A generalized MVDR spectrum

The minimum variance distortionless response (MVDR) approach is very popular in array processing. It is also employed in spectral estimation where the Fourier matrix is used in the optimization process. First, we give a general form of the MVDR where any unitary matrix can be used to estimate the spectrum. Second and most importantly, we show how the MVDR method can be used to estimate the magnitude squared coherence function, which is very useful in so many applications but so few methods exist to estimate it. Simulations show that our algorithm gives much more reliable results than the one based on the popular Welch's method.