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Adaptive Robust Efficient Methods for Periodic Signal Processing Observed with Colours Noises

Abstract

In this paper, we consider the problem of robust adaptive efficient estimating a periodic signal observed in the transmission channel with the dependent noise defined by non-Gaussian Ornstein-Uhlenbeck processes with unknown correlation properties. Adaptive model selection procedures, based on the shrinkage weighted least squares estimates, are proposed. The comparison between shrinkage and least squares methods is studied and the advantages of the shrinkage methods are analyzed. Estimation properties for proposed statistical algorithms are studied on the basis of the robust mean square accuracy defined as the maximum mean square estimation error over all possible values of unknown noise parameters. Sharp oracle inequalities for the robust risks have been obtained. The robust efficiency of the model selection procedure has been established.

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Adaptive Robust Efficient Methods for Periodic Signal Processing Observed with Colours Noises

Author: Pchelintsev, Evgeny
Publisher: Vysoká škola báňská - Technická univerzita Ostrava
Year: 2019
DOI: 10.15598/aeee.v17i3.3132
Source: https://dspace.vsb.cz/bitstreams/f383fdd4-7653-4f3b-b7bd-efab349d8a9b/download
INFORMATION AND COMMUNICATION TECHNOLOGIES AND SERVICES VOLUME: 17 |NUMBER: 3 |2019 |SEPTEMBER
Adap i e Robus E icien Me hods o Pe iodic
Signal P ocessing Obse ed wi h Colou s Noises
E geny PCHELINTSEV 1,2, Se guei PERGAMENSHCHIKOV 3,4, Ma iana MARCOKOVA5,6
1Depa men o Ma hema ical Analysis and Theo y o Func ions, Facul y o Mechanics and Ma hema ics,
Tomsk S a e Uni e si y, Lenin A enue 36, 634050 Tomsk, Russia
2In e na ional Labo a o y o S a is ics o S ochas ic P ocesses and Quan i a i e Finance,
Tomsk S a e Uni e si y, Lenin A enue 36, 634050 Tomsk, Russia
3Labo a o y o Ma hema ics Raphael Salem, Uni e si y o Rouen No mandie,
A enue de l’Uni e si e 12, 76801 Sain E ienne du Rou ay, F ance
4In e na ional Labo a o y o S a is ics o S ochas ic P ocesses and Quan i a i e Finance,
Tomsk S a e Uni e si y, Lenin A enue 36, 634050 Tomsk, Russia
5Depa men o S uc u al Mechanics and Applied Ma hema ics, Facul y o Ci il Enginee ing,
Uni e si y o Zilina, Uni e zi na 8215/1, 010 26 Zilina, Slo ak Republic
6Depa men o Elec onics and Nanoelec onics,
Na ional Resea ch Uni e si y "Moscow Powe Enginee ing Ins i u e",
K asnokaza mennaya 14, 111250 Moscow, Russia
e gen-pch@yandex. u, se ge.pe gamench chik[email p o ec ed], ma iana.ma coko a@ s a .uniza.sk
DOI: 10.15598/aeee. 17i3.3132
Abs ac . In his pape , we conside he p oblem
o obus adap i e e icien es ima ing a pe iodic sig-
nal obse ed in he ansmission channel wi h he
dependen noise de ined by non-Gaussian O ns ein-
Uhlenbeck p ocesses wi h unknown co ela ion p ope -
ies. Adap i e model selec ion p ocedu es, based on
he sh inkage weigh ed leas squa es es ima es, a e p o-
posed. The compa ison be ween sh inkage and leas
squa es me hods is s udied and he ad an ages o he
sh inkage me hods a e analyzed. Es ima ion p ope ies
o p oposed s a is ical algo i hms a e s udied on he
basis o he obus mean squa e accu acy de ined as he
maximum mean squa e es ima ion e o o e all pos-
sible alues o unknown noise pa ame e s. Sha p o a-
cle inequali ies o he obus isks ha e been ob ained.
The obus e iciency o he model selec ion p ocedu e
has been es ablished.
Keywo ds
Asymp o ic e iciency, model selec ion, non-
pa ame ic eg ession, O ns ein-Uhlenbeck p o-
cess, pe iodic signals, obus quad a ic isk,
sha p o acle inequali y, sh inkage es ima ion,
weigh ed leas squa es es ima es.
