Assessing the strength of directed influences among neural signals : An approach to noisy data

Acknowledgements This work was supported by the German Science Foundation (Ti315/4-2), the German Federal Ministry of Education and Research (BMBF grant 01GQ0420), and the Excellence Initiative of the German Federal and State Governments. B.S. is indebted to the Kosterlitz Centre for the financial support of this research project.Peer reviewedPreprin

A numerically efficient implementation of the expectation maximization algorithm for state space models

Peer reviewedPostprin

Adaptive interpolation of discrete-time signals that can be modeled as autoregressive processes

This paper presents an adaptive algorithm for the restoration of lost sample values in discrete-time signals that can locally be described by means of autoregressive processes. The only restrictions are that the positions of the unknown samples should be known and that they should be embedded in a sufficiently large neighborhood of known samples. The estimates of the unknown samples are obtained by minimizing the sum of squares of the residual errors that involve estimates of the autoregressive parameters. A statistical analysis shows that, for a burst of lost samples, the expected quadratic interpolation error per sample converges to the signal variance when the burst length tends to infinity. The method is in fact the first step of an iterative algorithm, in which in each iteration step the current estimates of the missing samples are used to compute the new estimates. Furthermore, the feasibility of implementation in hardware for real-time use is established. The method has been tested on artificially generated auto-regressive processes as well as on digitized music and speech signals

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 $10^{-15}$. 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.

The spectral estimation of simultaneous equation systems with lagged endogenous variables

Publicad

Digital Signal Processing

Contains an introduction and reports on seventeen research projects.U.S. Navy - Office of Naval Research (Contract N00014-77-C-0266)Amoco Foundation FellowshipU.S. Navy - Office of Naval Research (Contract N00014-81-K-0742)National Science Foundation (Grant ECS80-07102)U.S. Army Research Office (Contract DAAG29-81-K-0073)Hughes Aircraft Company FellowshipAmerican Edwards Labs. GrantWhitaker Health Sciences FundPfeiffer Foundation GrantSchlumberger-Doll Research Center FellowshipGovernment of Pakistan ScholarshipU.S. Navy - Office of Naval Research (Contract N00014-77-C-0196)National Science Foundation (Grant ECS79-15226)Hertz Foundation Fellowshi