Transformation of M to Eigendirections

• Put .

• Then .

• Now the shifts can be calculated independently and do not affect each other.

• Assume that we order the eigenvalues

  

• Then clearly the first new shifts corresponding to , say are reliable and the remainder unreliable.

• Suppose we ignore the predictions for these last and set

  

• We need a criterion for choosing L but subject to this, this method is intuitively reasonable.