Strictly positive definite correlation functions

John Dolloff; Brian Lofy; Alan Sussman; Charles Taylor

doi:10.1117/12.663967

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17 May 2006 Strictly positive definite correlation functions

John Dolloff, Brian Lofy, Alan Sussman, Charles Taylor

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Proceedings Volume 6235, Signal Processing, Sensor Fusion, and Target Recognition XV; 62351A (2006) https://doi.org/10.1117/12.663967
Event: Defense and Security Symposium, 2006, Orlando (Kissimmee), Florida, United States

Abstract

Sufficient conditions for strictly positive definite correlation functions are developed. These functions are associated with wide-sense stationary stochastic processes and provide practical models for various errors affecting tracking, fusion, and general estimation problems. In particular, the expected magnitude and temporal correlation of a stochastic error process are modeled such that the covariance matrix corresponding to a set of errors sampled (measured) at different times is positive definite (invertible) - a necessary condition for many applications. The covariance matrix is generated using the strictly positive definite correlation function and the sample times. As a related benefit, a large covariance matrix can be naturally compressed for storage and dissemination by a few parameters that define the specific correlation function and the sample times. Results are extended to wide-sense homogeneous multi-variate (vector-valued) random fields. Corresponding strictly positive definite correlation functions can statistically model fiducial (control point) errors including their inter-fiducial spatial correlations. If an estimator does not model correlations, its estimates are not optimal, its corresponding accuracy estimates (a posteriori error covariance) are unreliable, and it may diverge. Finally, results are extended to approximate error covariance matrices corresponding to non-homogeneous, multi-variate random fields (a generalization of non-stationary stochastic processes). Examples of strictly positive definite correlation functions and corresponding error covariance matrices are provided throughout the paper.

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John Dolloff, Brian Lofy, Alan Sussman, and Charles Taylor "Strictly positive definite correlation functions", Proc. SPIE 6235, Signal Processing, Sensor Fusion, and Target Recognition XV, 62351A (17 May 2006); https://doi.org/10.1117/12.663967

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