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Analysis of the SNR Loss Distribution With Covariance Mismatched Training Samples

Besson, Olivier Analysis of the SNR Loss Distribution With Covariance Mismatched Training Samples. (2020) IEEE Transactions on Signal Processing, 68. 5759-5768. ISSN 1053-587X

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Official URL: https://doi.org/10.1109/TSP.2020.3028513


We analyze the distribution of the signal to noise ratio (SNR) loss at the output of an adaptive filter which is trained with samples that do not share the same covariance matrix as the samples for which the filter is foreseen. Our objective is to find an accurate approximation of the distribution of the SNR loss which has a similar form as in the case of no mismatch. We successively consider the case where the two covariance matrices satisfy the so-called generalized eigenrelation, and the case where they are arbitrary. In the former case, this amounts to approximate a central quadratic form in normal variables while the latter case entails approximating a non-central quadratic form in Student distributed variables. In order to obtain the approximate distribution, a Pearson type approach is advocated. A numerical study shows that this approximation is rather accurate, and enables one to assess in a straightforward manner the impact of covariance mismatch.

Item Type:Article
HAL Id:hal-03007367
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution:Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
Deposited On:16 Nov 2020 11:30

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