21,168 research outputs found
Regression analysis with missing data and unknown colored noise: application to the MICROSCOPE space mission
The analysis of physical measurements often copes with highly correlated
noises and interruptions caused by outliers, saturation events or transmission
losses. We assess the impact of missing data on the performance of linear
regression analysis involving the fit of modeled or measured time series. We
show that data gaps can significantly alter the precision of the regression
parameter estimation in the presence of colored noise, due to the frequency
leakage of the noise power. We present a regression method which cancels this
effect and estimates the parameters of interest with a precision comparable to
the complete data case, even if the noise power spectral density (PSD) is not
known a priori. The method is based on an autoregressive (AR) fit of the noise,
which allows us to build an approximate generalized least squares estimator
approaching the minimal variance bound. The method, which can be applied to any
similar data processing, is tested on simulated measurements of the MICROSCOPE
space mission, whose goal is to test the Weak Equivalence Principle (WEP) with
a precision of . In this particular context the signal of interest is
the WEP violation signal expected to be found around a well defined frequency.
We test our method with different gap patterns and noise of known PSD and find
that the results agree with the mission requirements, decreasing the
uncertainty by a factor 60 with respect to ordinary least squares methods. We
show that it also provides a test of significance to assess the uncertainty of
the measurement.Comment: 12 pages, 4 figures, to be published in Phys. Rev.
Compressive Phase Retrieval From Squared Output Measurements Via Semidefinite Programming
Given a linear system in a real or complex domain, linear regression aims to
recover the model parameters from a set of observations. Recent studies in
compressive sensing have successfully shown that under certain conditions, a
linear program, namely, l1-minimization, guarantees recovery of sparse
parameter signals even when the system is underdetermined. In this paper, we
consider a more challenging problem: when the phase of the output measurements
from a linear system is omitted. Using a lifting technique, we show that even
though the phase information is missing, the sparse signal can be recovered
exactly by solving a simple semidefinite program when the sampling rate is
sufficiently high, albeit the exact solutions to both sparse signal recovery
and phase retrieval are combinatorial. The results extend the type of
applications that compressive sensing can be applied to those where only output
magnitudes can be observed. We demonstrate the accuracy of the algorithms
through theoretical analysis, extensive simulations and a practical experiment.Comment: Parts of the derivations have submitted to the 16th IFAC Symposium on
System Identification, SYSID 2012, and parts to the 51st IEEE Conference on
Decision and Control, CDC 201
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