Robust Gravitational Wave Burst Detection and Source Localization in a Network of Interferometers Using Cross Wigner Spectra

We discuss a fast cross-Wigner transform based technique for detecting gravitational wave bursts, and estimating the direction of arrival, using a network of (three) non co-located interferometric detectors. The performances of the detector as a function of signal strength and source location, and the accuracy of the direction of arrival estimation are investigated by numerical simulations.Comment: accepted in Class. Quantum Gravit

Time-frequency represetation of radar signals using Doppler-Lag block searching Wigner-Ville distribution

Radar signals are time-varying signals where the signal parameters change over time. For these signals, Quadratic Time-Frequency Distribution (QTFD) offers advantages over classical spectrum estimation in terms of frequency and time resolution but it suffers heavily from cross-terms. In generating accurate Time-Frequency Representation (TFR), a kernel function must be able to suppress cross-terms while maintaining auto-terms energy especially in a non-cooperative environment where the parameters of the actual signal are unknown. Thus, a new signal-dependent QTFD is proposed that adaptively estimates the kernel parameters for a wide class of radar signals. The adaptive procedure, Doppler-Lag Block Searching (DLBS) kernel estimation was developed to serve this purpose. Accurate TFRs produced for all simulated radar signals with Instantaneous Frequency (IF) estimation performance are verified using Monte Carlo simulation meeting the requirements of the Cramer-Rao Lower Bound (CRLB) at SNR > 6 dB

The estimation of geoacoustic properties from broadband acoustic data, focusing on instantaneous frequency techniques

The compressional wave velocity and attenuation of marine sediments are fundamental to marine science. In order to obtain reliable estimates of these parameters it is necessary to examine in situ acoustic data, which is generally broadband. A variety of techniques for estimating the compressional wave velocity and attenuation from broadband acoustic data are reviewed. The application of Instantaneous Frequency (IF) techniques to data collected from a normal-incidence chirp profiler is examined. For the datasets examined the best estimates of IF are obtained by dividing the chirp profile into a series of sections, estimating the IF of each trace in the section using the first moments of the Wigner Ville distribution, and stacking the resulting IF to obtain a composite IF for the section. As the datasets examined cover both gassy and saturated sediments, this is likely to be the optimum technique for chirp datasets collected from all sediment environments

Financial Applications of Random Matrix Theory: a short review

We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to guide the reader through various theoretical results (the Marcenko-Pastur spectrum and its various generalisations, random SVD, free matrices, largest eigenvalue statistics, etc.) as well as some concrete applications to portfolio optimisation and out-of-sample risk estimation.Comment: To appear in the "Handbook on Random Matrix Theory", Oxford University Pres

Cleaning large correlation matrices: tools from random matrix theory

This review covers recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT). We introduce several RMT methods and analytical techniques, such as the Replica formalism and Free Probability, with an emphasis on the Marchenko-Pastur equation that provides information on the resolvent of multiplicatively corrupted noisy matrices. Special care is devoted to the statistics of the eigenvectors of the empirical correlation matrix, which turn out to be crucial for many applications. We show in particular how these results can be used to build consistent "Rotationally Invariant" estimators (RIE) for large correlation matrices when there is no prior on the structure of the underlying process. The last part of this review is dedicated to some real-world applications within financial markets as a case in point. We establish empirically the efficacy of the RIE framework, which is found to be superior in this case to all previously proposed methods. The case of additively (rather than multiplicatively) corrupted noisy matrices is also dealt with in a special Appendix. Several open problems and interesting technical developments are discussed throughout the paper.Comment: 165 pages, article submitted to Physics Report