Efficient Algorithms for Computing the Capon and APES Filters

Erik Gudmundson; Andreas Jakobsson

Efficient Algorithms for Computing the Capon and APES Filters

Karlstad University

Research output: Chapter in Book/Report/Conference proceeding › Paper in conference proceeding › peer-review

Abstract

The computation of the Capon and the amplitude and phase estimation (APES) filters can be very time consuming. The burden lies not only in the inversion of the sample covariance matrix, but also in the matrix multiplications. In this paper, we propose an efficient algorithm for the computation of the above mentioned filters, using Cholesky factorization and fast Fourier transforms. Furthermore, we discuss and illustrate the benefits of using the proposed algorithms in the spectral analysis of data with missing samples.

Original language	English
Title of host publication	2007 Conference Record of the Forty-First Asilomar Conference on Signals, Systems and Computers
Publisher	IEEE - Institute of Electrical and Electronics Engineers Inc.
Pages	427-430
Publication status	Published - 2007
Externally published	Yes
Event	41st Asilomar Conference on Signals, Systems and Computers, 2007 - Pacific Grove, Pacific Grove, CA, United States Duration: 2007 Nov 4 → 2007 Nov 7 Conference number: 41

Publication series

Name
ISSN (Print)	1058-6393

Conference

Conference	41st Asilomar Conference on Signals, Systems and Computers, 2007
Country/Territory	United States
City	Pacific Grove, CA
Period	2007/11/04 → 2007/11/07

Subject classification (UKÄ)

Probability Theory and Statistics

Free keywords

fast Fourier transforms
Capon filters
APES filters
amplitude estimation
phase estimation
covariance matrix
matrix multiplications
Cholesky factorization

Access to Document

http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=4487245

Cite this

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title = "Efficient Algorithms for Computing the Capon and APES Filters",

abstract = "The computation of the Capon and the amplitude and phase estimation (APES) filters can be very time consuming. The burden lies not only in the inversion of the sample covariance matrix, but also in the matrix multiplications. In this paper, we propose an efficient algorithm for the computation of the above mentioned filters, using Cholesky factorization and fast Fourier transforms. Furthermore, we discuss and illustrate the benefits of using the proposed algorithms in the spectral analysis of data with missing samples.",

keywords = "fast Fourier transforms, Capon filters, APES filters, amplitude estimation, phase estimation, covariance matrix, matrix multiplications, Cholesky factorization",

author = "Erik Gudmundson and Andreas Jakobsson",

year = "2007",

language = "English",

publisher = "IEEE - Institute of Electrical and Electronics Engineers Inc.",

pages = "427--430",

booktitle = "2007 Conference Record of the Forty-First Asilomar Conference on Signals, Systems and Computers",

address = "United States",

note = "41st Asilomar Conference on Signals, Systems and Computers, 2007 ; Conference date: 04-11-2007 Through 07-11-2007",

}

Gudmundson, E & Jakobsson, A 2007, Efficient Algorithms for Computing the Capon and APES Filters. in 2007 Conference Record of the Forty-First Asilomar Conference on Signals, Systems and Computers. IEEE - Institute of Electrical and Electronics Engineers Inc., pp. 427-430, 41st Asilomar Conference on Signals, Systems and Computers, 2007 , Pacific Grove, CA, United States, 2007/11/04. <http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=4487245>

Efficient Algorithms for Computing the Capon and APES Filters. / Gudmundson, Erik; Jakobsson, Andreas.
2007 Conference Record of the Forty-First Asilomar Conference on Signals, Systems and Computers. IEEE - Institute of Electrical and Electronics Engineers Inc., 2007. p. 427-430.

Research output: Chapter in Book/Report/Conference proceeding › Paper in conference proceeding › peer-review

TY - GEN

T1 - Efficient Algorithms for Computing the Capon and APES Filters

AU - Gudmundson, Erik

AU - Jakobsson, Andreas

N1 - Conference code: 41

PY - 2007

Y1 - 2007

N2 - The computation of the Capon and the amplitude and phase estimation (APES) filters can be very time consuming. The burden lies not only in the inversion of the sample covariance matrix, but also in the matrix multiplications. In this paper, we propose an efficient algorithm for the computation of the above mentioned filters, using Cholesky factorization and fast Fourier transforms. Furthermore, we discuss and illustrate the benefits of using the proposed algorithms in the spectral analysis of data with missing samples.

AB - The computation of the Capon and the amplitude and phase estimation (APES) filters can be very time consuming. The burden lies not only in the inversion of the sample covariance matrix, but also in the matrix multiplications. In this paper, we propose an efficient algorithm for the computation of the above mentioned filters, using Cholesky factorization and fast Fourier transforms. Furthermore, we discuss and illustrate the benefits of using the proposed algorithms in the spectral analysis of data with missing samples.

KW - fast Fourier transforms

KW - Capon filters

KW - APES filters

KW - amplitude estimation

KW - phase estimation

KW - covariance matrix

KW - matrix multiplications

KW - Cholesky factorization

M3 - Paper in conference proceeding

SP - 427

EP - 430

BT - 2007 Conference Record of the Forty-First Asilomar Conference on Signals, Systems and Computers

PB - IEEE - Institute of Electrical and Electronics Engineers Inc.

T2 - 41st Asilomar Conference on Signals, Systems and Computers, 2007

Y2 - 4 November 2007 through 7 November 2007

ER -

Efficient Algorithms for Computing the Capon and APES Filters

Abstract

Publication series

Conference

Subject classification (UKÄ)

Free keywords

Access to Document

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Cite this