Conditional Spectral Analysis of Replicated Multiple Time Series with Application to Nocturnal Physiology

This article considers the problem of analyzing associations between power spectra of multiple time series and cross-sectional outcomes when data are observed from multiple subjects. The motivating application comes from sleep medicine, where researchers are able to non-invasively record physiological time series signals during sleep. The frequency patterns of these signals, which can be quantified through the power spectrum, contain interpretable information about biological processes. An important problem in sleep research is drawing connections between power spectra of time series signals and clinical characteristics; these connections are key to understanding biological pathways through which sleep affects, and can be treated to improve, health. Such analyses are challenging as they must overcome the complicated structure of a power spectrum from multiple time series as a complex positive-definite matrix-valued function. This article proposes a new approach to such analyses based on a tensor-product spline model of Cholesky components of outcome-dependent power spectra. The approach flexibly models power spectra as nonparametric functions of frequency and outcome while preserving geometric constraints. Formulated in a fully Bayesian framework, a Whittle likelihood based Markov chain Monte Carlo (MCMC) algorithm is developed for automated model fitting and for conducting inference on associations between outcomes and spectral measures. The method is used to analyze data from a study of sleep in older adults and uncovers new insights into how stress and arousal are connected to the amount of time one spends in bed

Estimation of a nonparametric regression spectrum for multivariate time series

Estimation of a nonparametric regression spectrum based on the periodogram is considered. Neither trend estimation nor smoothing of the periodogram are required. Alternatively, for cases where spectral estimation of phase shifts fails and the shift does not depend on frequency, a time domain estimator of the lag-shift is defined. Asymptotic properties of the frequency and time domain estimators are derived. Simulations and a data example illustrate the methods.Periodogram, cross spectrum, regression spectrum, phase, wavelets.

Local Cross-validation for Spectrum Bandwidth Choice

We investigate an automatic method of determining a local bandwidth for non-parametric kernel spectral density estimates at a single frequency. This procedure is a modification of a cross-validation technique for global bandwidth choices, avoiding the computation of any pilot estimate based on initial bandwidths or on approximate parametric models. Only local conditions on the spectral density around the frequency of interest are assumed. We illustrate with a Monte Carlo study the performance in finite samples of the bandwidth estimates proposed.Publicad

Quantile spectral processes: Asymptotic analysis and inference

Quantile- and copula-related spectral concepts recently have been considered by various authors. Those spectra, in their most general form, provide a full characterization of the copulas associated with the pairs $(X_t,X_{t-k})$ in a process $(X_t)_{t\in\mathbb{Z}}$, and account for important dynamic features, such as changes in the conditional shape (skewness, kurtosis), time-irreversibility, or dependence in the extremes that their traditional counterparts cannot capture. Despite various proposals for estimation strategies, only quite incomplete asymptotic distributional results are available so far for the proposed estimators, which constitutes an important obstacle for their practical application. In this paper, we provide a detailed asymptotic analysis of a class of smoothed rank-based cross-periodograms associated with the copula spectral density kernels introduced in Dette et al. [Bernoulli 21 (2015) 781-831]. We show that, for a very general class of (possibly nonlinear) processes, properly scaled and centered smoothed versions of those cross-periodograms, indexed by couples of quantile levels, converge weakly, as stochastic processes, to Gaussian processes. A first application of those results is the construction of asymptotic confidence intervals for copula spectral density kernels. The same convergence results also provide asymptotic distributions (under serially dependent observations) for a new class of rank-based spectral methods involving the Fourier transforms of rank-based serial statistics such as the Spearman, Blomqvist or Gini autocovariance coefficients.Comment: Published at http://dx.doi.org/10.3150/15-BEJ711 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Doppler spread estimation in mobile fading channels

