The rank of the covariance matrix of an evanescent field

DOI10.1016/J.JMVA.2009.09.010zbMATH Open1186.60045arXiv0803.0783OpenAlexW2020988148MaRDI QIDQ847423FDOQ847423

Joseph M. Francos, Mark Kliger

Publication date: 12 February 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: Evanescent random fields arise as a component of the 2-D Wold decomposition of homogenous random fields. Besides their theoretical importance, evanescent random fields have a number of practical applications, such as in modeling the observed signal in the space time adaptive processing (STAP) of airborne radar data. In this paper we derive an expression for the rank of the low-rank covariance matrix of a finite dimension sample from an evanescent random field. It is shown that the rank of this covariance matrix is completely determined by the evanescent field spectral support parameters, alone. Thus, the problem of estimating the rank lends itself to a solution that avoids the need to estimate the rank from the sample covariance matrix. We show that this result can be immediately applied to considerably simplify the estimation of the rank of the interference covariance matrix in the STAP problem.

Full work available at URL: https://arxiv.org/abs/0803.0783

zbMATH Keywords

covariance matrixlinear Diophantine equationevanescent random fieldshomogeneous random fields

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Random fields (60G60) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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• The prediction theory of stationary random fields. III: Fourfold Wold decompositions

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