A SYMMETRIC-DEFINITE PENCIL APPROACH TO SOURCE SEPARATION

A matrix pencil method for source separation 〔3〕was shown to be an unbiased signal extractor in the presence of temporally white noise. Its efficiency and robustness lies in the fact that the method in 〔3〕 employs only time-delayed correlation matrices of the observation data, In this paper we stress out that the matrix pencil method might suffer from a numerical instability problem, be- cause the symmetric-definite pencil was not exploited. Moreover we present a simple method of constructing a symmetric-definite pencil so that the matrix pencil method is numerically stable.