Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples

@article{Nadakuditi2008SampleEB,
  title={Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples},
  author={Raj Rao Nadakuditi and Alan Edelman},
  journal={IEEE Transactions on Signal Processing},
  year={2008},
  volume={56},
  pages={2625-2638}
}
The detection and estimation of signals in noisy, limited data is a problem of interest to many scientific and engineering communities. We present a mathematically justifiable, computationally simple, sample-eigenvalue-based procedure for estimating the number of high-dimensional signals in white noise using relatively few samples. The main motivation for… CONTINUE READING

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