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

DOI10.1080/03610926.2012.746987zbMATH Open1343.62079arXiv1207.2831OpenAlexW2592671843MaRDI QIDQ2807623FDOQ2807623

Authors: Yasaman Maleki, Saeid Rezakhah 

Publication date: 25 May 2016

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

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.

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

Recommendations

• Optimal scale invariant Wigner spectrum estimation of Gaussian locally self-similar processes using Hermite functions
• scientific article; zbMATH DE number 3875106
• Regularization of kernels for estimation of the Wigner spectrum of Gaussian stochastic processes
• Wavelet estimation for locally self-similar processes
• Kernels and Multiple Windows for Estimation of the Wigner-Ville Spectrum of Gaussian Locally Stationary Processes
• Spectral representation and estimation for locally stationary wavelet processes
• Self-similarity index estimation via wavelets for locally self-similar processes
• New estimators of spectral distributions of Wigner matrices
• scientific article; zbMATH DE number 5035721

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)

Cites Work

• LASS: a tool for the local analysis of self-similarity
• Title not available (Why is that?)
• Title not available (Why is that?)
• Scale invariances and Lamperti transformations for stochastic processes
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
• Locally stationary stochastic processes and Weyl symbols of positive operators
• Kernels and Multiple Windows for Estimation of the Wigner-Ville Spectrum of Gaussian Locally Stationary Processes
• The random Wigner distribution of Gaussian stochastic processes with covariance in \(S_0(\mathbb R^{2d})\)
• Stochastic time-frequency analysis using the analytic signal: why the complementary distribution matters
• Title not available (Why is that?)

Cited In (3)

• 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

Uses Software

• longmemo

This page was built for publication: The Scale Invariant Wigner Spectrum Estimation of Gaussian Locally Self-Similar Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2807623)