The inversion of covariance matrices by finite Fourier transforms (Corresp.)
- 1 March 1970
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 16 (2) , 230-232
- https://doi.org/10.1109/tit.1970.1054418
Abstract
A matrix series is derived that converges to the inverse of a covariance matrix. The members of the series are derived from a circular matrix that can be inverted by taking finite Fourier transforms. An example of the method is presented.Keywords
This publication has 2 references indexed in Scilit:
- Application of the fast Fourier transform to computation of Fourier integrals, Fourier series, and convolution integralsIEEE Transactions on Audio and Electroacoustics, 1967
- What is the fast Fourier transform?Proceedings of the IEEE, 1967