Yet Another Subspace Tracker
Résumé
This paper introduces a new algorithm for tracking the major subspace of the correlationmatrix associated with time series. This algorithm greatly outperforms many well-known subspace trackers in terms of subspace estimation. Moreover, it guarantees the orthonormality of the subspace weighting matrix at each iteration, and reaches the lowest complexity found in the literature.
Origine : Fichiers produits par l'(les) auteur(s)
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