1. In oduc ion
In his pape , we conside he es ima ion p oblem o
he 1-pe iodic signal S( )on he basis o obse a ions
(y )0≤ ≤ngi en by he s ochas ic di e en ial equa ion:
dy =S( )d +dξ ,0≤ ≤n, (1)
whe e nis he du a ion o obse a ion and (ξ )0≤ ≤n
is unobse ed colou noise. No e ha i (ξ )0≤ ≤nis
B ownian mo ion, hen we ob ain he well-known "sig-
nal + whi e noise" model which is e y popula in s a-
is ical adio-physics (see, o example, [1], [2] and [3]).
In his pape , we assume ha he use ul signal Sis
dis o ed by he impulse low desc ibed by he non-
Gaussian O ns ein-Uhlenbeck p ocesses, which allows
s udying he signal es ima ion p oblems wi h depen-
den pulse noises, i.e. we assume ha he noise p ocess
(ξ )0≤ ≤nobeys he equa ion:
dξ =aξ d +du ,(2)
u = ´n1w + ´n2z and z =x∗(µ−˜µ) ,
whe e a,´n1and ´n2a e some unknown cons an s,
(w ) ≥0is he s anda d B ownian mo ion, µ(ds dx)
is he jump measu e wi h de e minis ic compensa o
˜µ(ds dx) = dsΠ (dx),Π(·)is he Le y measu e, i.e.
some posi i e measu e on R∗=R {0}, such ha
Πx2= 1 and Πx6<∞. He e we use he no-
a ion Π (|x|m) = RR∗|y|mΠ (dy). No e ha he Le y
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measu e Π (R∗)could be equal o +∞. We use ∗ o he
s ochas ic in eg als wi h espec o andom measu es
(see [4], Chap e s 2 and 3), i.e.:
x∗(µ−˜µ) =
Z
0Z
R∗
y(µ−˜µ) (ds, dy).(3)
I should be no ed ha i a= 0, hen we ob ain he
Le y eg ession model conside ed in [5]. In he case
when Π (·) = 0 we ob ain he well-known Gaussian
O ns ein-Uhlenbeck eg ession model in oduced in [6]
and [7]. The model in he Eq. (1) and Eq. (2) in which
he jump p ocess (z ) ≥0is de ined by he compound
Poisson p ocess was s udied in [8] and [9]. Howe e ,
he compound Poisson p ocesses can desc ibe only he
la ge noise impulses o small ixed equency, bu he
elecommunica ion and loca ion sys ems may ha e he
impulse noises wi h any equency wi hou any condi-
ion. We no e ha in he pape s [8] and [9] he p o-
posed s a is ical p ocedu es a e based on he classical
weigh ed leas squa es es ima o s.
The main goal o his pape is o de elop a new
imp o ed adap i e obus e icien signal es ima ion
me hods o he non-Gaussian O ns ein-Uhlenbeck
noise (ξ )0≤ ≤nbased on he gene al Le y p ocesses
wi h unknown dis ibu ion Q. We assume ha his
dis ibu ion belongs o he class Q∗
nde ined as a am-
ily o all hese dis ibu ions o which he pa ame e s
−a∗≤a < 0,´n1≥ξ∗and ´n2
1+ ´n2
2≤ξ∗, whe e a∗,
ξ∗and ξ∗a e some ixed posi i e bounds. The quali y
o an es ima e ˆ
Sno he unknown signal S, i.e. some
unc ion o (y )0≤ ≤n, will be measu ed wi h he obus
quad a ic isk:
R∗ˆ
Sn, S= sup
Q∈Q∗
n
RQˆ
Sn, S,(4)
whe e
RQˆ
Sn, S:=EQ,S 


ˆ
Sn−S


2
and (5)
kSk2=
1
Z
0
S2( )d .
He e EQ,S is he expec a ion wi h espec o he dis i-
bu ion PQ,S o he p ocess in he Eq. (1) wi h a ixed
dis ibu ion Qo he noise (ξ )0≤ ≤nand a gi en unc-
ion S.
2. Sh inkage Es ima ion
Me hods
Le (φj)j≥1be a igonome ic basis in L2[0,1]. We
ex end hese unc ions by he pe iodic way on Ri.e.
φj( ) = φj( + 1) o any ∈R. Fo es ima ing he
unknown unc ion Sin he Eq. (1), we conside i s
Fou ie expansion:
S( ) = ∞
X
j=1
θjφj( )
and (6)
θj= (S, φj) =
1
Z
0
S( )φj( )d .
