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SVD and Signal Processing, III
book

SVD and Signal Processing, III

by M. Moonen, B. De Moor
March 1995
Intermediate to advanced content levelIntermediate to advanced
498 pages
23h 58m
English
Elsevier Science
Content preview from SVD and Signal Processing, III
454 D.T.M. Slock
Then we get from (13)-(16)
R~ry = LHD-1L = L'HL"HD"-IL "L' =~ L = L"L' , D = D" (17)
by uniqueness of UDL triangular factorizations.
If the matrix Ryy is singular, then there exist linear relationships between certain
components of Y. As a result, certain components Yi will be perfectly predictible from
the previous components and their resulting orthogonalized version Yi will be zero. The
corresponding diagonal entry in D will hence be zero also. For the orthogonalization of the
following components, we don't need this yi. As a result, the entries under the
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Publisher Resources

ISBN: 9780444821072