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On the Analytic Wavelet Transform

Lilly, JM; Olhede, SC; (2010) On the Analytic Wavelet Transform. IEEE T INFORM THEORY , 57 (8) pp. 4135-4156. 10.1109/TIT.2010.2050935.

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An exact and general expression for the analytic wavelet transform of a real-valued signal is constructed, resolving the time-dependent effects of nonnegligible amplitude and frequency modulation. The analytic signal is first locally represented as a modulated oscillation, demodulated by its own instantaneous frequency, and then Taylor-expanded at each point in time. The terms in this expansion, called the instantaneous modulation functions, are time-varying functions which quantify, at increasingly higher orders, the local departures of the signal from a uniform sinusoidal oscillation. Closed-form expressions for these functions are found in terms of Bell polynomials and derivatives of the signal's instantaneous frequency and bandwidth. The analytic wavelet transform is shown to depend upon the interaction between the signal's instantaneous modulation functions and frequency-domain derivatives of the wavelet, inducing a hierarchy of departures of the transform away from a perfect representation of the signal. The form of these deviation terms suggests a set of conditions for matching the wavelet properties to suit the variability of the signal, in which case our expressions simplify considerably. One may then quantify the time-varying bias associated with signal estimation via wavelet ridge analysis, and choose wavelets to minimize this bias.

Type: Article
Title: On the Analytic Wavelet Transform
DOI: 10.1109/TIT.2010.2050935
Keywords: Amplitude and frequency modulated signal, analytic signal, complex wavelet, Hilbert transform, wavelet ridge analysis, INSTANTANEOUS FREQUENCY, COMPLEX WAVELETS, SIGNALS, PHASE, RIDGE, MODULATION, QUADRATURE, BANDWIDTH, EDDY
UCL classification: UCL > School of BEAMS > Faculty of Maths and Physical Sciences
UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science
URI: http://discovery.ucl.ac.uk/id/eprint/168449
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