Loading...
Please wait, while we are loading the content...
Similar Documents
Minimax rank estimation for subspace tracking (2009).
| Content Provider | CiteSeerX |
|---|---|
| Author | Perry, Patrick O. Wolfe, Patrick J. |
| Abstract | Rank estimation is a classical model order selection problem that arises in a variety of important statistical signal and array processing systems, yet is addressed relatively infrequently in the extant literature. Here we present sample covariance asymptotics stemming from random matrix theory, and bring them to bear on the problem of optimal rank estimation in the context of the standard array observation model with additive white Gaussian noise. The most significant of these results demonstrates the existence of a phase transition threshold, below which eigenvalues and associated eigenvectors of the sample covariance fail to provide any information on population eigenvalues. We then develop a decision-theoretic rank estimation framework that leads to a simple ordered selection rule based on thresholding; in contrast to competing approaches, however, it admits asymptotic minimax optimality and is free of tuning parameters. We analyze the asymptotic performance of our rank selection procedure and conclude with a brief simulation study demonstrating its practical efficacy in the context of subspace tracking. |
| File Format | |
| Publisher Date | 2009-01-01 |
| Access Restriction | Open |
| Subject Keyword | Subspace Tracking Minimax Rank Estimation Practical Efficacy Extant Literature Phase Transition Threshold Standard Array Observation Model Present Sample Covariance Asymptotics Simple Ordered Selection Rule Classical Model Order Selection Problem Rank Estimation Array Processing System Asymptotic Minimax Optimality Associated Eigenvectors Population Eigenvalue Important Statistical Signal Random Matrix Theory Rank Selection Procedure Brief Simulation Study Sample Covariance Fail Additive White Gaussian Noise Asymptotic Performance Optimal Rank Estimation Decision-theoretic Rank Estimation Framework |
| Content Type | Text |
