Rank-deficient prewhitening with quotient SVD and ULV decompositions
type: Item
instance of: scholarly article
title: Rank-deficient prewhitening with quotient SVD and ULV decompositions
zbMATH Open document ID: 0901.65026
DOI: 10.1007/BF02510915
author: Per Christian Hansen
published in: BIT
publication date: 1998-06-02T00:00:00Z
review text: Prewhitening is a technique frequently used in signal processing when dealing with a signal degraded by colored noise. In this paper, based on the generalized singular value decomposition, a method to prowhiten a signal contaminated by an interfering noisy signal whose covariance matrix is rank deficient, is proposed. It is also demonstrated that a quotient-version of the ULV decomposition can be used to provide an efficient updatable implementation.
Mathematics Subject Classification ID: 65F20
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 94A12
zbMATH DE Number: 1158319
zbMATH Keywords: rank-deficient covariance matrix
zbMATH Keywords: prewhitening
zbMATH Keywords: signal processing
zbMATH Keywords: colored noise
zbMATH Keywords: generalized singular value decomposition
zbMATH Keywords: ULV decomposition
reviewed by: Liu Xinguo
MaRDI profile type: MaRDI publication profile
cites work: The singular value decomposition and long and short spaces of noisy matrices
cites work: A weighted pseudoinverse, generalized singular values, and constrained least squares problems
cites work: Rank-Deficient and Discrete Ill-Posed Problems
cites work: A new matrix decomposition for signal processing
cites work: Q4288559
full work available at URL: https://doi.org/10.1007/bf02510915
OpenAlex ID: W1511565938
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description: scientific article; zbMATH DE number 1158319