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The problem of Krylov subspace estimation based on the sample covariance matrix is addressed. The focus is on signal processing applications where the Krylov subspace is defined by the unknown second-order statistics of the observed samples and the signature vector associated with the desired parameter. In particular, the consistency of traditionally optimal sample estimators is revised and analytically...
In this paper, we propose an estimator of the eigenspectrum of the array observation covariance matrix that builds upon the well-known power method and is consistent for an arbitrarily large array dimension. Traditional estimators based on the eigendecomposition of the sample covariance matrix are known to be consistent provided that the number of observations grow to infinity with respect to any...
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