Search of weights in the problem of finite-rank signal estimation in presence of noise | Zendy

Nikita Zvonarev | Zendy

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Search of weights in the problem of finite-rank signal estimation in presence of noise

Author(s) -

Nikita Zvonarev

Publication year - 2021

Publication title -

vestnik of saint petersburg university mathematics mechanics astronomy

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 , signal (programming language) , covariance , estimation of covariance matrices , inverse , covariance matrix , mathematical optimization , computer science , statistics , 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.

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