematics. Mechanics. Astronomy, 8:3 (2021), 417–429; Vestn. St. Petersbg. Univ., Math., 8:4 (2021), 236–244
Linking options:
https://www.mathnet.ru/eng/vspua92 https://www.mathnet.ru/eng/vspua/v8/i3/p417
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