Abstract
Despite being an important topic in practice, estimating the number of non-noise components in blind source separation has received little attention in the literature. Recently, two bootstrap-based techniques for estimating the dimension were proposed; however, although very efficient, they suffer from long computation times as a result of the resampling. We approach the problem from a large-sample viewpoint, and develop an asymptotic test and a corresponding consistent estimate for the true dimension. Our test statistic based on second-order temporal information has a very simple limiting distribution under the null hypothesis, and requires no parameters to estimate. Comparisons with resampling-based estimates show that the asymptotic test provides comparable error rates, with significantly faster computation times. Lastly, we illustrate the method by applying it to sound recording data.
Original language | English |
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Pages (from-to) | 135-156 |
Journal | Statistica Sinica |
Volume | 31 |
Publication status | Published - 2021 |
MoE publication type | A1 Journal article-refereed |