Title :
Rank determination in time-series analysis
Author :
Tufts, Donald W. ; Shah, Abhijit A.
Author_Institution :
Dept. of Electr. Eng., Rhode Island Univ., Kingston, RI, USA
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 :
Toeplitz matrices; error statistics; matrix algebra; probability; signal processing; singular value decomposition; time series; backward matrix; forward-backward matrix; matrix perturbation ideas; overestimation probability; rank determination; singular values; threshold; time-series analysis; Contracts; Degradation; Noise level; Signal analysis; Signal to noise ratio; Testing; Time series analysis; Vectors;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 1994. ICASSP-94., 1994 IEEE International Conference on
Conference_Location :
Adelaide, SA
Print_ISBN :
0-7803-1775-0
DOI :
10.1109/ICASSP.1994.389886
