Abstract #300069

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JSM 2003 Abstract #300069
Activity Number: 329
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: Section on Physical and Engineering Sciences
Abstract - #300069
Title: Estimating the Number of Signals in the Presence of Colored Noise
Author(s): Pinyuen Chen*+
Companies: Syracuse University
Address: Dept. of Math, Syracuse, NY, 13244-1150,
Keywords: Ranking and Selection ; Eigenvalue ; Covariance Matrix ; Confidence Interval
Abstract:

Statistical ranking and selection theory is used to estimate the number of signals present in colored noise. The data structure follows the well-known Multiple Signal Classification (MUSIC) model. We are dealing with a matrix with a specific form which arises from the MUSIC model with colored noise. The matrix can be written as the product of a covariance matrix and the inverse of another covariance matrix. We propose a step-wise selection procedure to construct a confidence interval for the unknown number of signals. Properties of the proposed procedure will be stated and proved. Those properties will also be used to compute the procedure constants needed. Numerical examples are given to illustrate our theory.

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