The Fou ie coe icien s θjcan be es ima ed as:
ˆ
θj,n =1
n
n
Z
0
φj( )dy .(7)
We de ine a class o weigh ed leas squa es es ima es
o S( )as:
ˆ
Sλ=
n
X
j=1
λ(j)ˆ
θj,nφj,(8)
whe e he weigh s λ∈Rnbelong o some ini e se Λ
om [0,1]n.
Now, o he i s d≤nFou ie coe icien s in
Eq. (6), we use he imp o ed es ima ion me hod p o-
posed o pa ame ic models in [10] and [11]. To his
end we se ˜
θn=ˆ
θj,n1≤j≤d. In he sequel, we will use
he no m |x|2
d=
d
P
j=1
x2
j o any ec o x= (xj)1≤j≤d
om Rn. Now we de ine he sh inkage es ima o s as:
θ∗
j,n = (1 −g(j)) ˆ
θj,n,(9)
whe e g(j) = cn
|˜
θn|d
1{1≤j≤d},1Ais he indica o o
he se Aand cnis some known pa ame e such ha
cn≈d
nas n→ ∞. Now we in oduce a class o sh ink-
age weigh ed leas squa es es ima es o Sas:
S∗
λ=
n
X
j=1
λ(j)θ∗
j,nφj.(10)
We deno e he di e ence o quad a ic isks o he es i-
ma es in Eq. (10) and Eq. (8) as ∆Q(S):=RQ(S∗
λ, S)−
RQˆ
Sλ, S. Now o his de ia ion, we ob ain he ol-
lowing esul .
Theo em 1 Assume ha o any ec o λ∈Λ he e
exis s some ixed in ege d=d(λ)such ha hei i s
dcomponen s equal o one. Then o any n≥1and
> 0:
sup
Q∈Qn
sup
kSk≤
∆Q(S)<−c2
n.(11)
The inequali y in Eq. (11) means ha non-
asymp o ically, i.e. o any n≥1 he es ima e in he
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Eq. (10) ou pe o ms in mean squa e accu acy he es-
ima e in he Eq. (8). Mo eo e , as we will see below,
ncn→ ∞ as n→ ∞. This means ha he imp o e-
men e ec in he nonpa ame ic case is mo e signi i-
can han o pa ame ic eg ession [11].
3. Model Selec ion P ocedu e
This Sec ion gi es he cons uc ion o a model selec ion
p ocedu e o es ima ing a unc ion Sin he Eq. (1) on
he basis o imp o ed weigh ed leas squa es es ima es
and s a es he sha p o acle inequali y o he obus
isk o he p oposed p ocedu e.
The model selec ion p ocedu e o he unknown unc-
ion Sin he Eq. (1) will be cons uc ed on he basis o
a amily o es ima es (S∗
λ)λ∈Λ. The pe o mance o any
es ima e S∗
λwill be measu ed by he empi ical squa ed
e o :
E n(λ) = kS∗
λ−Sk2.(12)
In o de o ob ain a good es ima e, we ha e o w i e
a ule o choose a weigh ec o λ∈Λin he Eq. (6).
I is ob ious ha he bes app oach is o minimize he
empi ical squa ed e o wi h espec o λ. Making use
he es ima e de ini ion in he Eq. (6) and he Fou ie
ans o ma ion o Simplies:
E n(λ) =
n
X
j=1
λ2(j)θ∗
j,n2−2
n
X
j=1
λ(j)θ∗
j,nθj+
n
X
j=1
θ2
j.
(13)
Since he Fou ie coe icien s (θj)j≥1a e unknown, he
weigh coe icien s (λj)j≥1canno be ound by mini-
mizing his quan i y. To ci cum en his di icul y one
needs o eplace he e ms θ∗
j,nθjby hei es ima o s
˜
θj,n. We se :
˜
θj,n =θ∗
j,n ˆ
θj,n −ˆσn
n,(14)
whe e ˆσnis he es ima e o he noise a iance o
σQ=EQξ2
j,n which we choose in he ollowing o m:
ˆσn=
n
X
j=[√n]+1
ˆ
2
j,n and ˆ
j,n =1
n
n
Z
0
φj( )dy .(15)
Fo his change in he empi ical squa ed e o , one has
o pay some penal y. Thus, one comes o he cos unc-
ion o he o m:
Jn(λ) =
n
X
j=1
λ2(j)θ∗
j,n2−2
n
X
j=1
λ(j)˜
θj,n +δˆ
Pn(λ),
(16)
whe e δis some posi i e cons an and ˆ
Pn(λ)is he
penal y e m de ined as:
ˆ
Pn(λ) = ˆσn|λ|2
n
n.(17)
Subs i u ing he weigh coe icien s, minimizing he
cos unc ion:
λ∗= a gmin
λ∈Λ
Jn(λ)(18)
in he Eq. (10) leads o he imp o ed model selec ion
p ocedu e:
S∗=S∗
λ∗.(19)
I will be no ed ha λ∗exis s because Λis a ini e se .
