Space-time coherence and its exact null distribution

Nick Klausner, Mahmood Azimi-Sadjadi, Louis Scharf, Douglas Cochran

Research output: Chapter in Book/Report/Conference proceedingConference contribution

5 Citations (Scopus)

Abstract

This paper considers the problem of testing for the independence among multiple (≥ 2) random vectors with each random vector representing a time series captured at one sensor. Implementing the Generalized Likelihood Ratio Test involves testing the null hypothesis that the composite covariance matrix of the channels is block-diagonal through the use of a generalized Hadamard ratio. Using the theory of linear prediction and its connection with Gram determinants, it is shown that this generalized Hadamard ratio can be written as a product of scalars which are independently drawn from a beta distribution under the null hypothesis. This result is useful from a Monte Carlo analysis standpoint in that it is much more computationally efficient to form a product of scalar beta random variables than it is to compute the determinant of complex Wishart matrices.

Original languageEnglish (US)
Title of host publicationICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Pages3919-3923
Number of pages5
DOIs
StatePublished - Oct 18 2013
Event2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Vancouver, BC, Canada
Duration: May 26 2013May 31 2013

Other

Other2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013
CountryCanada
CityVancouver, BC
Period5/26/135/31/13

Fingerprint

Testing
Covariance matrix
Random variables
Time series
Sensors
Composite materials

Keywords

  • Generalized Likelihood Ratio Test
  • Multichannel Coherence
  • Multichannel Signal Detection
  • Test for Block Independence

ASJC Scopus subject areas

  • Signal Processing
  • Software
  • Electrical and Electronic Engineering

Cite this

Klausner, N., Azimi-Sadjadi, M., Scharf, L., & Cochran, D. (2013). Space-time coherence and its exact null distribution. In ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings (pp. 3919-3923). [6638393] https://doi.org/10.1109/ICASSP.2013.6638393

Space-time coherence and its exact null distribution. / Klausner, Nick; Azimi-Sadjadi, Mahmood; Scharf, Louis; Cochran, Douglas.

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings. 2013. p. 3919-3923 6638393.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Klausner, N, Azimi-Sadjadi, M, Scharf, L & Cochran, D 2013, Space-time coherence and its exact null distribution. in ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings., 6638393, pp. 3919-3923, 2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013, Vancouver, BC, Canada, 5/26/13. https://doi.org/10.1109/ICASSP.2013.6638393
Klausner N, Azimi-Sadjadi M, Scharf L, Cochran D. Space-time coherence and its exact null distribution. In ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings. 2013. p. 3919-3923. 6638393 https://doi.org/10.1109/ICASSP.2013.6638393
Klausner, Nick ; Azimi-Sadjadi, Mahmood ; Scharf, Louis ; Cochran, Douglas. / Space-time coherence and its exact null distribution. ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings. 2013. pp. 3919-3923
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