Instrumental variable subspace tracking using projection approximation

T. Gustafsson
1998 IEEE Transactions on Signal Processing  
Subspace estimation plays an important role in, for example, sensor array signal processing. Recursive methods for subspace tracking with application to non-stationary environments, have also drawn considerable interest. In this paper, Instrumental Variable (IV) extensions of the recently developed Projection Approximation Subspace Tracking (PAST) algorithm are presented. The IV-approach is motivated by the fact that PAST gives biased estimates when the noise is not spatially white. The
more » ... algorithms are based on a projection like unconstrained criterion, with a resulting computational complexity of 3ml + O(mn) where m is the dimension of the measurement vector, l is the dimension of the IV vector, and n is the subspace dimension. Also an extension to a \second order" IV algorithm is proposed, which in certain This work was supported in part by the Swedish Research Council for Engineering Sciences (TFR). 1 scenarios is demonstrated to have better tracking properties than the basic IV-PAST algorithms. The performance of the algorithms is demonstrated with a simulation study of a time-varying array processing scenario.
doi:10.1109/78.661334 fatcat:cdifbnsdqfbfpikfrwwqpbk67e