Asymptotic power of sphericity tests for high-dimensional data

This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observations go to infinity. We establish the convergence, under the null hypothesis and contiguous alternatives, of the log ratio of the joint densities of the sample covariance eigenvalues to a Gaussian process indexed by the norm of the perturbation. When the perturbation norm is larger than the phase transition threshold studied in Baik, Ben Arous and Peche [Ann. Probab. 33 (2005) 1643-1697] the limiting process is degenerate, and discrimination between the null and the alternative is asymptotically certain. When the norm is below the threshold, the limiting process is nondegenerate, and the joint eigenvalue densities under the null and alternative hypotheses are mutually contiguous. Using the asymptotic theory of statistical experiments, we obtain asymptotic power envelopes and derive the asymptotic power for various sphericity tests in the contiguity region. In particular, we show that the asymptotic power of the Tracy-Widom-type tests is trivial (i.e., equals the asymptotic size), whereas that of the eigenvalue-based likelihood ratio test is strictly larger than the size, and close to the power envelope.Comment: Published in at http://dx.doi.org/10.1214/13-AOS1100 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Locally Most Powerful Invariant Tests for Correlation and Sphericity of Gaussian Vectors

In this paper we study the existence of locally most powerful invariant tests (LMPIT) for the problem of testing the covariance structure of a set of Gaussian random vectors. The LMPIT is the optimal test for the case of close hypotheses, among those satisfying the invariances of the problem, and in practical scenarios can provide better performance than the typically used generalized likelihood ratio test (GLRT). The derivation of the LMPIT usually requires one to find the maximal invariant statistic for the detection problem and then derive its distribution under both hypotheses, which in general is a rather involved procedure. As an alternative, Wijsman's theorem provides the ratio of the maximal invariant densities without even finding an explicit expression for the maximal invariant. We first consider the problem of testing whether a set of $N$-dimensional Gaussian random vectors are uncorrelated or not, and show that the LMPIT is given by the Frobenius norm of the sample coherence matrix. Second, we study the case in which the vectors under the null hypothesis are uncorrelated and identically distributed, that is, the sphericity test for Gaussian vectors, for which we show that the LMPIT is given by the Frobenius norm of a normalized version of the sample covariance matrix. Finally, some numerical examples illustrate the performance of the proposed tests, which provide better results than their GLRT counterparts

LMPIT-inspired Tests for Detecting a Cyclostationary Signal in Noise with Spatio-Temporal Structure

In spectrum sensing for cognitive radio, the presence of a primary user can be detected by making use of the cyclostationarity property of digital communication signals. For the general scenario of a cyclostationary signal in temporally colored and spatially correlated noise, it has previously been shown that an asymptotic generalized likelihood ratio test (GLRT) and locally most powerful invariant test (LMPIT) exist. In this paper, we derive detectors for the presence of a cyclostationary signal in various scenarios with structured noise. In particular, we consider noise that is temporally white and/or spatially uncorrelated. Detectors that make use of this additional information about the noise process have enhanced performance. We have previously derived GLRTs for these specific scenarios; here, we examine the existence of LMPITs. We show that these exist only for detecting the presence of a cyclostationary signal in spatially uncorrelated noise. For white noise, an LMPIT does not exist. Instead, we propose tests that approximate the LMPIT, and they are shown to perform well in simulations. Finally, if the noise structure is not known in advance, we also present hypothesis tests using our framework

An asymptotic LMPI test for cyclostationarity detection with application to cognitive radio

We propose a new detector of primary users in cognitive radio networks. The main novelty of the proposed detector in comparison to most known detectors is that it is based on sound statistical principles for detecting cyclostationary signals. In particular, the proposed detector is (asymptotically) the locally most powerful invariant test, i.e. the best invariant detector for low signal-to-noise ratios. The derivation is based on two main ideas: the relationship between a scalar-valued cyclostationary signal and a vector-valued wide-sense stationary signal, and Wijsman's theorem. Moreover, using the spectral representation for the cyclostationary time series, the detector has an insightful interpretation, and implementation, as the broadband coherence between frequencies that are separated by multiples of the cycle frequency. Finally, simulations confirm that the proposed detector performs better than previous approaches.The work of P. Schreier was supported by the Alfried Krupp von Bohlen und Halbach Foundation, under its program “Return of German scientists from abroad”. The work of I. Santamaría and J. Vía was supported by the Spanish Government, Ministerio de Ciencia e Innovación (MICINN), under project RACHEL (TEC2013-47141-C4-3-R). The work of L. Scharf was supported by the Airforce Office of Scientific Research under contract FA9550-10-1-0241

