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KLT DSP Part1

The document discusses eigenproblems and their solution via numerical methods. It begins with an introduction to eigenproblems, describing how they involve finding vectors that do not change direction under linear transformation. It then discusses three common algorithms for solving eigenproblems numerically: the Jacobi method, the QR algorithm, and the Lanczos algorithm. The Jacobi method works by performing a sequence of plane rotations to annihilate off-diagonal elements and make the matrix more diagonal. Overall, the document provides background on eigenproblems and their solution, which is important for understanding techniques like principal component analysis and the Karhunen-Loève transform.

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Ifrah Alam
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0% found this document useful (0 votes)
92 views39 pages

KLT DSP Part1

The document discusses eigenproblems and their solution via numerical methods. It begins with an introduction to eigenproblems, describing how they involve finding vectors that do not change direction under linear transformation. It then discusses three common algorithms for solving eigenproblems numerically: the Jacobi method, the QR algorithm, and the Lanczos algorithm. The Jacobi method works by performing a sequence of plane rotations to annihilate off-diagonal elements and make the matrix more diagonal. Overall, the document provides background on eigenproblems and their solution, which is important for understanding techniques like principal component analysis and the Karhunen-Loève transform.

Uploaded by

Ifrah Alam
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 39

Karhunen-Loève Transform and

Digital Signal Processing


part I

Stephane Dumas
jgsdumas@gmail

May 16, 2016


Contents

1 The Eigenproblems 4
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.1.1 Euler’s rotation theorem . . . . . . . . . . . . . . . . . . . 5
1.2 Solving the problem . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.2.1 The Jacobi Method . . . . . . . . . . . . . . . . . . . . . 6
1.2.2 The QR Algorithm . . . . . . . . . . . . . . . . . . . . . . 7
1.2.3 The Lanczos Algorithm . . . . . . . . . . . . . . . . . . . 7
1.2.4 Performance . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.3 Also known as... . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

2 The Karhunen-Loève Transform 10


2.1 The Mathematics behind the KLT . . . . . . . . . . . . . . . . . 10
2.2 How many eigenvalues are enough? . . . . . . . . . . . . . . . . . 11

3 Digital Signal Processing 13


3.1 Fourier Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
3.2 Karhunen-Loève Analysis . . . . . . . . . . . . . . . . . . . . . . 14
3.3 Comparison between FFT and KLT . . . . . . . . . . . . . . . . 15
3.4 Multiple Frequencies . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.5 Phased Shift Keying . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.6 Characterisation of KLT analysis . . . . . . . . . . . . . . . . . . 20
3.7 Detection of unknown signal . . . . . . . . . . . . . . . . . . . . . 23

4 Information Content 24
4.1 Detecting Structure in Signal . . . . . . . . . . . . . . . . . . . . 24
4.2 SETI Quest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

5 The Null Hypothesis Test 27


5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
5.2 Using the KL Expansion . . . . . . . . . . . . . . . . . . . . . . . 27
5.3 Detection of pulses in noise . . . . . . . . . . . . . . . . . . . . . 29
5.4 Detection of complex waveforms . . . . . . . . . . . . . . . . . . 30

1
CONTENTS 2

6 Reconstruction and compression 32


6.1 Data Compression . . . . . . . . . . . . . . . . . . . . . . . . . . 32
6.2 Eigenimage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
6.3 Signal Reconstruction and Gaps . . . . . . . . . . . . . . . . . . 35
Preface

This document is the first part of a report of my work regarding the use of the
Karhunen-Loève Transform and its application to data analysis (i.e. Digital
Signal Processing). I also present some other aspects of the KLT tool regarding
data compression. Several parts of this document have been presented in dif-
ferent conferences. My first application of the eigenproblem was related to my
work on using Principal Component Analysis (PCA) to analyse infrared spectra
in order to classify them. I was able to developed a method to identify unknown
samples when compared to known substances.

Stephane Dumas

3
Chapter 1

The Eigenproblems

1.1 Introduction
The eigenproblems [12, 21] are part of the field known as Functionnal Analysis.
In linear algebra, an eigenvector of a square matrix A is a vector that does not
change direction under the associated linear transformation, as illustrated by
equation 1.1

A~v = λ~v (1.1)


where A is a square matrix, ~v is a vector and λ is a eigenvalue.
Figure 1.1 shows the concept of eigenspace in 2D. The data set of points need
two coordinates to be described in the XY space. After proper rotation into the
eigenspace, the same data now require a single coordinate to perform the same
task. The axes in the eigenspace are defined by the eigenvectors. The reduction
of dimensions to characterise a data set is a major feature of the eigenproblems.
Data compression[18] is an obvious conclusion to this feature.

