SYSTEM AND METHODS FOR DYNAMIC COVARIANCE ESTIMATION OF A MULTIVARIATE SIGNAL

    公开(公告)号:US20190154779A1

    公开(公告)日:2019-05-23

    申请号:US16198446

    申请日:2018-11-21

    Applicant: STC.UNM

    Abstract: The invention is directed to a system and methods of capturing rapid changes in complex systems by examining the interaction of the various components within the system. This may be accomplished by decomposing a multivariate signal into a dictionary of elements and a corresponding sparse mixing matrix. Each dictionary element may provide a rank-1 estimation of a disjoint partition of time points of the signal that may permit estimation of the covariance of each partition using an outer-product of the corresponding dictionary element.

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