Detection of multivariate cyclostationarity

This paper derives an asymptotic generalized likelihood ratio test (GLRT) and an asymptotic locally most powerful invariant test (LMPIT) for two hypothesis testing problems: 1) Is a vector-valued random process cyclostationary (CS) or is it wide-sense stationary (WSS)? 2) Is a vector-valued random process CS or is it nonstationary? Our approach uses the relationship between a scalar-valued CS time series and a vector-valued WSS time series for which the knowledge of the cycle period is required. This relationship allows us to formulate the problem as a test for the covariance structure of the observations. The covariance matrix of the observations has a block-Toeplitz structure for CS and WSS processes. By considering the asymptotic case where the covariance matrix becomes block-circulant we are able to derive its maximum likelihood (ML) estimate and thus an asymptotic GLRT. Moreover, using Wijsman's theorem, we also obtain an asymptotic LMPIT. These detectors may be expressed in terms of the Loe`ve spectrum, the cyclic spectrum, and the power spectral density, establishing how to fuse the information in these spectra for an asymptotic GLRT and LMPIT. This goes beyond the state-of-the-art, where it is common practice to build detectors of cyclostationarity from ad-hoc functions of these spectra.The work of P. Schreier was supported by the Alfried Krupp von Bohlen und Halbach Foundation, under its program “Return of German scientists from abroad”. The work of I. Santamaría and J. Vía was supported by the Spanish Government, Ministerio de Ciencia e Innovación (MICINN), under project RACHEL (TEC2013-47141-C4-3-R). The work of L. Scharf was supported by the Airforce Office of Scientific Research under contract FA9550-10-1-0241

Two-Channel Passive Detection Exploiting Cyclostationarity

This paper addresses a two-channel passive detection problem exploiting cyclostationarity. Given a reference channel (RC) and a surveillance channel (SC), the goal is to detect a target echo present at the surveillance array transmitted by an illuminator of opportunity equipped with multiple antennas. Since common transmission signals are cyclostationary, we exploit this information at the detector. Specifically, we derive an asymptotic generalized likelihood ratio test (GLRT) to detect the presence of a cyclostationary signal at the SC given observations from RC and SC. This detector tests for different covariance structures. Simulation results show good performance of the proposed detector compared to competing techniques that do not exploit cyclostationarity

Practical implementation of nonlinear time series methods: The TISEAN package

Nonlinear time series analysis is becoming a more and more reliable tool for the study of complicated dynamics from measurements. The concept of low-dimensional chaos has proven to be fruitful in the understanding of many complex phenomena despite the fact that very few natural systems have actually been found to be low dimensional deterministic in the sense of the theory. In order to evaluate the long term usefulness of the nonlinear time series approach as inspired by chaos theory, it will be important that the corresponding methods become more widely accessible. This paper, while not a proper review on nonlinear time series analysis, tries to make a contribution to this process by describing the actual implementation of the algorithms, and their proper usage. Most of the methods require the choice of certain parameters for each specific time series application. We will try to give guidance in this respect. The scope and selection of topics in this article, as well as the implementational choices that have been made, correspond to the contents of the software package TISEAN which is publicly available from http://www.mpipks-dresden.mpg.de/~tisean . In fact, this paper can be seen as an extended manual for the TISEAN programs. It fills the gap between the technical documentation and the existing literature, providing the necessary entry points for a more thorough study of the theoretical background.Comment: 27 pages, 21 figures, downloadable software at http://www.mpipks-dresden.mpg.de/~tisea