Joint estimation of signal and noise correlation matrices and its application to inverse filtering

Abstract

Noise suppression by linear filters for a time series is discussed. We propose a method for jointly estimating signal and noise correlation matrices by incorporating steering vectors of the noise or eigenvectors of the noise correlation matrix as well as steering vectors of the target signals. Our estimates bring us two significant advantages. One is reduction of computational cost in obtaining the Wiener filter since the Wiener post filter, which is combined to the minimum variance distortionless response filter (MVDRF), is no longer needed with the estimates of signal and noise correlation matrices. The other is an improvement of the performance of the MVDRF since we can construct the regularized version of it with an estimate of the noise correlation matrix.