Title :
Yast Algorithm for Minor Subspace Tracking
Author :
Badeau, Roland ; David, Bertrand ; Richard, Gael
Author_Institution :
Dept. TSI, Telecom Paris
Abstract :
This paper introduces a new algorithm for tracking the minor subspace of the correlation matrix associated with time series. This algorithm is shown to have a better convergence rate than existing methods. Moreover, it guarantees the orthonormality of the subspace weighting matrix at each iteration, and reaches a linear complexity
Keywords :
computational complexity; correlation methods; iterative methods; matrix algebra; time series; YAST algorithm; correlation matrix; linear complexity; minor subspace tracking; subspace weighting matrix; time series; Algorithm design and analysis; Computational efficiency; Convergence; Eigenvalues and eigenfunctions; Multiaccess communication; Multiuser detection; Principal component analysis; Robustness; Time series analysis; Vectors;
Conference_Titel :
Acoustics, Speech and Signal Processing, 2006. ICASSP 2006 Proceedings. 2006 IEEE International Conference on
Conference_Location :
Toulouse
Print_ISBN :
1-4244-0469-X
DOI :
10.1109/ICASSP.2006.1660713
