Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples
نویسندگان
چکیده
منابع مشابه
Testing for high-dimensional white noise using maximum cross-correlations
We propose a new omnibus test for vector white noise using the maximum absolute autocorrelations and cross-correlations of the component series. Based on an approximation by the L∞-norm of a normal random vector, the critical value of the test can be evaluated by bootstrapping from a multivariate normal distribution. In contrast to the conventional white noise test, the new method is proved to ...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2008
ISSN: 1053-587X,1941-0476
DOI: 10.1109/tsp.2008.917356