Howtosignalprocessing
- What are the eigenvalues of covariance matrix?
- What do eigenvalues of a covariance matrix tell you?
- What is diagonal loading of a matrix?
What are the eigenvalues of covariance matrix?
Long story short: The eigenvalues of the covariance matrix encode the variability of the data in an orthogonal basis that captures as much of the data's variability as possible in the first few basis functions (aka the principle component basis).
What do eigenvalues of a covariance matrix tell you?
5 — Eigenvalues and Eigenvectors of Covariance Matrix
The methods that require a covariance matrix to find the magnitude and direction of the data points use eigenvalues and eigenvectors. For example, the eigenvalues represent the magnitude of the spread in the direction of the principal components in PCA.
What is diagonal loading of a matrix?
Diagonal loading is one of the most widely used and effective methods to improve robustness of adaptive beamformers. The authors consider its application to the case of steering vector errors, i.e. when there exists a mismatch between the actual steering vector of interest and the presumed one.
