Robust whitening procedure in blind source separation context

An efficient algorithm is presented for robust whitening in the presence of temporally uncorrelated additive noise that may be spatially correlated. This whitening is introduced as a preprocessing step in the blind source separation process. The robust whitening consists in the eigenvalue decomposition of a positive definite linear combination of a set a correlation matrices taken at nonzero lags. The coefficients of the linear combination are computed by a finite step global convergence algorithm. Some numerical simulations are provided to illustrate the effectiveness of the solution.