Rank determination in time-series analysis
D.W. Tufts, Asad Ali Shah · 2002
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.>