相关论文: On the frequency domain detection of high dimensio…
This paper analyzes the detection of a M-dimensional useful signal modeled as the output of a M xK MIMO filter driven by a K-dimensional white Gaussian noise, and corrupted by a M-dimensional Gaussian noise with mutually uncorrelated…
We investigate the asymptotic distribution of the maximum of a frequency smoothed estimate of the spectral coherence of a M-variate complex Gaussian time series with mutually independent components when the dimension M and the number of…
In this paper, we consider the problem of testing equality of the covariance matrices of L complex Gaussian multivariate time series of dimension $M$ . We study the special case where each of the L covariance matrices is modeled as a rank K…
The asymptotic behaviour of Linear Spectral Statistics (LSS) of the smoothed periodogram estimator of the spectral coherency matrix of a complex Gaussian high-dimensional time series $(\y_n)_{n \in \mathbb{Z}}$ with independent components…
This paper investigates the signal detection problem in colored Gaussian noise with an unknown covariance matrix. To be specific, we consider a sample deficient scenario in which the number of signal bearing samples ($n$) is strictly…
Interpretable classification of time series presents significant challenges in high dimensions. Traditional feature selection methods in the frequency domain often assume sparsity in spectral density matrices (SDMs) or their inverses, which…
A useful approach for analysing multiple time series is via characterising their spectral density matrix as the frequency domain analog of the covariance matrix. When the dimension of the time series is large compared to their length,…
Spectral density matrix estimation of multivariate time series is a classical problem in time series and signal processing. In modern neuroscience, spectral density based metrics are commonly used for analyzing functional connectivity among…
We study the problem of detection of a high-dimensional signal function in the white Gaussian noise model. As well as a smoothness assumption on the signal function, we assume an additive sparse condition on the latter. The detection…
Analyzing time series in the frequency domain enables the development of powerful tools for investigating the second-order characteristics of multivariate processes. Parameters like the spectral density matrix and its inverse, the coherence…
This paper proposes a frequency domain approach to test the hypothesis that a complex-valued vector time series is proper, i.e., for testing whether the vector time series is uncorrelated with its complex conjugate. If the hypothesis is…
The asymptotic behaviour of Linear Spectral Statistics (LSS) of the smoothed periodogram estimator of the spectral coherency matrix of a complex Gaussian high-dimensional time series $(\y_n)_{n \in \mathbb{Z}}$ with independent components…
We observe a $N\times M$ matrix $Y_{ij}=s_{ij}+\xi_{ij}$ with $\xi_{ij}\sim {\mathcal {N}}(0,1)$ i.i.d. in $i,j$, and $s_{ij}\in \mathbb {R}$. We test the null hypothesis $s_{ij}=0$ for all $i,j$ against the alternative that there exists…
This paper addresses the behaviour of a classical multi-antenna GLRT test that allows to detect the presence of a known signal corrupted by a multi-path propagation channel and by an additive white Gaussian noise with unknown spatial…
The detection problem in statistical signal processing can be succinctly formulated: Given m (possibly) signal bearing, n-dimensional signal-plus-noise snapshot vectors (samples) and N statistically independent n-dimensional noise-only…
I demonstrate a simple example of how the time series obtained from searches for ultralight bosonic dark matter (DM), such as the axion, can be used to determine whether it is in a coherent or incoherent quantum state. The example is…
We consider a matrix-valued Gaussian sequence model, that is, we observe a sequence of high-dimensional $M \times N$ matrices of heterogeneous Gaussian random variables $x_{ij,k}$ for $i \in\{1,...,M\}$, $j \in \{1,...,N\}$ and $k \in…
Multivariate time series may be subject to partial structural changes over certain frequency band, for instance, in neuroscience. We study the change point detection problem with high dimensional time series, within the framework of…
Testing for white noise is a classical yet important problem in statistics, especially for diagnostic checks in time series modeling and linear regression. For high-dimensional time series in the sense that the dimension $p$ is large in…
We investigate the potential of quickest detection based on the eigenvalues of the sample covariance matrix for spectrum sensing applications. A simple phase shift keying (PSK) model with additive white Gaussian noise (AWGN), with $1$…