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Correlation between microstructure noise and latent financial logarithmic returns is an empirically relevant phenomenon with sound theoretical justification. With few notable exceptions, all integrated variance estimators proposed in the…
In a recent paper, Flandrin [2015] has proposed filtering based on the zeros of a spectrogram, using the short-time Fourier transform and a Gaussian window. His results are based on empirical observations on the distribution of the zeros of…
We propose a general white noise test for functional time series based on estimating a distance between the spectral density operator of a weakly stationary time series and the constant spectral density operator of an uncorrelated time…
This article deals with the erratic and inconsistent phase-noise spectra often seen in low-noise oscillators, whose floor is of the order of $-180$ dBc/Hz or less. Such oscillators are generally measured with two-channel instruments based…
The Gaussian phase noise of intensity time series is demonstrated to be drastically reduced when the raw voltage data are digitally filtered through an arbitrarily large number $n$ of orthornormal bandpass profiles (eigen-filters) sharing…
We consider estimation models of the form $Y=X^*+N$, where $X^*$ is some $m$-dimensional signal we wish to recover, and $N$ is symmetrically distributed noise that may be unbounded in all but a small $\alpha$ fraction of the entries. We…
We consider the problem of reconstructing a discrete-time signal (sequence) with continuous-valued components corrupted by a known memoryless channel. When performance is measured using a per-symbol loss function satisfying mild regularity…
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an…
This paper addresses the estimation of signals with sublinear sparsity sent over the additive white Gaussian noise channel. This fundamental problem arises in designing denoisers used in message-passing algorithms for sublinear sparsity.…
Conventional algorithms for galaxy power spectrum estimation measure the true spectrum convolved with a survey window function, which, for parameter inference, must be compared with a similarly convolved theory model. In this work, we…
In this paper we consider the construction of simultaneous confidence bands for the spectral density of a stationary time series using a Gaussian approximation for classical lag-window spectral density estimators evaluated at the set of all…
The factor modeling for high-dimensional time series is powerful in discovering latent common components for dimension reduction and information extraction. Most available estimation methods can be divided into two categories: the…
In this brief paper, we present a simple approach to estimate the variance of measurement noise with time-varying 1-D signals. The proposed approach exploits the relationship between the noise variance and the variance of the prediction…
This paper studies two spectrum estimation methods for the case that the samples are obtained at a rate lower than the Nyquist rate. The first method is the correlogram method for undersampled data. The algorithm partitions the spectrum…
We propose a hybrid method combining partial differential equation (PDE) and Monte Carlo (MC) techniques to obtain efficient estimates of statistics for plastic deformation related to kinematic hardening models driven by transient coloured…
We report an accurate measurement of the phase noise of a thermally limited electronic oscillator at 300 K. By thermally limited we mean that the white signal-to-noise ratio of the oscillator is at or near the level generated by the thermal…
New procedures for detecting a change in the cross-sectional mean of panel data are proposed. The procedures rely on estimating nuisance parameters using certain cross-sectional means across panels using a weighted least squares regression.…
This article discusses aeroacoustic imaging methods based on correlation measurements in the frequency domain. Standard methods in this field assume that the estimated correlation matrix is superimposed with additive white noise. In this…
Zero-noise extrapolation provides a practical means of suppressing gate errors in current noisy intermediate-scale quantum hardware. The accuracy of the zero-noise estimate depends sensitively on the fidelity of the assumed noise model to…
Cross-spectrum analysis is a commonly-used technique for the detection of phase and amplitude noise of a signal in the presence of interfering noise. It extracts the desired correlated noise from two time series in the presence of…