27/11/2009, 16:00 — 17:00 — Room P12, Mathematics Building Hannes Helgason, Ecole Normale Superieure - Lyon
Nonparametric estimation of highly oscillatory signals
We will consider the problem of estimating highly oscillatory signals from noisy measurements. These signals are often referred to as chirps in the literature; they are found everywhere in nature, and frequently arise in scientific and engineering problems. Mathematically, they can be written in the general form A(t) exp(ilambda varphi(t)), where lambda is a large constant base frequency, the phase varphi(t) is time-varying, and the envelope A(t) is slowly varying. Given a sequence of noisy measurements, we study the problem of estimating this chirp from the data.
We introduce novel, flexible and practical strategies for addressing these important nonparametric statistical problems. The main idea is to calculate correlations of the data with a rich family of local templates in a first step, the multiscale chirplets, and in a second step, search for meaningful aggregations or chains of chirplets which provide a good global fit to the data. From a physical viewpoint, these chains correspond to realistic signals since they model arbitrary chirps. From an algorithmic viewpoint, these chains are identified as paths in a convenient graph. The key point is that this important underlying graph structure allows to unleash very effective algorithms such as network flow algorithms for finding those chains which optimize a near optimal trade-off between goodness of fit and complexity.
Our estimation procedures provide provably near optimal performance over a wide range of chirps and numerical experiments show that our estimation procedures perform exceptionally well over a broad class of chirps.