How can I merge covariance matrices in one matrice to reduce the computing complexity?

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Vincent Savaux

Hello,

If your covariance matrices all have the same size and correspond to data which have the same statistics and the same physical sense (i.e. you cannot sum a covariance matrix of a population and one corresponding to a random signal for instance), then a weighted sum allows to merge the covariances:

C = w1C1+w2C2 + ... + wnCn,

where wi are the weights and Ci are the covariance matrices.

Vincent

Maxim Skryabin

Can you explain what kind of "merging" do you mean?