RANDOMIZED PENALTY IN DETECTION OF THE NUMBER OF SIGNALS

For the information theoretic criterion methods of detecting the numbe r of signals, a penalty function which is of fixed form has been utili zed. In this paper, a new penalty, depending on samples, is introduced . It is shown that it gives a strongly consistent estimate of the numb er of signals. Simulation results show that for small samples, it perf orms well as compared with others, such as the Hannan criterion.