On Random Correlation Matrices. 2. The Toeplitz Case

Abstract

The problem of generating random Toeplitz correlation matrices is considered. Several methods are proposed, of which the most promising, as determined by both computational complexity and spectral randomness, seems to be that based on the characteristic function of random discrete probability measure. A number of interesting theoretical issues are recorded for further investigation. This report follows an earlier one devoted to general random correlation matrices. In both cases the intent is to use such matrices to simulate random data for the testing of certain group-theoretic signal processing algorithms. Keywords: Statistical tests, Eigenvalues.

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Document Details

Document Type
Technical Report
Publication Date
Mar 23, 1989
Accession Number
ADA208229

Entities

People

  • Richard B. Holmes

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Energy and Power Technologies
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Computational Complexity
  • Computer Programs
  • Data Science
  • Information Processing
  • Information Science
  • Probability
  • Probability Distributions
  • Random Variables
  • Signal Processing
  • Statistical Algorithms
  • Statistical Analysis
  • Statistics
  • Stochastic Processes
  • Surveys
  • Theorems

Fields of Study

  • Engineering
  • Mathematics

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  • Linear Algebra
  • Regression Analysis.
  • Systems Analysis and Design