First and Second Order Moments of the Normalized Sample Covariance Matrix of Spherically Invariant Random Vectors
Résumé
Under Gaussian assumptions, the Sample Covariance Matrix (SCM) is encountered in many co-variance based processing algorithms. In case of impulsive noise, this estimate is no more appropriate. This is the reason why when the noise is modeled by Spherically Invariant Random Vectors (SIRV), a natural extension of the SCM is extensively used in the literature: the well-known Normalized Sample Covariance Matrix (NSCM) which estimates the covariance of SIRV. Indeed, this estimate gets rid of a fluctuating noise power and is widely used in radar applications. The aim of this paper is to derive closed-form expressions of the first and second order moments of the NSCM.
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