Spectral analysis of stationary random bivariate signals

A novel approach towards the spectral analysis of stationary random bivariate signals is proposed. Using the Quaternion Fourier Transform, we introduce a quaternion-valued spectral representation of random bivariate signals seen as complex-valued sequences. This makes possible the definition of a scalar quaternion-valued spectral density for bivariate signals. This spectral density can be meaningfully interpreted in terms of frequency-dependent polarization attributes. A natural decomposition of any random bivariate signal in terms of unpolarized and polarized components is introduced. Nonparametric spectral density estimation is investigated, and we introduce the polarization periodogram of a random bivariate signal. Numerical experiments support our theoretical analysis, illustrating the relevance of the approach on synthetic data.Comment: 11 pages, 3 figure

Extracting the Italian output gap: a Bayesian approach

During the last decades particular effort has been directed towards understanding and predicting the relevant state of the business cycle with the objective of decomposing permanent shocks from those having only a transitory impact on real output. This trend--cycle decomposition has a relevant impact on several economic and fiscal variables and constitutes by itself an important indicator for policy purposes. This paper deals with trend--cycle decomposition for the Italian economy having some interesting peculiarities which makes it attractive to analyse from both a statistic and an historical perspective. We propose an univariate model for the quarterly real GDP, subsequently extended to include the price dynamics through a Phillips curve. This study considers a series of the Italian quarterly real GDP recently released by OECD which includes both the 1960s and the recent global financial crisis of 2007--2008. Parameters estimate as well as the signal extraction are performed within the Bayesian paradigm which effectively handles complex models where the parameters enter the log--likelihood function in a strongly nonlinear way. A new Adaptive Independent Metropolis--within--Gibbs sampler is then developed to efficiently simulate the parameters of the unobserved cycle. Our results suggest that inflation influences the Output Gap estimate, making the extracted Italian OG an important indicator of inflation pressures on the real side of the economy, as stated by the Phillips theory. Moreover, our estimate of the sequence of peaks and troughs of the Output Gap is in line with the OECD official dating of the Italian business cycle

Data-driven multivariate and multiscale methods for brain computer interface

This thesis focuses on the development of data-driven multivariate and multiscale methods for brain computer interface (BCI) systems. The electroencephalogram (EEG), the most convenient means to measure neurophysiological activity due to its noninvasive nature, is mainly considered. The nonlinearity and nonstationarity inherent in EEG and its multichannel recording nature require a new set of data-driven multivariate techniques to estimate more accurately features for enhanced BCI operation. Also, a long term goal is to enable an alternative EEG recording strategy for achieving long-term and portable monitoring. Empirical mode decomposition (EMD) and local mean decomposition (LMD), fully data-driven adaptive tools, are considered to decompose the nonlinear and nonstationary EEG signal into a set of components which are highly localised in time and frequency. It is shown that the complex and multivariate extensions of EMD, which can exploit common oscillatory modes within multivariate (multichannel) data, can be used to accurately estimate and compare the amplitude and phase information among multiple sources, a key for the feature extraction of BCI system. A complex extension of local mean decomposition is also introduced and its operation is illustrated on two channel neuronal spike streams. Common spatial pattern (CSP), a standard feature extraction technique for BCI application, is also extended to complex domain using the augmented complex statistics. Depending on the circularity/noncircularity of a complex signal, one of the complex CSP algorithms can be chosen to produce the best classification performance between two different EEG classes. Using these complex and multivariate algorithms, two cognitive brain studies are investigated for more natural and intuitive design of advanced BCI systems. Firstly, a Yarbus-style auditory selective attention experiment is introduced to measure the user attention to a sound source among a mixture of sound stimuli, which is aimed at improving the usefulness of hearing instruments such as hearing aid. Secondly, emotion experiments elicited by taste and taste recall are examined to determine the pleasure and displeasure of a food for the implementation of affective computing. The separation between two emotional responses is examined using real and complex-valued common spatial pattern methods. Finally, we introduce a novel approach to brain monitoring based on EEG recordings from within the ear canal, embedded on a custom made hearing aid earplug. The new platform promises the possibility of both short- and long-term continuous use for standard brain monitoring and interfacing applications

