论文信息 - Rank determination in time-series analysis

Rank determination in time-series analysis

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.<<ETX>>

A. A. Shah | D.W. Tufts | A.A. Shah | D. Tufts

[1] J. Rissanen,et al. Modeling By Shortest Data Description* , 1978, Autom..

[2] H. Akaike. A new look at the statistical model identification , 1974 .

[3] R. Kumaresan,et al. Estimation of frequencies of multiple sinusoids: Making linear prediction perform like maximum likelihood , 1982, Proceedings of the IEEE.

[4] Fu Li,et al. Unified performance analysis of subspace-based estimation algorithms , 1990, International Conference on Acoustics, Speech, and Signal Processing.

[5] L. Scharf,et al. A Prony method for noisy data: Choosing the signal components and selecting the order in exponential signal models , 1984, Proceedings of the IEEE.