Why the stochastic MV-PURE estimator excels in highly noisy situations?

Tomasz Piotrowski; Isao Yamada

doi:10.1109/ICASSP.2009.4960275

Acoustics, Speech, and Signal Processing, IEEE International Conference on

Why the stochastic MV-PURE estimator excels in highly noisy situations?

Year: 2009, Pages: 3081-3084

DOI Bookmark: 10.1109/ICASSP.2009.4960275

Authors

Tomasz Piotrowski, Department of Communications and Integrated Systems (S3-60), Tokyo Institute of Technology, 152-8552, Japan
Isao Yamada, Department of Communications and Integrated Systems (S3-60), Tokyo Institute of Technology, 152-8552, Japan

Abstract

The stochastic MV-PURE estimator has recently emerged as the robust solution for frequently occuring in practice problem of linear estimation in ill-conditioned and imperfectly known linear stochastic model. In this paper we provide theoretical results showing that the stochastic MV-PURE estimator can be used to the greatest effect in highly noisy settings. In such settings, we discuss the relation between the stochastic MV-PURE estimator and the well-known reduced rankWiener filter. We verify the theoretical results presented by a means of numerical simulations.

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Why the stochastic MV-PURE estimator excels in highly noisy situations?

Authors

Abstract

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