The Doppler spread, or equivalently, the mobile speed, is a measure of the spectral dispersion of a mobile fading channel. Accurate estimation of the mobile speed is important in wireless mobile applications which require such as knowledge of the rate of channel variations. In this dissertation, first the performance of classical crossing- and covariance-based speed estimators is studied. Next, the problem of mobile speed estimation using diversity combining is investigated. Then, a nonparametric estimation technique is proposed that is robust to different channel variations. Finally, cyclostationarity-based speed estimators which can be applied either blindly or with the aid of pilot data, are developed. A unified framework for the performance analysis of well-known crossing and covariance based speed estimation techniques is presented. This allows a fair analytical comparison among all the methods. Interestingly, it is proved that all these methods are asymptotically equivalent, i.e., for large observation intervals. The extensive performance analysis, supported by Monte Carlo simulations, has revealed that depending on the channel condition and the observation interval, one needs to use a crossing or a covariance based technique to achieve the desired estimation accuracy over a large range of mobile speeds. Two common diversity schemes, selection combining (SC) and maximal ratio combining (MRC), are considered for Doppler spread estimation. Four new estimators are derived which rely on the inphase zero crossing rate, inphase rate of maxima, phase zero crossing rate, and the instantaneous frequency zero crossing rate of the output of SC. Two estimators, which work based on the level crossing rates of the envelopes at the output of SC and MRC, are also proposed. The performances of all these estimators are investigated in realistic noisy environments with different kinds of scatterings and different numbers of diversity branches. Then a novel speed estimation technique is proposed that is applicable to both mobile and base stations, based on the characteristics in the power spectrum of mobile fading channels. The analytic performance analysis, verified by Monte Carlo simulations, shows that this low-complexity estimator is not only robust to both Gaussian and non-Gaussian noises, but also insensitive to nonisotropic scattering observed at the mobile. The estimator performs very well in both two- and three-dimensional propagation environments. By taking advantage of resolvable paths in wideband fading channels, the robustness against both nonisotropic scattering and line of sight can be further increased, due to the differences among the Doppler spectra observed at different paths. This technique is also extended to base stations with antenna arrays. By exploiting the spatial information, the proposed space-time estimator exhibits excellent performance over a wide range of noise power, nonisotropic scattering, and the line-of-sight component. This is all verified by simulation. The utility of the new method is further demonstrated by applying it to the measured data. Finally, to design robust blind and data-aided mobile speed estimators, a proposal is made to exploit the inherent cyclostationarity of linearly modulated signals transmitted through fading channels. Two categories of cyclic-correlation- and cyclic-spectrum-based methods are developed. Extension to space-time speed estimation at the base station in macrocells is also provided. In comparison with the existing methods, the new estimators can be used without any need for pilot tones and are robust to additive stationary noise or interference of any color or distribution. Unlike the conventional multi-antenna based method, the proposed space-time speed estimator does not assume the receiver noise to be spatially white. A suboptimal training sequence is also devised for pilot-symbol assisted methods, to reduce the estimation error. The performance of the proposed estimators are illustrated via extensive Monte Carlo simulations

Forecasting and Signal Extraction with Misspecified Models

The paper illustrates and compares estimation methods alternative to maximum likelihood, among which multistep estimation and leave-one-out cross-validation, for the purposes of signal extraction, and in particular the separation of the trend from the cycle in economic time series, and long-range forecasting, in the presence of a misspecified, but simply parameterised model. Our workhorse models are two popular unobserved components models, namely the local level and the local linear model. The paper introduces a metric for assessing the accuracy of the unobserved components estimates and concludes that cross- validation is not a suitable estimation criterion for the purpose considered, whereas multistep estimation can be valuable. Finally, we propose a local likelihood estimator in the frequency domain that provides a simple and alternative way of making operative the notion of emphasising the long-run properties of a time series.Business cycles, Unobserved components models, Cross- validation, Smoothing, Hodrick-Prescott filter, Multistep estimation.

Quantification of depth of anesthesia by nonlinear time series analysis of brain electrical activity

We investigate several quantifiers of the electroencephalogram (EEG) signal with respect to their ability to indicate depth of anesthesia. For 17 patients anesthetized with Sevoflurane, three established measures (two spectral and one based on the bispectrum), as well as a phase space based nonlinear correlation index were computed from consecutive EEG epochs. In absence of an independent way to determine anesthesia depth, the standard was derived from measured blood plasma concentrations of the anesthetic via a pharmacokinetic/pharmacodynamic model for the estimated effective brain concentration of Sevoflurane. In most patients, the highest correlation is observed for the nonlinear correlation index D*. In contrast to spectral measures, D* is found to decrease monotonically with increasing (estimated) depth of anesthesia, even when a "burst-suppression" pattern occurs in the EEG. The findings show the potential for applications of concepts derived from the theory of nonlinear dynamics, even if little can be assumed about the process under investigation.Comment: 7 pages, 5 figure