4
CHAPTER 1. THE EIGENPROBLEMS 5

Figure 1.1: Illustration of the eigenspace in 2D. In the original space (black),
the data required 2 coordinates to located. While in the eigenspace (red), the
data require only 1 coordinate.

1.1.1 Euler’s rotation theorem


The origin of the eigenproblem can be traced back to Leonhard Euler and his
rotation theorem : When a sphere is moved around its centre it is always possible
to find a diameter whose direction in the displaced position is the same as
in the initial position.(in the original latin : Quomodocunque sphaera circa
centrum suum conuertatur, semper assignari potest diameter, cuius directio in
situ translato conueniat cum situ initiali.). This is described in his work untitled
Theoria Motus Corporum Solidorum Seu Rigidorum vol.1 chap.7. puslished in
(1765).
The Euler’s theorem can be summaries as follow. The general displacement
of a rigid body with one point fixes is called a rotation about some axis. It is
characteristic of a rotation that one direction, namely, the axis of rotation is
left unaffected by the rotation. Thus any vector lying along that axis must have
the same components on the initial and final axes.
Given a rotation matrix R, then the relation between the initial and final
vectors are

w
~ = R~v = ~v (1.2)
which is a special case of the more general equation

w
~ = R~v = λ~v (1.3)
after some rearrangements, one can be that

(R − λI)~v = 0 (1.4)
where I is the identity matrix. Equation 1.4 can only be true if and only if
CHAPTER 1. THE EIGENPROBLEMS 6

 
R11 − λ R12 R13
det(R − λI) = 0 = det  R21 R22 − λ R23  (1.5)
R33 R32 R33 − λ
where det(R) is the determinant of the matrix R. This produces three pos-
sibles values for λ (i.e. roots, characteristic values or eigenvalues). Only real
values (as opposed to complex) are valid solutions for this type of problem.
Later (around 1850), the same problem was explored under the name :
the Sturm-Liouville problem. And in the beginning of the 20-th century, H.
Hotelling[11] revisited the problem and expanded it to the form known today.

1.2 Solving the problem


Solving for large eigenproblems could involve N equations of N unknowns. Solv-
ing this problem with an analytical approach is tedious and not practical for
large values of N . The complexity of the problem grows very fast with the
number of λ. It must be solved using numerical methods such as the Jacobi or
the QR algorithms. Computer algorithms are required to process large eigen-
problems.

1.2.1 The Jacobi Method


The Jacobi method[28, 9] consists of a sequence of orthogonal similarly trans-
formations of the form

A′ ← JT AJ (1.6)
It is named after Carl Gustav Jacob Jacobi[13], who first proposed the
method in 1846, but only became widely used in the 1950s with the advent
of computers. Each transformation (e.g. a Jacobi rotation) is just a plane rota-
tion designed to annihilate one of the off-diagonal matrix element. With each
rotation, the matrix becomes more and more diagonal.
The algorithm is relatively easy to implement on a computer but its perfor-
mance decrease a lot with increasing values of N (i.e. order of the matrix to be
processed).
In summary the method is as follow. Choose a pair (p, q) such that 1 ≤ p <
q ≤ n (where n is the rank of the matrix) then compute the corresponding pair
(c, s) (i.e. cosine and sine of the rotating angle θ).
aqq − app
θ≡ (1.7)
2apq
where app , aqq and apq are elements of the matrix A. Then the cosine and
sine are defined as:
CHAPTER 1. THE EIGENPROBLEMS 7

c= √ 1
1+t2

s = tc (1.8)
1
t= √
|θ|+ θ 2 +1

then the matrix J is defined as

1
 
 .. 

 . 

 c ··· s 
.. ..
 
J= (1.9)
 
 . 1 . 


 −s ··· c 

 .. 
 . 
1
It is obvious that the method requires the manipulation of the whole matrix
A all the time and will be become slow for large values of N.

1.2.2 The QR Algorithm


The QR transformation was developed in the late 1950s by John G.F. Francis[6,
7] (England) and by Vera N. Kublanovskaya[16] (USSR). The basic idea behind
the QR algorithm is that any real matrix can be decomposed in the form

A= Q·R (1.10)
where Q is orthogonal and R is upper triangular. The algorithm is based
on the tridiagonal decomposition of the matrix A. The matrix A must be
symmetric. This method is harder to implement but faster than Jacobi.
The decomposition is constructed by applying the Householder[9, 28] trans-
formation to annihilate successive column of A below the diagonal.
This method also requires the manipulation of the whole matrix during the
operations.

