Robust Model Order Selection via Dithered Differential Step-Down Thresholding
This paper studies the problem of model order selection in stationary noise. Single-threshold detection is sensitive to extreme noise excursions, particularly when the detection threshold is lowered to capture weak deterministic components. To augment single-threshold detection, we propose a differential step-down thresholding algorithm. We use a threshold grid in this algorithm. To overcome the threshold grid misalignment error induced by grid evaluation, we utilize randomized grid dithering. Using extreme value theory, we show the clustering of the noise extrema. The stopping rule of the proposed algorithm detects this clustering and stops the algorithm to prevent false alarms. By analytically bounding the threshold grid misalignment error, we prove that our algorithm achieves asymptotic exact order recovery under the 0-1 loss function. Moreover, the proposed algorithm remains robust even if the detection threshold in the original single-threshold algorithm is lowered or extreme noise excursions occur.