Noise Variance Estimation In Signal Processing

We present a new method of estimating noise variance. The method is applicable for 1D and 2D signal processing. The essence of this method is estimation of the scatter of normally distributed data with high level of outliers. The method is applicable to data with the majority of the data points having no signal present. The method is based on the shortest half sample method. The mean of the shortest half sample (shorth) and the location of the least median of squares are among the most robust measures of the location of the mode. The length of the shortest half sample has been used as the measurement of the data scatter of uncontaminated data. We show that computing the length of several sub samples of varying sizes provides the necessary information to estimate both the scatter and the number of uncontaminated data points in a sample. We derive the system of equations to solve for the data scatter and the number of uncontaminated data points for the Gaussian distribution. The data scatter is the measure of the noise variance. The method can be extended to other distributions

Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to the rangestatistic. The new estimator is shown to be consistent for the integrated variance and asymptotically mixed Gaussian under simple forms of microstructure noise, and we can select an optimal partition of the high-frequency data in order to minimize its asymptotic conditional variance. The finite sample properties of our estimator are studied with Monte Carlo simulations and we implement it on high-frequency data from TAQ. We find that a bias-corrected range-statistic often has much smaller confidence intervals than the realized variance. --Bias-Correction,Integrated Variance,Market Microstructure Noise,Realized Range-Based Variance,Realized Variance

Disconnected Loop Noise Methods in Lattice QCD

A comparison of the noise variance between algorithms for calculating disconnected loop signals in lattice QCD is carried out. The methods considered are the Z(N) noise method and the Volume method. We find that the noise variance is strongly influenced by the Dirac structure of the operator.Comment: espcrc.sty file needed. Talk presented at Lattice '97, Edinburgh, Scotlan

Anomalous scaling law for noise variance and spatial resolution in differential phase contrast computed tomography

In conventional absorption based x-ray computed tomography (CT), the noise variance in reconstructed CT images scales with spatial resolution following an inverse cubic relationship. Without reconstruction, in x-ray absorption radiography, the noise variance scales as an inverse square with spatial resolution. In this letter we report that while the inverse square relationship holds for differential phase contrast projection imaging, there exists an anomalous scaling law in differential phase contrast CT, where the noise variance scales with spatial resolution following an inverse linear relationship. The anomalous scaling law is theoretically derived and subsequently validated with phantom results from an experimental Talbot-Lau interferometer system