### covariance matrix estimation

Posted:

**10 Feb 2011, 16:05**Hello everyone,

I ran into problems implementing a CSP filter when I realized that none of the covariance matrices estimated from my data were positive definite (i.e., alwyas one negative eigenvalue). I estimate the covariance R in one trial by

R = (X X')/ trace(X X')

and then average across trials (as recommended here)

As I am a newbie to EEG, I wonder about the most likely cause of this and how to address the problem.

- how many trials with how many data points do you normally need to estimate a covariance matrix? (can this be due to sparse data?)

- can this be due to insufficient artifact removal?

- is this a theoretical problem?

- a technical problem?

- is there a simple way to address this?

thanks a lot!

Marieke

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I ran into problems implementing a CSP filter when I realized that none of the covariance matrices estimated from my data were positive definite (i.e., alwyas one negative eigenvalue). I estimate the covariance R in one trial by

R = (X X')/ trace(X X')

and then average across trials (as recommended here)

As I am a newbie to EEG, I wonder about the most likely cause of this and how to address the problem.

- how many trials with how many data points do you normally need to estimate a covariance matrix? (can this be due to sparse data?)

- can this be due to insufficient artifact removal?

- is this a theoretical problem?

- a technical problem?

- is there a simple way to address this?

thanks a lot!

Marieke

[/url]