Sliding window adaptive SVD algorithms

@article{Badeau2004SlidingWA,
  title={Sliding window adaptive SVD algorithms},
  author={Roland Badeau and Ga{\"e}l Richard and Bertrand David},
  journal={IEEE Transactions on Signal Processing},
  year={2004},
  volume={52},
  pages={1-10}
}
The singular value decomposition (SVD) is an important tool for subspace estimation. In adaptive signal processing, we are especially interested in tracking the SVD of a recursively updated data matrix. This paper introduces a new tracking technique that is designed for rectangular sliding window data matrices. This approach, which is derived from the classical bi-orthogonal iteration SVD algorithm, shows excellent performance in the context of frequency estimation. It proves to be very robust… CONTINUE READING
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A signal subspace approach to multiple emit t r location and spectral estimation

  • R. O. Schmidt
  • Ph.D. dissertation, Stanford Uni vers ty, Nov…
  • 1981
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