Detection of multiplicative noise in stationary random processes using second- and higher order statistics

This paper addresses the problem of detecting the presence of colored multiplicative noise, when the information process can be modeled as a parametric ARMA process. For the case of zero-mean multiplicative noise, a cumulant based suboptimal detector is studied. This detector tests the nullity of a specific cumulant slice. A second detector is developed when the multiplicative noise is nonzero mean. This detector consists of filtering the data by an estimated AR filter. Cumulants of the residual data are then shown to be well suited to the detection problem. Theoretical expressions for the asymptotic probability of detection are given. Simulation-derived finite-sample ROC curves are shown for different sets of model parameters

Rank-based estimation for all-pass time series models

An autoregressive-moving average model in which all roots of the autoregressive polynomial are reciprocals of roots of the moving average polynomial and vice versa is called an all-pass time series model. All-pass models are useful for identifying and modeling noncausal and noninvertible autoregressive-moving average processes. We establish asymptotic normality and consistency for rank-based estimators of all-pass model parameters. The estimators are obtained by minimizing the rank-based residual dispersion function given by Jaeckel [Ann. Math. Statist. 43 (1972) 1449--1458]. These estimators can have the same asymptotic efficiency as maximum likelihood estimators and are robust. The behavior of the estimators for finite samples is studied via simulation and rank estimation is used in the deconvolution of a simulated water gun seismogram.Comment: Published at http://dx.doi.org/10.1214/009053606000001316 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Efficient Algorithms for Immersive Audio Rendering Enhancement