I he minimizing sequence in he Eq. (18) λ∗is no
unique, one can ake any minimize . In he case, when
he alue o σQis known, one can ake ˆσn=σQand
Pn(λ) = σQ|λ|2
nn−1.
Theo em 2 Fo any n≥2and 0< δ < 1
2, he obus
isks de ined in he Eq. (4) o es ima e in he Eq. (19)
o con inuously di e en iable unc ion Ssa is ies he
o acle inequali y:
R∗(S∗
λ∗, S)≤1+5δ
1−δmin
λ∈ΛR∗(S∗
λ, S) + B∗
n
nδ ,(20)
whe e he e m B∗
nis independen o Sand such ha
B∗
nn−→0as n→ ∞ o any  > 0.
The inequali y in Eq. (20) allows us o es ablish ha
he p ocedu e in he Eq. (19) is op imal in he o acle
inequali ies sense. This p ope y enables o p o ide
asymp o ic e iciency in he adap i e se ing, i.e. when
in o ma ion abou he signal egula i y is unknown.
4. Asymp o ic E iciency
In o de o s udy he asymp o ic e iciency, we de ine
he ollowing unc ional Sobole ball:
Wk, =( ∈Ck
p[0,1] :
k
X
i=0 

 (i)


2≤ ),(21)
whe e > 0and k≥1a e some unknown pa ame e s,
Ck
p[0,1] is he space o k imes di e en iable 1-pe iodic
unc ions such ha o any 0≤i≤k−1 : (i)(0) =
(i)(1). In o de o o mula e ou asymp o ic esul s
we se :
n=n
ξ∗, lk( ) = ((2k+ 1) )1
(2k+1) k
π(k+ 1)2k
(2k+1)
(22)
and we deno e by Σno all es ima es ˆ
Sno Smea-
su able wi h espec o he σ-algeb a gene a ed by he
p ocess in he Eq. (1).
Theo em 3 The obus isk de ined in he Eq. (4) ad-
mi s he ollowing asymp o ic lowe bound:
lim in
n→∞ in
ˆ
Sn∈Σn
2k/(2k+1)
nsup
S∈Wk,
R∗ˆ
Sn, S≥lk( ).
(23)
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This lowe bound is sha p in he ollowing sense.
Theo em 4 The obus isk de ined in he Eq. (4) o
he es ima ing p ocedu e in he Eq. (19) has he ollow-
ing asymp o ic uppe bound:
lim sup
n→∞
2k/(2k+1)
nsup
S∈Wk,
R∗(S∗, S)≤lk( ).(24)
Theo em 3 and Thm. 4 imply ha he model selec ion
p ocedu e S∗is e icien and he pa ame e lk( )de-
ined in he Eq. (22) is he Pinske cons an in his case
[3].
5. Mon e Ca lo Simula ions
In his sec ion, we epo he esul s o a Mon e Ca lo
expe imen o assess he pe o mance o he p oposed
model selec ion p ocedu e in he Eq. (19). In he
Eq. (1) we choose 1-pe iodic unc ion Swhich is de ined
as S( ) = sin(2π ) + 2(1 − ) cos(2π ), o 0≤ ≤1.
We simula e he Eq. (1) wi h he noise p ocess de ined
as:
dξ =−ξ d + 0.5dw + 0.5dz ,(25)
whe e z =
N
P
j=1
Yj,N is a Poisson p ocess wi h he
in ensi y λ= 1 and (Yj)j≥1is i.i.d. Gaussian (0,1).
We use he model selec ion p ocedu e de ined in he
Eq. (19) wi h he weigh s p oposed in [8]: k∗=
100 + √ln n,=1
ln nand m=1
2. We used he
cos unc ion wi h δ= (3 + ln n)−2. We de ine he em-
pi ical isk as ¯
R˜
S, S=1
p
p
P
j=1
ˆ
E˜
Sn( j)−S( j)2
and ˆ
E˜
Sn(·)−S(·)2=1
N
N
P
l=1 ˜
Sl
n(·)−S(·)2wi h
he equency o obse a ions p= 100001 and numbe s
o eplica ions N= 10000.
