Title :
MMSE whitening and subspace whitening
Author :
Eldar, Yonina C. ; Oppenheim, Alan V.
Author_Institution :
Res. Lab. of Electron., Massachusetts Inst. of Technol., Cambridge, MA, USA
fDate :
7/1/2003 12:00:00 AM
Abstract :
This correspondence develops a linear whitening transformation that minimizes the mean-squared error (MSE) between the original and whitened data, i.e.,one that results in a white output that is as close as possible to the input, in an MSE sense. When the covariance matrix of the data is not invertible, the whitening transformation is designed to optimally whiten the data on a subspace in which it is contained. The optimal whitening transformation is developed both for the case of finite-length data vectors and infinite-length signals.
Keywords :
covariance matrices; least mean squares methods; signal processing; transforms; MMSE whitening; covariance matrix; finite-length data vectors; infinite-length signals; linear whitening transformation; mean-squared error; subspace whitening; Collaborative work; Communication system control; Covariance matrix; Decorrelation; Laboratories; Mathematics; Process control; Random sequences; Shape control; Vectors;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.2003.813507
