# Questions tagged [covariance]

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### Related to wireless channel variance?

I am reading wireless research papers and found that mostly the wireless channel is considered to be Zero mean circularly symmetric Complex Gaussian (ZMCSCG) with variance 1 or 2 or 5 or 10 etc. My ...
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### Covariance fitting and Procrustes

I have seen this trick to simplify an optimization problem. I would like to understand the logic behind it. Take two matrices $A$ and $B$ of dimension $N \times N$ and suppose that matrix $B$ is ...
20 views

### Covariance of 2D cross correlation result

I am trying to align two 2D signals with one unique correct alignment. After applying 2D cross-correlation on the signals I get results such as these: bad/degenerate peaks: good peaks: decent peak: ...
14 views

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### Generate signals with a particular variance and SNR

Consider a system model of the form: $y_n = ax_n + v_n$ where $x_n$ is the input that is corrupted by $v_n$ which is an Additive White Gaussian Noise of zero-mean and variance 1 for $n = 1,2,...,N$ ...
84 views

### Proof of weak stationary random process autocovariance always goes to zero?

Professor told me that if a random process is weak stationary, and it does not feature any periodic component, then its autocovariance always goes to zero. I can intuitively understand it, however, ...
448 views

### Variance of function of random variable

Is their an easier way to find variance of function of random variable? Till now what I am doing is first find probability density function of (function of random variable) then integrate over range.
142 views

### Role of Riccati Equations in Kalman Filter Design

I am working on a Kalman Filter (KF) design problem and I am struggling to understand the role of the Riccati equations in the design process of a KF. Some sources discuss the importance of Riccati ...
548 views

### Kalman Filter State Covariance Matrix

If I have a discrete time process model of the form: $$x_{k+1} = x_{k} + v_{k}\cos(\theta_{k})dt$$ $$y_{k+1} = y_{k} + v_{k}\sin(\theta_{k})dt$$ $$v_{k+1} = v_{k}$$ $$\theta_{k+1} = \theta_{k}$$ ...
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