A CLT on the SNR of Diagonally Loaded MVDR Filters

This paper studies the fluctuations of the signal-to-noise ratio (SNR) of minimum variance distorsionless response (MVDR) filters implementing diagonal loading in the estimation of the covariance matrix. Previous results in the signal processing literature are generalized and extended by considering both spatially as well as temporarily correlated samples. Specifically, a central limit theorem (CLT) is established for the fluctuations of the SNR of the diagonally loaded MVDR filter, under both supervised and unsupervised training settings in adaptive filtering applications. Our second-order analysis is based on the Nash-Poincar\'e inequality and the integration by parts formula for Gaussian functionals, as well as classical tools from statistical asymptotic theory. Numerical evaluations validating the accuracy of the CLT confirm the asymptotic Gaussianity of the fluctuations of the SNR of the MVDR filter.Comment: This is a corrected version of the paper that will appear at IEEE Transactions on Signal Processing September 201

A short overview of adaptive multichannel filters SNR loss analysis

Many multichannel systems use a linear filter to retrieve a signal of interest corrupted by noise whose statistics are partly unknown. The optimal filter in Gaussian noise requires knowledge of the noise covariance matrix $\Sigma$ and in practice the latter is estimated from a set of training samples. An important issue concerns the characterization of the performance of such adaptive filters. This is generally achieved using as figure of merit the ratio of the signal to noise ratio (SNR) at the output of the adaptive filter to the SNR obtained with the clairvoyant -known $\Sigma$- filter. This problem has been studied extensively since the seventies and this document presents a concise overview of results published in the literature. We consider various cases about the training samples covariance matrix and we investigate fully adaptive, partially adaptive and regularized filters

Theoretical Performance of Low Rank Adaptive Filters in the Large Dimensional Regime

International audienceThis paper proposes a new approximation of the theoretical Signal to Interference plus Noise Ratio (SINR) loss of the Low-Rank (LR) adaptive filter built on the eigenvalue decomposition of the sample covariance matrix. This new result is based on an analysis in the large dimensional regime, i.e. when the size and the number of data tend to infinity at the same rate. Compared to previous works, this new derivation allows to measure the quality of the adaptive filter near the LR contribution. Moreover, we propose a new LR adaptive filter and we also derive its SINR loss approximation in a large dimensional regime. We validate these results on a jamming application and test their robustness in a Multiple Input Multiple Output Space Time Adaptive Processing (MIMO-STAP) application where the data size is larg

Producció Científica del Campus del Baix Llobregat (CBL): Juny-agost 2012

Preprin

Modelling, Simulation and Data Analysis in Acoustical Problems

Modelling and simulation in acoustics is currently gaining importance. In fact, with the development and improvement of innovative computational techniques and with the growing need for predictive models, an impressive boost has been observed in several research and application areas, such as noise control, indoor acoustics, and industrial applications. This led us to the proposal of a special issue about “Modelling, Simulation and Data Analysis in Acoustical Problems”, as we believe in the importance of these topics in modern acoustics’ studies. In total, 81 papers were submitted and 33 of them were published, with an acceptance rate of 37.5%. According to the number of papers submitted, it can be affirmed that this is a trending topic in the scientific and academic community and this special issue will try to provide a future reference for the research that will be developed in coming years

Applied stochastic eigen-analysis

Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy at the Massachusetts Institute of Technology and the Woods Hole Oceanographic Institution February 2007The first part of the dissertation investigates the application of the theory of large random matrices to high-dimensional inference problems when the samples are drawn from a multivariate normal distribution. A longstanding problem in sensor array processing is addressed by designing an estimator for the number of signals in white noise that dramatically outperforms that proposed by Wax and Kailath. This methodology is extended to develop new parametric techniques for testing and estimation. Unlike techniques found in the literature, these exhibit robustness to high-dimensionality, sample size constraints and eigenvector misspecification. By interpreting the eigenvalues of the sample covariance matrix as an interacting particle system, the existence of a phase transition phenomenon in the largest (“signal”) eigenvalue is derived using heuristic arguments. This exposes a fundamental limit on the identifiability of low-level signals due to sample size constraints when using the sample eigenvalues alone. The analysis is extended to address a problem in sensor array processing, posed by Baggeroer and Cox, on the distribution of the outputs of the Capon-MVDR beamformer when the sample covariance matrix is diagonally loaded. The second part of the dissertation investigates the limiting distribution of the eigenvalues and eigenvectors of a broader class of random matrices. A powerful method is proposed that expands the reach of the theory beyond the special cases of matrices with Gaussian entries; this simultaneously establishes a framework for computational (non-commutative) “free probability” theory. The class of “algebraic” random matrices is defined and the generators of this class are specified. Algebraicity of a random matrix sequence is shown to act as a certificate of the computability of the limiting eigenvalue distribution and, for a subclass, the limiting conditional “eigenvector distribution.” The limiting moments of algebraic random matrix sequences, when they exist, are shown to satisfy a finite depth linear recursion so that they may often be efficiently enumerated in closed form. The method is applied to predict the deterioration in the quality of the sample eigenvectors of large algebraic empirical covariance matrices due to sample size constraints.I am grateful to the National Science Foundation for supporting this work via grant DMS-0411962 and the Office of Naval Research Graduate Traineeship awar