Table 1 gi es he alues o he sample isks o di -
e en numbe s o obse a ion pe iod n.
Tab. 1: Empi ical isks.
n¯
R˜
S, S¯
R(S∗, S)¯
R˜
S, S/¯
R(S∗, S)
100 0.0457 0.0289 1.6
200 0.0216 0.0089 2.4
500 0.0133 0.0021 6.3
1000 0.098 0.0011 8.9
6. Conclusion
In his pape , we conside ed he p oblem o nonpa a-
me ic signal p ocessing on he basis o he obse a-
ions wi h he dependen non-Gaussian impulse noises.
We de eloped adap i e e icien s a is ical model selec-
ion p ocedu es based on he sh inkage me hods and we
ha e shown ha he sh inkage es ima ion me hods con-
side ably imp o e he non-asymp o ic es ima ion accu-
acy. The ob ained heo e ical esul s a e con i med by
he nume ical simula ion. I u ns ou ha nume ically
he imp o emen e ec may inc ease 10 imes. Nex ,
o he de eloped s a is ical me hods we ob ained he
adap i e e iciency p ope y, which means ha we p o-
ide he bes mean squa es accu acy wi hou using he
smoo hness in o ma ion abou he o m o unknown
signal. Mo eo e , in his pape , we s udied he accu-
acy p ope ies o he p oposed me hods on he basis
o he obus app oach, i.e. uni o mly o e all possible
unknown noise dis ibu ions. This allows us o syn-
hesize he s a is ical algo i hms possessing he high
noise immuni y p ope ies. The esul s ( hei sa is ac-
o y conco dance wi h he co esponding expe imen al
da a) can be used o he es ima ion o he signals.
Such p oblems a e o a g ea impo ance in he ields
o adio-and-hyd oacous ic communica ions and posi-
ioning, adio-and-hyd oloca ion, e c. (see [12] and e -
e ences he ein).
Acknowledgmen
The esul s o his wo k a e suppo ed by he Min-
is y o Science and Highe Educa ion o he Russian
Fede a ion in he amewo k o he esea ch p ojec
no. 2.3208.2017/4.6. The second au ho is pa ially
suppo ed by he Russian Fede al P o esso P og am,
p ojec no. 1.472.2016/1.4 (Minis y o Science and
Highe Educa ion o he Russian Fede a ion) and by
he p ojec X e M-Fede , Uni e si y o Rouen. The
esul s o Sec. 4. and Sec. 5. a e suppo ed by he
RSF g an numbe 17-11-01049.
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Abou Au ho s
E geny PCHELINTSEV was bo n in Alma y,
Kazakhs an. He ecei ed his M.Sc. in Ma hema ics
om Tomsk S a e Uni e si y in 2009, Ph.D. in
Applied Ma hema ics and S a is ics om Tomsk
S a e Uni e si y and Rouen Uni e si y in 2012. His
esea ch in e es s include s a is ical modelling and
iden i ica ion o s ochas ic dynamic sys ems, so
compu ing, and simula ion.
Se guei PERGAMENSHCHIKOV was bo n
in Tomsk, Russia. He ecei ed his M.Sc. om Tomsk
S a e Uni e si y in 1980, Ph.D. in P obabili y Theo y
and S a is ics om Tomsk S a e Uni e si y in 1986,
Doc o o Sciences in Ma hema ics om Cen al
Economics and Ma hema ics Ins i u e o RAS in 1994.
His esea ch in e es s include s a is ical modelling
and iden i ica ion o s ochas ic dynamic sys ems,
s ochas ic di e en ial equa ions, op imiza ion, and
con ol.
Ma iana MARCOKOVA was bo n in T en-
cianska Tepla, Slo ak Republic. She ecei ed he
Mas e deg ee in eache aining o ma hema ics
and physics a Comenius Uni e si y in B a isla a,
Slo ak Republic in 1970. Since 1970 she wo ked as
a eache o ma hema ics a se e al ma hema ical
depa men s a Uni e si y o Zilina, Slo ak Republic
( o me he Uni e si y o T anspo in Zilina), in he
las 25 yea s as an associa e p o esso o ma hema ics
and in he las 5 yea s also as he associa e p o esso
a Moscow Powe Enginee ing Ins i u e, Russia. A e
doc o al s udies in ma hema ical analysis a Palacky
Uni e si y in Olomouc, Czech Republic, she ob ained
he deg ees: RND . and CSc. He esea ch in e es s
include special unc ions, o hogonal polynomials, and
applied ma hema ics.
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