Rank determination in time-series analysis
- 17 December 2002
- proceedings article
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- Vol. iv, IV/21-IV/24
- https://doi.org/10.1109/icassp.1994.389886
Abstract
In this paper we present a nested sequence of hypothesis tests for determining the number of signals. The procedure is based on the interpretation of the sum of singular values, of the backward/forward-backward matrix as energy in a particular subspace. The threshold selected is based on a user-specified significance level. Using matrix perturbation ideas, we provide an approximation to the probability of overestimation.Keywords
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