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Covariance of Replicated Modulated Cyclical Time Series

Olhede, SC; Ombao, H; Covariance of Replicated Modulated Cyclical Time Series.

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This paper introduces the novel class of modulated cyclostationary processes, a class of non-stationary processes exhibiting frequency coupling, and proposes a method of their estimation from repeated trials. Cyclostationary processes also exhibit frequency correlation but have Loeve spectra whose support lies only on parallel lines in the dual-frequency plane. Such extremely sparse structure does not adequately represent many biological processes. Thus, we propose a model that, in the time domain, modulates the covariance of cyclostationary processes and consequently broadens their frequency support in the dual-frequency plane. The spectra and the cross-coherence of the proposed modulated cyclostationary process are first estimated using multitaper methods. A shrinkage procedure is then applied to each trial-specific estimate to reduce the estimation risk. Multiple trials of each series are observed. When combining information across trials, we carefully take into account the bias that may be introduced by phase misalignment and the fact that the Loeve spectra and cross-coherence across replicates may only be "similar" - but not necessarily identical - across replicates. The application of the inference methods developed for the modulated cyclostationary model to EEG data also demonstrates that the proposed model captures statistically significant cross-frequency interactions, that ought to be further examined by neuroscientists.

Type: Article
Title: Covariance of Replicated Modulated Cyclical Time Series
Additional information: 25 pages, 7 figures
Keywords: stat.ME, stat.ME, stat.AP, 62M10, 62M15
URI: http://discovery.ucl.ac.uk/id/eprint/1364491
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