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In signal processing, estimation is a technique for approximating an unobserved signal from an observed signal containing noise.

2 votes

Is there a way to reduce the covariance matrix of several source signals to the dominant sou...

What you want to do is dimension reduction. The most basic, yet very powerful and commonly used, technique to do it is principal component analysis (PCA). PCA operates on the covariance matrix. You ca …
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