Signal rank and model order determination

In this paper, a measure of a signal´s structure as indicated by the effective rank of its associated autocorrelation matrix is given. The measure is conceptually related to the Singular Value Decomposition (SVD) of the autocorrelation matrix but is quite easily computed as it avoids explicit calculation of an SVD. The measure can be directly applied to order determination in ARMA methods based upon the extended-order Yule-Walker equations.