Interpretation of the Multi-Stage Nested Wiener Filter in the Krylov Subspace Framework

@inproceedings{JohamInterpretationOT,
  title={Interpretation of the Multi-Stage Nested Wiener Filter in the Krylov Subspace Framework},
  author={Michael Joham and Michael D. Zoltowski}
}
In this paper, we show that the Multi-Stage Nested Wiener Filter (MSNWF) can be identified to be the solution of the Wiener-Hopf equation in the Krylov subspace of the covariance matrix of the observation and the crosscorrelation vector of the observation and the desired signal. This understanding leads to the conclusion that the Arnoldi algorithm which arises from the MSNWF development can be replaced by the Lanczos algorithm. Thus, the computation of the underlying basis of the Krylov… CONTINUE READING
Highly Cited
This paper has 25 citations. REVIEW CITATIONS