Analysis of forward-only and forward-backward sample covariances
Magnus Jansson, Petre Stoica · 1999
In some applications the covariance matrix of the observations is not only symmetric with respect to its main diagonal but also with respect to the anti-diagonal. The standard forward-only sample covariance estimate does not impose this extra symmetry. In such cases one often uses the so-called forward-backward sample covariance estimate. In this paper, a direct comparative study of the relative accuracy of the two sample estimates is performed. An explicit expression for the difference between the estimation error covariance matrices of the two sample estimates is given. The presented results are also useful in the analysis of estimators based on either of the two sample covariances. As an example, spatial power estimation by means of the Capon method is considered. It is shown that Capon based on the forward-only sample covariance (F-Capon) underestimates the power spectrum, and also that the bias for Capon based on the forward-backward sample covariance is half that of F-Capon.