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Principal component compression method for covariance matrices used for uncertainty propagation.

Humphreys, D A; Harris, P M; Rodriguez-Higuero, M*; Murbarak, F A*; Zhao, D*; Ojasalo, K* (2015) Principal component compression method for covariance matrices used for uncertainty propagation. IEEE Trans. Instrum. Meas., 64 (2). pp. 356-365.

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Abstract

We investigate a principal component analysis approach for compressing the covariance matrices derived from real-time and sampling oscilloscope measurements. The objective of reducing the data storage requirements to scale proportional to the trace length n rather than n^2 is achieved, making the approach practical for representing results and uncertainties in either the time or frequency domain. Simulation results indicate that the covariance matrices can be represented in a compact form with negligible error. Mathematical manipulation of the compressed matrix can be achieved without the need to reconstruct the full covariance matrix.

Item Type: Article
Keywords: Covariance matrix, Fourier transforms, frequency-domain measurements, measurement uncertainty, principal component analysis, time-domain measurements, timing jitter, uncertainty propagation
Subjects: Electromagnetics
Electromagnetics > Wireless Communications
Identification number/DOI: 10.1109/TIM.2014.2340640
Last Modified: 02 Feb 2018 13:13
URI: http://eprintspublications.npl.co.uk/id/eprint/6482

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