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Paper Detail

Paper:	SS-4.2
Session:	Algebra and Geometry: The Search for Structure in Signal Processing
Time:	Wednesday, May 17, 10:20 - 10:40
Presentation:	Special Session Lecture
Topic:	Special Sessions: Algebra and geometry: the search for structure in Signal Processing
Title:	Free Probability, Sample Covariance Matrices, and Signal Processing
Authors:	N. Raj Rao, Alan Edelman, Massachusetts Institute of Technology, United States
Abstract:	Free probability provides tools and techniques for analyzing the eigen-spectra of large Hermitian random matrices. These stochastic eigen-analysis techniques have been invaluable in providing insight into the structure of sample covariance matrices. We briefly outline how these techniques can be used to analytically predict the spectrum of large sample covariance matrices. An eigen-inference application is briefly discussed.