Modeling temporally uncorrelated components of complex-valued stationary processes

DOI10.15559/21-VMSTA190MaRDI QIDQ2068984zbMATH OpenOpenAlexFDO

Authors Niko Lietzén, Lauri Viitasaari, Pauliina Ilmonen

Publication date 20 January 2022

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.04199

zbMATH Keywords

asymptotic theoryblind source separationlong-range dependencymultivariate analysisnoncentral limit theorems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator, that is based on simultaneous diagonalization of the covariance matrix and an autocovariance matrix with lag $au$. Our main contribution is that our asymptotic results can be applied to a large class of processes. In related literature, the processes are typically assumed to have weak correlations. We extend this class and consider the unmixing estimator under stronger dependency structures. In particular, we analyze the asymptotic behavior of the unmixing estimator under both, long- and short-range dependent complex-valued processes. Consequently, our theory covers unmixing estimators that converge slower than the usual $sqrtT$ and unmixing estimators that produce non-Gaussian asymptotic distributions. The presented methodology is a powerful prepossessing tool and highly applicable in several fields of statistics. Complex-valued processes are frequently encountered in, for example, biomedical applications and signal processing. In addition, our approach can be applied to model real-valued problems that involve temporally uncorrelated pairs. These are encountered in, for example, applications in finance.

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Describes a project that uses

Uses Software

• R
• ICALAB
• jpeg
• ICS
• longmemo

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