Open AccessSearch of weights in the problem of finite-rank signal estimation in presence of noise
Author(s) -
Nikita Zvonarev
Publication year - 2021
Publication title -
vestnik sankt-peterburgskogo universiteta. matematika. mehanika. astronomiâ/vestnik sankt-peterburgskogo universiteta. seriâ 1, matematika, mehanika, astronomiâ
Language(s) - English
Resource type - Journals
eISSN - 2587-5884
pISSN - 1025-3106
DOI - 10.21638/spbu01.2021.304
Subject(s) - noise (video) , rank (graph theory) , diagonal , algorithm , mathematics , covariance , signal (programming language) , covariance matrix , estimation of covariance matrices , inverse , inverse problem , mathematical optimization , statistics , computer science , mathematical analysis , artificial intelligence , combinatorics , geometry , image (mathematics) , programming language
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.