 Condition for preserving a spectral signal under linear compression

The condition for preserving a spectral signal under linear compression specifies when compression retains the covariance-weighted signal measure of a known shape. Let the mean be $\theta \mathbf{s}$, with fixed positive-definite noise covariance $C$, and compress by a full-row-rank matrix $B$. The measures in noninvertible spectral compression versus a coordinate change obeyThus the rows of the compression must retain the noise-weighted signal direction, not necessarily the unweighted plotted shape.

For a short proof, whiten the shape as $\mathbf{t}=C^{-1/2}\mathbf{s}$ and put $M=B{C}^{1/2}$. The parent's orthogonal projection formula givesEquality holds exactly when $\mathbf{t}$ lies in the row space of $M$. Multiplying that subspace relation by $C^{-1/2}$ yields the stated condition. Linear covariance propagation gives the compressed covariance $BC{B}^T$.^[ref]

One useful construction is the scalar matched filter statistic $z={\mathbf{s}}^T{C}^{-1}\mathbf{y}$. Its mean is $\theta J$ and variance $J$, so $z/J$ has variance $1/J$, the original optimal linear amplitude precision. In the Gaussian known-covariance model, this statistic also retains the likelihood's dependence on that single amplitude.

For an original example, choose $C=\mathrm{diag}(1,4)$ and $\mathbf{s}=(1,2{)}^T$. Then $J=2$ and the retaining row is $B=(1,1/2)$. Its signal response is two and noise variance two, giving $J_B=4/2=2$. An unweighted sum $B=(1,1)$ instead has response three and variance five, giving $J_B=9/5=1.8$: ten percent of this signal measure is lost.

Signal-subspace preservation for several spectral amplitudes requires retaining the corresponding family of weighted mean directions when all those amplitudes are to be preserved. Unknown nuisance shapes can also change the relevant estimation problem. A compression designed for one known shape does not automatically preserve every spectral question or uncertainty component.