Using EMD-FrFT filtering to mitigate high power interference in chirp tracking radars

This letter presents a new signal processing subsystem for conventional monopulse tracking radars that offers an improved solution to the problem of dealing with manmade high power interference (jamming). It is based on the hybrid use of empirical mode decomposition (EMD) and fractional Fourier transform (FrFT). EMD-FrFT filtering is carried out for complex noisy radar chirp signals to decrease the signal's noisy components. An improvement in the signal-to-noise ratio (SNR) of up to 18 dB for different target SNRs is achieved using the proposed EMD-FrFT algorithm

Detecting synchronization clusters in multivariate time series via coarse-graining of Markov chains

Synchronization cluster analysis is an approach to the detection of underlying structures in data sets of multivariate time series, starting from a matrix R of bivariate synchronization indices. A previous method utilized the eigenvectors of R for cluster identification, analogous to several recent attempts at group identification using eigenvectors of the correlation matrix. All of these approaches assumed a one-to-one correspondence of dominant eigenvectors and clusters, which has however been shown to be wrong in important cases. We clarify the usefulness of eigenvalue decomposition for synchronization cluster analysis by translating the problem into the language of stochastic processes, and derive an enhanced clustering method harnessing recent insights from the coarse-graining of finite-state Markov processes. We illustrate the operation of our method using a simulated system of coupled Lorenz oscillators, and we demonstrate its superior performance over the previous approach. Finally we investigate the question of robustness of the algorithm against small sample size, which is important with regard to field applications.Comment: Follow-up to arXiv:0706.3375. Journal submission 9 Jul 2007. Published 19 Dec 200

A unified wavelet-based modelling framework for non-linear system identification: the WANARX model structure

A new unified modelling framework based on the superposition of additive submodels, functional components, and wavelet decompositions is proposed for non-linear system identification. A non-linear model, which is often represented using a multivariate non-linear function, is initially decomposed into a number of functional components via the wellknown analysis of variance (ANOVA) expression, which can be viewed as a special form of the NARX (non-linear autoregressive with exogenous inputs) model for representing dynamic input–output systems. By expanding each functional component using wavelet decompositions including the regular lattice frame decomposition, wavelet series and multiresolution wavelet decompositions, the multivariate non-linear model can then be converted into a linear-in-theparameters problem, which can be solved using least-squares type methods. An efficient model structure determination approach based upon a forward orthogonal least squares (OLS) algorithm, which involves a stepwise orthogonalization of the regressors and a forward selection of the relevant model terms based on the error reduction ratio (ERR), is employed to solve the linear-in-the-parameters problem in the present study. The new modelling structure is referred to as a wavelet-based ANOVA decomposition of the NARX model or simply WANARX model, and can be applied to represent high-order and high dimensional non-linear systems

Real-time extraction of the Madden-Julian oscillation using empirical mode decomposition and statistical forecasting with a VARMA model

A simple guide to the new technique of empirical mode decomposition (EMD) in a meteorological-climate forecasting context is presented. A single application of EMD to a time series essentially acts as a local high-pass filter. Hence, successive applications can be used to produce a bandpass filter that is highly efficient at extracting a broadband signal such as the Madden-Julian Oscillation (MJO). The basic EMD method is adapted to minimize end effects, such that it is suitable for use in real time. The EMD process is then used to efficiently extract the MJO signal from gridded time series of outgoing longwave radiation (OLR) data. A range of statistical models from the general class of vector autoregressive moving average (VARMA) models was then tested for their suitability in forecasting the MJO signal, as isolated by the EMD. A VARMA (5, 1) model was selected and its parameters determined by a maximum likelihood method using 17 yr of OLR data from 1980 to 1996. Forecasts were then made on the remaining independent data from 1998 to 2004. These were made in real time, as only data up to the date the forecast was made were used. The median skill of forecasts was accurate (defined as an anomaly correlation above 0.6) at lead times up to 25 days