L.L. Scharf

Publications (3)7.26 Total impact

• Article: Locally Most Powerful Invariant Tests for Correlation and Sphericity of Gaussian Vectors

  D. Ramírez, J. Vía, I. Santamaría, L. L. Scharf
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  ABSTRACT: In this paper we study the existence of locally most powerful invariant tests (LMPIT) for the problem of testing the covariance structure of a set of Gaussian random vectors. The LMPIT is the optimal test for the case of close hypotheses, among those satisfying the invariances of the problem, and in practical scenarios can provide better performance than the typically used generalized likelihood ratio test (GLRT). The derivation of the LMPIT usually requires one to find the maximal invariant statistic for the detection problem and then derive its distribution under both hypotheses, which in general is a rather involved procedure. As an alternative, Wijsman's theorem provides the ratio of the maximal invariant densities without even finding an explicit expression for the maximal invariant. We first consider the problem of testing whether a set of $N$-dimensional Gaussian random vectors are uncorrelated or not, and show that the LMPIT is given by the Frobenius norm of the sample coherence matrix. Second, we study the case in which the vectors under the null hypothesis are uncorrelated and identically distributed, that is, the sphericity test for Gaussian vectors, for which we show that the LMPIT is given by the Frobenius norm of a normalized version of the sample covariance matrix. Finally, some numerical examples illustrate the performance of the proposed tests, which provide better results than their GLRT counterparts.
  04/2012;
• Source

  Available from: unican.es

  Article: Detection of Spatially Correlated Gaussian Time Series

  D. Ramírez, J. Via, I. Santamaría, L.L. Scharf
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  ABSTRACT: This work addresses the problem of deciding whether a set of realizations of a vector-valued time series with unknown temporal correlation are spatially correlated or not. For wide sense stationary (WSS) Gaussian processes, this is a problem of deciding between two different power spectral density matrices, one of them diagonal. Specifically, we show that for arbitrary Gaussian processes (not necessarily WSS) the generalized likelihood ratio test (GLRT) is given by the quotient between the determinant of the sample space-time covariance matrix and the determinant of its block-diagonal version. Furthermore, for WSS processes, we present an asymptotic frequency-domain approximation of the GLRT which is given by a function of the Hadamard ratio (quotient between the determinant of a matrix and the product of the elements of the main diagonal) of the estimated power spectral density matrix. The Hadamard ratio is known to be the GLRT detector for vector-valued random variables and, therefore, what this paper shows is how frequency-dependent Hadamard ratios must be merged into a single test statistic when the vector-valued random variable is replaced by a vector-valued time series with temporal correlation. For bivariate time series, the derived frequency domain detector can be rewritten as a function of the well-known magnitude squared coherence (MSC) spectrum, which suggests a straightforward extension of the MSC spectrum to the general case of multivariate time series. Finally, the performance of the proposed method is illustrated by means of simulations.
  IEEE Transactions on Signal Processing 11/2010; · 2.63 Impact Factor
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  Available from: edu.cn

  Conference Proceeding: Multiantenna spectrum sensing: Detection of spatial correlation among time-series with unknown spectra

  D. Ramirez, J. Via, I. Santamaria, R. Lopez-Valcarce, L.L. Scharf
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  ABSTRACT: One of the key problems in cognitive radio (CR) is the detection of primary activity in order to determine which parts of the spectrum are available for opportunistic access. This detection task is challenging, since the wireless environment often results in very low SNR conditions. Moreover, calibration errors and imperfect analog components at the CR spectral monitor result in uncertainties in the noise spectrum, making the problem more difficult. In this work, we present a new multiantenna detector which is based on the fact that the observation noise processes are spatially uncorrelated, whereas any primary signal present should result in spatial correlation. In particular, we derive the generalized likelihood ratio test (GLRT) for this problem, which is given by the quotient between the determinant of the sample covariance matrix and the determinant of its block-diagonal version. For stationary processes the GLRT tends asymptotically to the integral of the logarithm of the Hadamard ratio of the estimated power spectral density matrix. Additionally, we present an approximation of the frequency domain detector in the low SNR regime, which results in computational savings. The performance of the proposed detectors is evaluated by means of numerical simulations, showing important advantages over existing detectors.
  Acoustics Speech and Signal Processing (ICASSP), 2010 IEEE International Conference on; 04/2010 · 4.63 Impact Factor