YAST ALGORITHM FOR MINOR SUBSPACE TRACKING Roland BADEAU, Bertrand DAVID, Gaël RICHARD
Département Tsi · 2006
This paper introduces a new algorithm for tracking the minor subspace of the correlation matrix associated with time series. This algorithm is shown to have a better convergence rate than existing methods. Moreover, it guarantees the orthonormality of the subspace weighting matrix at each iteration, and reaches a linear complexity.