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Started by Ashok C. Popat
Tue, 28 Nov 1989 18:55
Re: FFT vs ARMA (was FFTs of Low Frequency Signals (really: decimation))
Author: Ashok C. Popat
Date: Tue, 28 Nov 1989 18:55
Date: Tue, 28 Nov 1989 18:55
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In article <99691@ti-csl.csc.ti.com> Stephen Oh writes:
>In article <1989Nov22.170850.21777@athena.mit.edu> ashok@atrp.mit.edu (Ashok C. Popat) writes:
>>Suppose I gave you some data (say 10^6 samples) and told you that the
>>source was ergodic, but nothing else. How would you estimate the
>>spectrum? If you used an ARMA model, how would you decide what the
>>order of the model should be? Wouldn't you have much more confidence
>>in an averaged-periodogram (i.e., DFT-based) estimate? I would.
>
>Your assumption is too strong. You have 10^6 samples with ergodicity?
>What if you have 10^6 samples with only wide sense stationary?
>What if you have 10^6 smaples with only partially w.s.s?
I'm not exactly sure what you mean by "too strong" --- it's a "given"
in the problem. Are you saying that in many applications, waveforms
cannot be usefully modeled as ergodic? If so, I'll buy that. I guess
I shouldn't have used "ergodic," since that lumps too many assumptions
together. How about agreeing that any piecewise stationary process we
discuss is ergodic over each stationary piece (if I hadn't brought up
ergodicity in the first place, this would not have been worth
mentioning, since we'd have to assume piecewise ergodicity to infer
anything it all). That leaves the issue of stationarity. Now from
what I remember of stochastic processes, wide-sense and strict-sense
stationarity are the same if you're dealing exclusively with
second-order statistics (e.g., power spectrum). I guess then I could
have described my hypothetic source as being WSS over 10^6 samples. A
poor model for speech and images, but realistic in other applications.
>BTW, I said that parametric approaches are better than FFTs in terms of
>resolution. If we have only 100 samples and the separation of two frequencies
>is less than 0.01, there is no way to resolve two frequencies using any
>FFT-based method. But AR or ARMA can. :-) :-)
Good point. I thought about this and here's what I came up with. The
duration-bandwidth uncertainty principle says (for continuous-time
waveforms) that
delta_t*delta_f >= 1/pi
where delta_t is the time window size and delta_f is the frequency
resolution (see William Siebert, _Circuits, Signals, and Systems_).
I'm sure a similar result applies in the discrete-time case, but I
don't have a reference off hand --- I'll assume it has the same form.
Now if you're starting with only 100 samples, the uncertainty
principle says that there's simply not enough information in the data
to get a high-resolution spectrum. If you do manage to get a
high-resolution spectrum, the necessary added information must have
come from the model, not the data. What do you think?
>Also, there are several methods to determine the order of the model such as
>AIC, MDL, CAT, etc.
Any recommended reading on these techniques?
Ashok Chhabedia Popat MIT Rm 36-665 (617) 253-7302
Re: FFT vs ARMA (was FFTs of Low Frequency Signals (really: decimation))
Author: Stephen Oh
Date: Wed, 29 Nov 1989 18:45
Date: Wed, 29 Nov 1989 18:45
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In article <1989Nov28.185555.4259@athena.mit.edu> ashok@atrp.mit.edu (Ashok C. Popat) writes:
>I'm not exactly sure what you mean by "too strong" --- it's a "given"
>in the problem. Are you saying that in many applications, waveforms
>cannot be usefully modeled as ergodic?
Yes.
>I guess then I could
>have described my hypothetic source as being WSS over 10^6 samples. A
>poor model for speech and images, but realistic in other applications.
Sure you can do that.
But, still I wonder whether 10^6 wss samples are good or not
since 10^6 samples are too big. Don't you think?
When I said partially wss, for some portions of data: it is wss
but for whole data: it is not.
>Good point. I thought about this and here's what I came up with. The
>duration-bandwidth uncertainty principle says (for continuous-time
>waveforms) that
> delta_t*delta_f >= 1/pi
>where delta_t is the time window size and delta_f is the frequency
>resolution (see William Siebert, _Circuits, Signals, and Systems_).
>I'm sure a similar result applies in the discrete-time case, but I
>don't have a reference off hand --- I'll assume it has the same form.
The resolution = 1/N where N is the number of samples.
>Now if you're starting with only 100 samples, the uncertainty
>principle says that there's simply not enough information in the data
>to get a high-resolution spectrum. If you do manage to get a
>high-resolution spectrum, the necessary added information must have
>come from the model, not the data. What do you think?
I don't know why you brought up the uncertainty principle, but is there
any measure that 100 samples are not enough to get a high resolution
estimate? (This is not a flame, I just want to know)
Your statement is true though: From Kay's book (ISBN 0-13-598582-X),
"Windowing of data or ACF values makes the implicit assumption that
the unobserved data or ACF values outside the window are zero,
which is nomally an unrealistic assumption. A smeared spectral
estimate is a consequence of the windowing. Often, we have more
knowledge about the process from which the data samples are taken,
or at least we are able to make a more reasonable assumption other
than to assume the data of ACF values are zero outside the window."
And I agree with Kay.
>Any recommended reading on these techniques?
1. H. Akaike, "A New Look at Statistical Model Identification," IEEE
Trans. Automat. Contr., Vol. AC-19, 1974
2. E. J. Hannan, "The Estimation of the Order of an ARMA Process,"
Ann. Statist., Vol.8 1980.
3. R. L. Kashyap, "Optimal Choice of AR and MA parts in Autoregressive
Moving Average Models," IEEE Trans. Pattern Anal. Mach.
Intell., Vol PAMI-4, 1982
4. L. Marple, "Digital Spectral Analysis with Applications,"
Prentice-Hall, 1987
5. S. Kay, "Modern Spectral Estimation," Prentice-Hall, 1988
+----+----+----+----+----+----+----+----+----+----+----+----+----+
| Stephen Oh oh@csc.ti.com | Texas Instruments |
| Speech and Image Understandung Lab. | Computer Science Center|
+----+----+----+----+----+----+----+----+----+----+----+----+----+
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