On the role of dimensionality and sample size for unstructured and structured covariance matrix estimation

The experimental observation that a surprisingly small sample size vis-a-vis dimension is needed to achieve good signal-to-interference ratio (SIR) performance with an adaptive predetection filter is explained. The adaptive filter requires estimates as obtained by a recursive stochastic algorithm of the inverse of the filter input data covariance matrix. The SIR performance with sample size is compared for the situations where the covariance matrix estimates are of unstructured (generalized) form and of structured (finite Toeplitz) form; the latter case is consistent with weak stationarity of the input data stochastic process.