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YAST Algorithm for Minor Subspace Tracking

Abstract : 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.
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Submitted on : Sunday, May 2, 2010 - 4:44:15 PM
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  • HAL Id : hal-00479782, version 1



Roland Badeau, Bertrand David, Gael Richard. YAST Algorithm for Minor Subspace Tracking. International Conference on Acoustics, Speech, and Signal Processing ICASSP'06, 2006, Toulouse, France. pp.552-555. ⟨hal-00479782⟩



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