1.2.3 The Lanczos Algorithm


The Lanczos algorithm [17], created by Cornelius Lanczos (1950), is a technique
that can be used to solve certain large, sparse, symmetric eigenproblems. The
technique is very fast and appropriate to large matrices. It involves partial
tridiagonalisation of a given matrix A. However, unlike the previous techniques
(e.g. Jacobi, QR, Householder and LU Decomposition), no intermediate, full
sub-matrices are generated.
CHAPTER 1. THE EIGENPROBLEMS 8

Extremal eigenvectors (i.e. Φ1 and Φn ) tend to emerge long before the end of
the tridiagonalisation. This means the algorithm does not have to be executed
on the full range of the eigenvalues.
The algorithm can be summarised by a series of operations to construct
a matrix Tj which is a tridiagonal matrix. The main diagonal is defined by
αi = viT Avi where i is the location of the α from 1 to N (rank of the matrix),
and vi are randomly generated unit vectors. The other diagonals (above and
T
below the main) are defined by βi+1 = vi+1 Avi with B1 = 0. Another equation
is used in the iteration to link α and β, which is βi+1 vi+1 = Avi − αi vi − βi vi−1 .
The matrices T are used to construct the answer of the eigenproblem. A
more elaborated explanation of the Lanczos algorithm can be found in [3, 9].
 
α1 β2 0
 β2 α2 . . .
 

Tj =   (1.11)
 .. .. 
 . . βj 
0 βj αj

1.2.4 Performance
Jacobi and QR methods require access to the whole matrix A while Lanczos can
work on a small part at a time. The only weak chain of the Lanczos algorithm
is the matrix-vector multiplication subroutine.
Table 1.1 shows a series of comparison between Jacobi, QR and Lanczos.
The calculations were performed on the same matrix A and using the same
computer (i.e. AMD Phenon II X4 955). The time for each calculation is a
mean value over several executions.

Table 1.1: Comparison between Jacobi, QR algorithm and Lanczos. The cal-
culations involve a time series vector of N points, which requires a matrix R
of N × N . The Jacobi and QR algorithm are taken from Numerical Recipes.
In this example, the Lanczos algorithm is executed using only two cores of the
CPU.
N Jacobi QR Modified Lanczos
500 0m12.52s 0m1.00s 0m0.09s
1000 2m58.04s 0m26.25s 0m0.31s
2000 32m37.68s 4m24.23s 0m1.51s
4000 n/a 48m0.78s 0m4.56s
8000 n/a n/a 0m12.20s
16000 n/a n/a 0m34.58s
32000 n/a n/a 2m55.42s
64000 n/a n/a 9m47.65s

The author has also wrote a GPU version of the Lanczos algorithm. The
performance is given in table 1.2. This version of the algorithm is used to explore
CHAPTER 1. THE EIGENPROBLEMS 9

the analysis capability of KLT applied to the search of pulsars (see chapter ??).
Note that a matrix of rank 100,000 would require about 10 Gb to be stored
in memory. The Lanczos algorithm requires only about 3.2 Gb to hold all the
buffers (i.e. matrices and vectors).

Table 1.2: Performance of the LANCZOS algorithm running on a GPU (AMD


FIREPRO W8100, using only 256 cores). 100 eigenvalues are computed.
N Time [s]
10,000 4
50,000 13
100,000 53
250,000 280

1.3 Also known as...


The eigenproblems are also known as Principal Component Analysis (PCA),
Singular Value Decomposition (SVD), Singular Spectral Analysis (SSA), Karuhen-
Loève Transform (KLT) and Pisarenko’s Method. Their applications are nu-
merous in several fields of research, as this short list illustrates :

• In biology, it is used to perform bacteria classification via surface enhanced


Raman Spectroscopy.
• In genetics, it is used to analyse and classify genes
• In geology, it is used to study seisms. Geophysicists have used SSA to
analyse a wide variety of time series such as solar oscillations, precipita-
tion, stream flow and sea-surface temperature, chemical constituents of
ice cores, global temperature, magnetosphere dynamics, and suspended
sediment concentration in an estuary.
• In Mathematics, it is used to study chaos theory.

