Ladle Estimator for Time Series Signal Dimension

Klaus Nordhausen, Joni Virta

Research output: Chapter in Book/Report/Conference proceedingConference article in proceedingsScientificpeer-review

6 Citations (Scopus)
208 Downloads (Pure)

Abstract

We consider a second order source separation model where a set of latent signals is internally mixed with several channels of noise and the goal is to estimate the number of signals. For the purpose we extend the ladle estimator which has been so far considered only for iid methods such as PCA, CCA or FOBI. Using time series bootstrapping methods ladle estima-tors based on AMUSE and SOBI are presented and a simulation study demonstrates that especially SOBI works well if the time series are sufficiently long.

Original languageEnglish
Title of host publication2018 IEEE Statistical Signal Processing Workshop, SSP 2018
PublisherIEEE
Pages428-432
Number of pages5
ISBN (Print)9781538615706
DOIs
Publication statusPublished - 29 Aug 2018
MoE publication typeA4 Conference publication
EventIEEE Statistical Signal Processing Workshop - Freiburg im Breisgau, Germany
Duration: 10 Jun 201813 Jun 2018
Conference number: 20

Workshop

WorkshopIEEE Statistical Signal Processing Workshop
Abbreviated titleSSP
Country/TerritoryGermany
CityFreiburg im Breisgau
Period10/06/201813/06/2018

Keywords

  • AMUSE
  • bootstrap
  • order determination
  • SOBI

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