Rank-deficient prewhitening with quotientSVD andULV decompositions |
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Authors: | Per Christian Hansen |
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Institution: | (1) Department of Mathematical Modelling, Technical University of Denmark, Building 321, DK-2800 Lyngby, Denmark |
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Abstract: | This paper deals with certain theoretical and numerical aspects of prewhitening, which is a technique frequently used in signal
processing when dealing with signals degraded by colored noise. In particular, we demonstrate how to prewhiten a signal contaminated
by an interfering noisy signal whose covariance matrix is rank deficient. The formulation of our technique is based on the
quotient (or generalized) singular value decomposition, and we also show that a quotient-version of theULV decomposition can be used to provide an efficient updatable implementation. |
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Keywords: | 65F20 65F30 |
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