• In climatology, it is used to study the fluctuation of temperature over area


and time.
• In astrophysics, the KLT methods are used for the search of acoustic and
oscillations of the Sun. They are also used for the classification of variable
stars (i.e. 3,200 stars with 51 features).
• The Google ranking page technique. The eigenproblem is at the core of
the search engine developped and used by Google[2].
Chapter 2

The Karhunen-Loève
Transform

2.1 The Mathematics behind the KLT


The Karhunen-Loève Transform [21] was developped by Kari Karhunen1 [14]
and Michel Loève2
The Karhunen-Loève theorem is a representation of a stochastic process as
an infinite linear combination of orthogonal functions, analogous to a Fourier
series representation of a function on a bounded interval. The importance of
the Karhunen-Loève theorem is that it yields the best orthonormal basis in the
sense that it minimises the total mean squared error.
In the case of a centered stochastic process X satisfying a technical continuity
condition, X admits a decomposition given by equ.2.1 where Zk are uncorrelated
random variables and the functions Φk are continuous real-valued orthonormal
functions. The values of Zk are found by projecting the vector X to the functions
Φk .
For a discrete system, the transform is defined as
N
X
X̃[n] = Zk Φk [n] (2.1)
n=1

where X̃ is the estimate of X and Zk defined by


N
X
Zk = X[n]Φk [n] (2.2)
n=1
1 Kari Karhunen (1915–1992) was a probabilist and a mathematical statistician, of Finnish
origin.
2 Michel Loève (January 22, 1907 – February 17, 1979) was a French American probabilist

and a mathematical statistician, of Israeli Jewish origin.

10
CHAPTER 2. THE KARHUNEN-LOÈVE TRANSFORM 11

The functions Φk are also called eigenvectors which define a new orthogonal
axis system (figure 1.1). They are found by solving the eigenproblem associated
X. In the case of X being a time-dependant series, then the problem to solve
is related to the autocorrelation matrix of X (see section 3.2). In the case of
X being spatial-dependent (i.e. image) than the problem would related to the
covariance matrix.

2.2 How many eigenvalues are enough?


Using the equ. 2.1 and doing the sum up to N , the outcome will be the original
data. What is the minimum number of eigenvectors to add in order to obtain a
very good approximation of the original data? This question is important when
facing noise in the signal since the summation must stop before adding the noisy
components.
Most of the methods used to find the value of N are based on how close to
the original signal the estimator must be. However, when the signal contains
noise, those techniques are not useful.
[8] proposed a method to evaluate the minimal number of eigenvectors (Φk )
required to reconstruct the original signal. Its involves the calculation of an
index Jn (equ. 2.3). When Jn ≪ 1, then n eigenvectors are sufficient to recon-
struct a good estimate of the original data.

R(0) − R(T /2N )


Jn = (2.3)
2R(0)
where R is the autocorrelation matrix (equ. 3.3), R(0) is the diagonal value
and R(T /2N ) is the value at a distance T /2N from the diagonal.
There is a simpler method that can be used to get the number of vectors
to be added : a visual inspection of the eigenvalues themselves. Using a plot
of λ, the minimal number of eigenvalues required to rebuild the signal is given
where the curve begin to flatten. The value of the first λk are generally higher
than the rest. Typically, a few λ are required to get a good approximation of
the original data.
CHAPTER 2. THE KARHUNEN-LOÈVE TRANSFORM 12

lambda for single sine


3500
"./sine1.l0.lambda" u 2

3000

2500

2000
amplitude

1500

1000

500

0
0 10 20 30 40 50
N

Figure 2.1: Illustration of a λ-curve.

The author has also found that the relation 4.1 can be useful to detect the
minimal number of φk to add (chapter 4). If the criterion is below 1 then the
KLT method will not find any information in the data.
Chapter 3

Digital Signal Processing

This chapter is listing a series of results using KLT as the main tool in the anal-
ysis of digital signals. The field of Digital Signal Processing (DSP) is dedicated
to the analysis of signals, including any time-varying (i.e. a time series) mea-
surements such as sounds, images, voltages, electrocardiograms, temperatures,
etc. Its main tool is the Fourier Transform. This transform has limitations that
KLT does not and examples will be shown through this chapter.

3.1 Fourier Analysis


The Fourier Analysis takes a continuous function X(t) and described it as a
series of sine functions of different frequencies and amplitudes.

X
X(t) = a0 + an cos(nt) + bn sin(nt) (3.1)
n=1

where the coefficients are given by (the an and bn are projections of X(t) to
the orthonormal functions cos() and sin().).

Z ∞
1
a0 = X(t)dt (3.2a)
2π −∞
1 ∞
Z
an = X(t) cos(nt)dt (3.2b)
π −∞
1 ∞
Z
bn = X(t) sin(nt)dt (3.2c)
π −∞

Computer implementation of the Fourier Transform (i.e. Fast Fourier Trans-


form, FFT) must use a discrete representation of the continuous signal. The
continuous signal must be sampled at a frequency that is at least twice the fre-
quency to study (i.e. the Shannon-Nyquist sampling theorem). The problem

13
CHAPTER 3. DIGITAL SIGNAL PROCESSING 14

Table 3.1: Window functions.


