Search for Weights in the Problem of Finite-Rank Signal Estimation in the Presence of Random Noise

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Search for Weights in the Problem of Finite-Rank Signal Estimation in the Presence of Random Noise. / Zvonarev, N. K.

в: Vestnik St. Petersburg University: Mathematics, Том 54, № 3, 07.2021, стр. 236-244.

Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование

BibTeX

@article{28c1497d9ffd4a4986d77c62104f564d,

title = "Search for Weights in the Problem of Finite-Rank Signal Estimation in the Presence of Random Noise",

abstract = "The problem of weighted finite-rank series approximation of a time-series aimed at estimating the signal in the {"}signal plus noise{"} model, where the inverse covariance noise matrix is (2p + 1) diagonal, is considered in this paper. The problem of searching for weights that improve the estimation accuracy is solved. An efficient numerical method for the search for weights is constructed and theoretically validated. A numerical simulation is performed for several noise models to study the improvement of accuracy of the signal estimation method.",

keywords = "Cadzow method, finite-rank series, Kullback–Leibler divergence, optimization methods, time series, weighted least square method, ALGORITHM, Kullback-Leibler divergence",

author = "Zvonarev, {N. K.}",

note = "Publisher Copyright: {\textcopyright} 2021, Pleiades Publishing, Ltd.",

year = "2021",

month = jul,

doi = "10.1134/S1063454121030109",

language = "English",

volume = "54",

pages = "236--244",

journal = "Vestnik St. Petersburg University: Mathematics",

issn = "1063-4541",

publisher = "Pleiades Publishing",

number = "3",

}

RIS

TY - JOUR

T1 - Search for Weights in the Problem of Finite-Rank Signal Estimation in the Presence of Random Noise

AU - Zvonarev, N. K.

PY - 2021/7

Y1 - 2021/7

N2 - The problem of weighted finite-rank series approximation of a time-series aimed at estimating the signal in the "signal plus noise" model, where the inverse covariance noise matrix is (2p + 1) diagonal, is considered in this paper. The problem of searching for weights that improve the estimation accuracy is solved. An efficient numerical method for the search for weights is constructed and theoretically validated. A numerical simulation is performed for several noise models to study the improvement of accuracy of the signal estimation method.

AB - The problem of weighted finite-rank series approximation of a time-series aimed at estimating the signal in the "signal plus noise" model, where the inverse covariance noise matrix is (2p + 1) diagonal, is considered in this paper. The problem of searching for weights that improve the estimation accuracy is solved. An efficient numerical method for the search for weights is constructed and theoretically validated. A numerical simulation is performed for several noise models to study the improvement of accuracy of the signal estimation method.

KW - Cadzow method

KW - finite-rank series

KW - Kullback–Leibler divergence

KW - optimization methods

KW - time series

KW - weighted least square method

KW - ALGORITHM

KW - Kullback-Leibler divergence

UR - http://www.scopus.com/inward/record.url?scp=85113375058&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/492d63b8-e4aa-3a37-926e-eb6be095f49e/

U2 - 10.1134/S1063454121030109

DO - 10.1134/S1063454121030109

M3 - Article

AN - SCOPUS:85113375058

VL - 54

SP - 236

EP - 244

JO - Vestnik St. Petersburg University: Mathematics

JF - Vestnik St. Petersburg University: Mathematics

SN - 1063-4541

IS - 3

ER -

ID: 89719341