Rank of finite-sample covariance matrices for model order es timation (original) (raw)

Rank of finite-sample covariance matrices for model order es timation

Abstract

Several approaches for structure estimation have been developed in recent years, which are mostly based on exhaustive singularity tests of covariance matrices. This work intends to reduce the computational cost of the previous methods, by knowing the rank of (instrumental) finite-sampl e covariance matrices. I. I NTRODUCTION

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