Fast minor component extraction using Givens rotations
S. Bartelmaos, Karim Abed‐Meraim · Electronics Letters · 2007
Elaboration is provided of a new version of the YAST-PGS algorithm for the extraction and tracking of the minor eigenvectors of a positive Hermitian covariance matrix associated with time series. The proposed algorithm, referred to as minor component-YAST-PGS (MC-YAST-PGS), estimates the minor eigenvectors (not only a random basis of the minor subspace) of the considered covariance matrix. Also, it guarantees the orthogonality of the weight matrix at each iteration and requires O(np) flops per iteration where n is the size of the observation vector and p