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Technology of calculating robust normalized correlation matrices. (English. Russian original) Zbl 1300.94014
Cybern. Syst. Anal. 47, No. 1, 152-165 (2011); translation from Kibern. Sist. Anal. 2011, No. 1, 164-178 (2011).
Summary: It is shown that, under traditional approach, errors caused by noise disappear after normalizing estimates of noisy signals in diagonal elements of correlation matrices and that, on the contrary, such errors arise in other elements. Hence, the expected result of elimination of errors owing to the transition to normalized correlation matrices is not reached. Algorithms and technologies are proposed for correcting this drawback by obtaining robust normalized correlation matrices analogous to matrices of useful signals. Results of numerous computer experiments are presented that testify to the efficiency of the developed technology.

MSC:
94A12 Signal theory (characterization, reconstruction, filtering, etc.)
60E99 Distribution theory
93E12 Identification in stochastic control theory
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