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.
Roland Badeau, Bertrand David, Gaël 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⟩
