On interval estimation for the number of signals

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We propose a multi-step procedure for constructing a confi-dence interval for the number of signals present. The pro-posed procedure uses the ratios of a sample eigenvalue and the sum of different sample eigenvalues sequentially to de-termine the upper and lower limits for the confidence inter-val. A preference zone in the parameter space of the popula-tion eigenvalues is defined to separate the signals and the noise. We derive the probability of a correct estimation, P(CE), and the least favorable configuration (LFC) asymp-totically under the preference zone. Some important proce-dure properties are shown. Under the asymptotic LFC, the P(CE) attains its minimum over the preference zone in the parameter space of all eigenvalues. Therefore a minimum sample size can be determined in order to implement our procedure with a guaranteed probability requirement.

Original languageEnglish (US)
JournalEuropean Signal Processing Conference
StatePublished - 2006
Event14th European Signal Processing Conference, EUSIPCO 2006 - Florence, Italy
Duration: Sep 4 2006Sep 8 2006

ASJC Scopus subject areas

  • Signal Processing
  • Electrical and Electronic Engineering

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