The Scale Invariant Wigner Spectrum Estimation of Gaussian Locally Self-Similar Processes

DOI10.1080/03610926.2012.746987MaRDI QIDQ2807623zbMATH OpenOpenAlexFDO

Authors Yasaman Maleki, Saeid Rezakhah

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.2831

zbMATH Keywords

optimal estimationtime-frequency analysislocally self-similar circularly symmetric Gaussian processesscale invariant Wigner spectrum (SIWS)

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)

Abstract: We study locally self-similar processes (LSSPs) in Silverman's sense. By deriving the minimum mean-square optimal kernel within Cohen's class counterpart of time-frequency representations, we obtain an optimal estimation for the scale invariant Wigner spectrum (SIWS) of Gaussian LSSPs. The class of estimators is completely characterized in terms of kernels, so the optimal kernel minimizes the mean-square error of the estimation. We obtain the SIWS estimation for two cases: global and local, where in the local case, the kernel is allowed to vary with time and frequency. We also introduce two generalizations of LSSPs: the locally self-similar chrip process and the multicomponent locally self-similar process, and obtain their optimal kernels. Finally, the performance and accuracy of the estimation is studied via simulation.

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Cited in

(4)

• Optimal covariance estimation of discrete-time locally self-similar processes in time-scale and ambiguity domains
• Regularization of kernels for estimation of the Wigner spectrum of Gaussian stochastic processes
• Kernels and Multiple Windows for Estimation of the Wigner-Ville Spectrum of Gaussian Locally Stationary Processes
• Optimal scale invariant Wigner spectrum estimation of Gaussian locally self-similar processes using Hermite functions

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• longmemo

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