Il rendering audio immersivo è il processo di creazione di un’esperienza sonora coinvolgente e realistica nello spazio 3D. Nei sistemi audio immersivi, le funzioni di trasferimento relative alla testa (head-related transfer functions, HRTFs) vengono utilizzate per la sintesi binaurale in cuffia poiché esprimono il modo in cui gli esseri umani localizzano una sorgente sonora. Possono essere introdotti algoritmi di interpolazione delle HRTF per ridurre il numero di punti di misura e per creare un movimento del suono affidabile. La riproduzione binaurale può essere eseguita anche dagli altoparlanti. Tuttavia, il coinvolgimento di due o più gli altoparlanti causa il problema del crosstalk. In questo caso, algoritmi di cancellazione del crosstalk (CTC) sono necessari per eliminare i segnali di interferenza indesiderati. In questa tesi, partendo da un'analisi comparativa di metodi di misura delle HRTF, viene proposto un sistema di rendering binaurale basato sull'interpolazione delle HRTF per applicazioni in tempo reale. Il metodo proposto mostra buone prestazioni rispetto a una tecnica di riferimento. L'algoritmo di interpolazione è anche applicato al rendering audio immersivo tramite altoparlanti, aggiungendo un algoritmo di cancellazione del crosstalk fisso, che considera l'ascoltatore in una posizione fissa. Inoltre, un sistema di cancellazione crosstalk adattivo, che include il tracciamento della testa dell'ascoltatore, è analizzato e implementato in tempo reale. Il CTC adattivo implementa una struttura in sottobande e risultati sperimentali dimostrano che un maggiore numero di bande migliora le prestazioni in termini di errore totale e tasso di convergenza. Il sistema di riproduzione e le caratteristiche dell'ambiente di ascolto possono influenzare le prestazioni a causa della loro risposta in frequenza non ideale. L'equalizzazione viene utilizzata per livellare le varie parti dello spettro di frequenze che compongono un segnale audio al fine di ottenere le caratteristiche sonore desiderate. L'equalizzazione può essere manuale, come nel caso dell'equalizzazione grafica, dove il guadagno di ogni banda di frequenza può essere modificato dall'utente, o automatica, la curva di equalizzazione è calcolata automaticamente dopo la misurazione della risposta impulsiva della stanza. L'equalizzazione della risposta ambientale può essere applicata anche ai sistemi multicanale, che utilizzano due o più altoparlanti e la zona di equalizzazione può essere ampliata misurando le risposte impulsive in diversi punti della zona di ascolto. In questa tesi, GEQ efficienti e un sistema adattativo di equalizzazione d'ambiente. In particolare, sono proposti e approfonditi tre equalizzatori grafici a basso costo computazionale e a fase lineare e quasi lineare. Gli esperimenti confermano l'efficacia degli equalizzatori proposti in termini di accuratezza, complessità computazionale e latenza. Successivamente, una struttura adattativa in sottobande è introdotta per lo sviluppo di un sistema di equalizzazione d'ambiente multicanale. I risultati sperimentali verificano l'efficienza dell'approccio in sottobande rispetto al caso a banda singola. Infine, viene presentata una rete crossover a fase lineare per sistemi multicanale, mostrando ottimi risultati in termini di risposta in ampiezza, bande di transizione, risposta polare e risposta in fase. I sistemi di controllo attivo del rumore (ANC) possono essere progettati per ridurre gli effetti dell'inquinamento acustico e possono essere utilizzati contemporaneamente a un sistema audio immersivo. L'ANC funziona creando un'onda sonora in opposizione di fase rispetto all'onda sonora in arrivo. Il livello sonoro complessivo viene così ridotto grazie all'interferenza distruttiva. Infine, questa tesi presenta un sistema ANC utilizzato per la riduzione del rumore. L’approccio proposto implementa una stima online del percorso secondario e si basa su filtri adattativi in sottobande applicati alla stima del percorso primario che mirano a migliorare le prestazioni dell’intero sistema. La struttura proposta garantisce un tasso di convergenza migliore rispetto all'algoritmo di riferimento.Immersive audio rendering is the process of creating an engaging and realistic sound experience in 3D space. In immersive audio systems, the head-related transfer functions (HRTFs) are used for binaural synthesis over headphones since they express how humans localize a sound source. HRTF interpolation algorithms can be introduced for reducing the number of measurement points and creating a reliable sound movement. Binaural reproduction can be also performed by loudspeakers. However, the involvement of two or more loudspeakers causes the problem of crosstalk. In this case, crosstalk cancellation (CTC) algorithms are needed to delete unwanted interference signals. In this thesis, starting from a comparative analysis of HRTF measurement techniques, a binaural rendering system based on HRTF interpolation is proposed and evaluated for real-time applications. The proposed method shows good performance in comparison with a reference technique. The interpolation algorithm is also applied for immersive audio rendering over loudspeakers, by adding a fixed crosstalk cancellation algorithm, which assumes that the listener is in a fixed position. In addition, an adaptive crosstalk cancellation system, which includes the tracking of the listener's head, is analyzed and a real-time implementation is presented. The adaptive CTC implements a subband structure and experimental results prove that a higher number of bands improves the performance in terms of total error and convergence rate. The reproduction system and the characteristics of the listening room may affect the performance due to their non-ideal frequency response. Audio equalization is used to adjust the balance of different audio frequencies in order to achieve desired sound characteristics. The equalization can be manual, such as in the case of graphic equalization, where the gain of each frequency band can be modified by the user, or automatic, where the equalization curve is automatically calculated after the room impulse response measurement. The room response equalization can be also applied to multichannel systems, which employ two or more loudspeakers, and the equalization zone can be enlarged by measuring the impulse responses in different points of the listening zone. In this thesis, efficient graphic equalizers (GEQs), and an adaptive room response equalization system are presented. In particular, three low-complexity linear- and quasi-linear-phase graphic equalizers are proposed and deeply examined. Experiments confirm the effectiveness of the proposed GEQs in terms of accuracy, computational complexity, and latency. Successively, a subband adaptive structure is introduced for the development of a multichannel and multiple positions room response equalizer. Experimental results verify the effectiveness of the subband approach in comparison with the single-band case. Finally, a linear-phase crossover network is presented for multichannel systems, showing great results in terms of magnitude flatness, cutoff rates, polar diagram, and phase response. Active noise control (ANC) systems can be designed to reduce the effects of noise pollution and can be used simultaneously with an immersive audio system. The ANC works by creating a sound wave that has an opposite phase with respect to the sound wave of the unwanted noise. The additional sound wave creates destructive interference, which reduces the overall sound level. Finally, this thesis presents an ANC system used for noise reduction. The proposed approach implements an online secondary path estimation and is based on cross-update adaptive filters applied to the primary path estimation that aim at improving the performance of the whole system. The proposed structure allows for a better convergence rate in comparison with a reference algorithm

Maximum likelihood estimation for α\alpha-stable autoregressive processes

We consider maximum likelihood estimation for both causal and noncausal autoregressive time series processes with non-Gaussian $\alpha$-stable noise. A nondegenerate limiting distribution is given for maximum likelihood estimators of the parameters of the autoregressive model equation and the parameters of the stable noise distribution. The estimators for the autoregressive parameters are $n^{1/\alpha}$-consistent and converge in distribution to the maximizer of a random function. The form of this limiting distribution is intractable, but the shape of the distribution for these estimators can be examined using the bootstrap procedure. The bootstrap is asymptotically valid under general conditions. The estimators for the parameters of the stable noise distribution have the traditional $n^{1/2}$ rate of convergence and are asymptotically normal. The behavior of the estimators for finite samples is studied via simulation, and we use maximum likelihood estimation to fit a noncausal autoregressive model to the natural logarithms of volumes of Wal-Mart stock traded daily on the New York Stock Exchange.Comment: Published in at http://dx.doi.org/10.1214/08-AOS632 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Computation of the one-dimensional unwrapped phase

Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2006.Includes bibliographical references (p. 101-102). "Cepstrum bibliography" (p. 67-100).In this thesis, the computation of the unwrapped phase of the discrete-time Fourier transform (DTFT) of a one-dimensional finite-length signal is explored. The phase of the DTFT is not unique, and may contain integer multiple of 27r discontinuities. The unwrapped phase is the instance of the phase function chosen to ensure continuity. This thesis presents existing algorithms for computing the unwrapped phase, discussing their weaknesses and strengths. Then two composite algorithms are proposed that use the existing ones, combining their strengths while avoiding their weaknesses. The core of the proposed methods is based on recent advances in polynomial factoring. The proposed methods are implemented and compared to the existing ones.by Zahi Nadim Karam.S.M

Essays on noncausal and noninvertible time series

Over the last two decades, there has been growing interest among economists in nonfundamental univariate processes, generally represented by noncausal and non-invertible time series. These processes have become increasingly popular due to their ability to capture nonlinear dynamics such as volatility clustering, asymmetric cycles, and local explosiveness - all of which are commonly observed in Macroeconomics and Finance. In particular, the incorporation of both past and future components into noncausal and noninvertible processes makes them attractive options for modeling forward-looking behavior in economic activities. However, the classical techniques used for analyzing time series models are largely limited to causal and invertible counterparts. This dissertation seeks to contribute to the field by providing theoretical tools robust to noncausal and noninvertible time series in testing and estimation. In the first chapter, "Quantile Autoregression-Based Non-causality Testing", we investigate the statistical properties of empirical conditional quantiles of non-causal processes. Specifically, we show that the quantile autoregression (QAR) estimates for non-causal processes do not remain constant across different quantiles in contrast to their causal counterparts. Furthermore, we demonstrate that non-causal autoregressive processes admit nonlinear representations for conditional quantiles given past observations. Exploiting these properties, we propose three novel testing strategies of non-causality for non-Gaussian processes within the QAR framework. The tests are constructed either by verifying the constancy of the slope coefficients or by applying a misspecification test of the linear QAR model over different quantiles of the process. Some numerical experiments are included to examine the finite sample performance of the testing strategies, where we compare different specification tests for dynamic quantiles with the Kolmogorov-Smirnov constancy test. The new methodology is applied to some time series from financial markets to investigate the presence of speculative bubbles. The extension of the approach based on the specification tests to AR processes driven by innovations with heteroskedasticity is studied through simulations. The performance of QAR estimates of non-causal processes at extreme quantiles is also explored. In the second chapter, "Estimation of Time Series Models Using the Empirical Distribution of Residuals", we introduce a novel estimation technique for general linear time series models, potentially noninvertible and noncausal, by utilizing the empirical cumulative distribution function of residuals. The proposed method relies on the generalized spectral cumulative function to characterize the pairwise dependence of residuals at all lags. Model identification can be achieved by exploiting the information in the joint distribution of residuals under the iid assumption. This method yields consistent estimates of the model parameters without imposing stringent conditions on the higher-order moments or any distributional assumptions on the innovations beyond non-Gaussianity. We investigate the asymptotic distribution of the estimates by employing a smoothed cumulative distribution function to approximate the indicator function, considering the non-differentiability of the original loss function. Efficiency improvements can be achieved by properly choosing the scaling parameter for residuals. Finite sample properties are explored through Monte Carlo simulations. An empirical application to illustrate this methodology is provided by fitting the daily trading volume of Microsoft stock by autoregressive models with noncausal representation. The flexibility of the cumulative distribution function permits the proposed method to be extended to more general dependence structures where innovations are only conditional mean or quantile independent. In the third chapter, "Directional Predictability Tests", joint with Carlos Velasco, we propose new tests of predictability for non-Gaussian sequences that may display general nonlinear dependence in higher-order properties. We test the null of martingale difference against parametric alternatives which can introduce linear or nonlinear dependence as generated by ARMA and all-pass restricted ARMA models, respectively. We also develop tests to check for linear predictability under the white noise null hypothesis parameterized by an all-pass model driven by martingale difference innovations and tests of non-linear predictability on ARMA residuals. Our Lagrange Multiplier tests are developed from a loss function based on pairwise dependence measures that identify the predictability of levels. We provide asymptotic and finite sample analysis of the properties of the new tests and investigate the predictability of different series of financial returns.This thesis has been possible thanks to the financial support from the grant BES-2017-082695 from the Ministerio de Economía Industria y Competitividad.Programa de Doctorado en Economía por la Universidad Carlos III de MadridPresidente: Miguel ángel Delgado González.- Secretario: Manuel Domínguez Toribio.- Vocal: Majid M. Al Sadoo