Development of a lower confidence limit for the number of signals
Pinyuen Chen, Michael C. Wicks · IEEE Transactions on Signal Processing · 2003
We propose a multistep procedure for constructing a lower confidence limit for computing the number of signals present in a vector measurement. We derive the probability of correct estimation P(CE) and the least favorable configuration (LFC) for our procedure. Under the LFC, P(CE) attains its minimum over the parameter space of all eigenvalues. Therefore, to implement our technique, procedure parameters are determined for the LFC for each sample size n so that the probability requirement is reached.