Spectral distribution of the exponentially windowed sample covariance matrix

摘要

In this paper, we investigate the effect of applying an exponential window on the limiting spectral distribution (l.s.d.) of the exponentially windowed sample covariance matrix (SCM) of complex array data. We use recent advances in random matrix theory which describe the distribution of eigenvalues of the doubly correlated Wishart matrices. We derive an explicit expression for the l.s.d. of the noise-only data. Simulations are performed to support our theoretical claims.