Computation of transform domain covariance matrices
B.J. Fino, V. Ralph Algazi · Proceedings of the IEEE · 1975
It is often of interest in applications to compute the covariance matrix of a random process transformed by a fast unitary trasform. Here, the recursive definition of fast unitary transforms [1] is used to derive recursive relations for the covariance matrices of the transformed process. These relations lead to fast methods of computation of covariance matrices and to substantial reductions of the number of arithmetic operations required.