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A more efficient second order blind identification method for separation of uncorrelated stationary time series

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A more efficient second order blind identification method for separation of uncorrelated stationary time series

The classical second order source separation methods use approximate joint diagonalization of autocovariance matrices with several lags to estimate the unmixing matrix. Based on recent asymptotic results, we propose a novel unmixing matrix estimator which selects the best lag set from a finite set of candidate sets specified by the user. The theory is illustrated by a simulation study.

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