Asymptotic mean squared error performance of diagonally loaded Capon-MVDR processor

Christ D. Richmond, Raj Rao Nadakuditi, Alan Edelman

Research output: Chapter in Book/Report/Conference proceedingConference contribution

14 Scopus citations

Abstract

The asymptotic local mean squared error (MSB) performance of the Capon algorithm, a.k.a the minimum variance distortionless response (MVDR) spectral estimator, has been studied extensively by several authors. Stoica et al. [21], Vaidyanathan and Buckley [23], and Hawkes and Nehorai [11] have exploited Taylor's theorem and complex gradient methods to provide accurate prediction of the Capon algorithm signal parameter estimate MSB performance. These predictions are valid (i) above the estimation threshold signal-to-noise ratio (SNR) and (ii) provided a sufficient number of training samples is available for covariance estimation. The goal of this present analysis is to extend these results to the case in which the sample covariance matrix is diagonally loaded, as is often done in practice for regularization, stabilizing matrix inversion, and white noise gain control [7]. Recent advances in the theory of random matrices with large dimensions facilitate simple calculation of the required moments of the eigenvalues of several modified complex Wishart matrices including the inverse of the diagonally loaded case [14, 16]. This initial work focuses on the MSB prediction of angle estimates derived for the canonical case of single and multiple planewave signals in white noise.

Original languageEnglish (US)
Title of host publicationConference Record of The Thirty-Ninth Asilomar Conference on Signals, Systems and Computers
Pages1711-1716
Number of pages6
StatePublished - Dec 1 2005
Externally publishedYes
Event39th Asilomar Conference on Signals, Systems and Computers - Pacific Grove, CA, United States
Duration: Oct 28 2005Nov 1 2005

Publication series

NameConference Record - Asilomar Conference on Signals, Systems and Computers
Volume2005
ISSN (Print)1058-6393

Other

Other39th Asilomar Conference on Signals, Systems and Computers
CountryUnited States
CityPacific Grove, CA
Period10/28/0511/1/05

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ASJC Scopus subject areas

  • Signal Processing
  • Computer Networks and Communications

Cite this

Richmond, C. D., Rao Nadakuditi, R., & Edelman, A. (2005). Asymptotic mean squared error performance of diagonally loaded Capon-MVDR processor. In Conference Record of The Thirty-Ninth Asilomar Conference on Signals, Systems and Computers (pp. 1711-1716). [1600062] (Conference Record - Asilomar Conference on Signals, Systems and Computers; Vol. 2005).