A Widely Linear Complex Autoregressive Process of Order One

DOI10.1109/TSP.2016.2599503MaRDI QIDQ4621075zbMATH OpenOpenAlexFDO

Authors Adam M. Sykulski, Sofia C. Olhede, J. M. Lilly

Publication date 8 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.04128

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We propose a simple stochastic process for modeling improper or noncircular complex-valued signals. The process is a natural extension of a complex-valued autoregressive process, extended to include a widely linear autoregressive term. This process can then capture elliptical, as opposed to circular, stochastic oscillations in a bivariate signal. The process is order one and is more parsimonious than alternative stochastic modeling approaches in the literature. We provide conditions for stationarity, and derive the form of the covariance and relation sequence of this model. We describe how parameter estimation can be efficiently performed both in the time and frequency domain. We demonstrate the practical utility of the process in capturing elliptical oscillations that are naturally present in seismic signals.

Cited in

(4)

• Time-frequency analysis of bivariate signals
• Augmented complex-valued normalized subband adaptive filter: algorithm derivation and analysis
• scientific article; zbMATH DE number 5545734 (Why is no real title available?)
• Complex-valued time series models and their relations to directional statistics

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