Real-time tracking of nonstationary signals using the Jacobi SVD algorithm

We consider real-time nonparametric algorithms for nonstationarity detection and SVD updating based on Jacobi rotations. We propose two schemes which improve the overall performance when the rate of change of the data is high. In the “variable rotational rate” scheme, the number of Jacobi rotations per update is dynamically determined. In the “variable forgetting factor” approach, the effective width of the observation adjusts to the data nonstationarity