   
Blackman w(n) = 0.42 − 0.50 cos N2πn
−1 + 0.08 cos 4πn
N −1

 
2πn
Hamming w(n) = 0.54 − 0.46 cos N −1

  
Hann w(n) = 0.5 1 − cos N2πn
−1

related to the sampling of the data may introduce artefacts in the resulting dis-
crete signal. One method to reduce those is to apply a windowing technique (i.e.
a convolution with another signal that is based on a Cosine). Typical window
functions are Hanning, Hamming and Blackman. They smooth the edges of the
signal to reduce the artifacts.
Through the Fourier Analysis, parts of the signal frequencies can be removed.
This process is known as filtering. It can be used to remove low and high
frequencies.
Figure 3.1 illustrates the difference between using or not the windowing
function before passing the data through the FFT. The windowing is removing
the small perturbations. More on the use of windowing functions and their
applications can be found in [24].

1
no window
with Hamming

0.8

0.6

0.4

0.2

0
0 5 10 15 20 25

Figure 3.1: Illustration of the FFT with and without windowing.

3.2 Karhunen-Loève Analysis


The Karhunen-Loève Transform can be used to perform the same type of analy-
sis as the Fourier Analysis. Instead of using a series of sine functions as the base
for this analysis, the KLT uses eigenvectors. Those eigenvectors are better than
sine functions to characterise the signal. The KLT can also be used to remove
CHAPTER 3. DIGITAL SIGNAL PROCESSING 15

noise from a signal. The idea is to select only the eigenvectors that contain the
information by inspecting the values of λ.
The eigenproblem associated to this type of analysis is solved by using the
autocorrelation matrix of the signal, defined by equation 3.3.

Z ∞ Z ∞
R(t1 , t2 ) = E[x(t1 )x(t2 )] = x1 x2 f (x1 , x2 ; t1 , t2 )dx1 dx2 (3.3)
∞ ∞

Equation 3.4 shows how to obtain an estimated signal from the first N few
eigenvectors.
N
X
X̃[n] = Zi Φi [n] (3.4)
i=1

The number of eigenvectors required to reconstruct the signal without noise


depend of its complexity. A single frequency signal (e.g. a single sine) will
require only 1 function ( Φ1 (t)). An estimation of the number of eigenvectors
to add can be given by looking at the distribution of λi .
Spectral analysis can also be performed by computing the spectrum of each
eigenvector. For the case a noisy single sine, the spectrum of the first eigenvector
will show the frequency of the sine.
The discretisation of the signal has little effect on the outcome of KLT (there
is no need to pre-process the signal with windowing functions).

3.3 Comparison between FFT and KLT


There are several implementations of the Fast Fourier Transform using software
or hardware. While FFT is faster than KLT, KLT performs better when the
SNR1 is very low.
Figure 3.2 to 3.4 illustrate the case without and with noise of a sine wave
(i.e. with a frequency f =10Hz). For a very noisy signal, the Fourier Transform
cannot isolate the main frequency, while KLT does show the main frequency as
the strongest peak. The KLT curves are the spectrum of the first eigenvector
(i.e. φ1 (t)).
1 Signal to Noise ratio : defined, in dB, as 20 log(A/A0 ) for amplitudes or
10 log(P/P0 )f orpower
CHAPTER 3. DIGITAL SIGNAL PROCESSING 16

Sine without noise


1
FFT
KLT
0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 5 10 15 20 25 30 35 40 45 50
Frequency [Hz]

Figure 3.2: Comparison between FFT and KLT for a sine without noise. The
spectrum of the first eigenvector is shown under the label KLT.

Sine with noise, SNR=-5dB


1
FFT
KLT
0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 5 10 15 20 25 30 35 40 45 50
Frequency [Hz]

Figure 3.3: Comparison between FFT and KLT for a sine with a noise level of
SNR=-5dB.
CHAPTER 3. DIGITAL SIGNAL PROCESSING 17

Sine with noise, SNR=-15dB


1
FFT
KLT
0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 5 10 15 20 25 30 35 40 45 50
Frequency [Hz]

Figure 3.4: Comparison between FFT and KLT for a sine with a noise level of
SNR=-15dB.

When the noise is too strong for the FFT, the spectrum shows multiples
peaks at different frequencies. This is not the case for KLT. When the noise
is too strong, KLT will show a spectrum with a single peak. The difficulty is
to make sure that the answer is valid. This can be accomplished by looking
at the signal parameters (i.e. duration, sampling frequency). The duration of
the signal has an impact on the outcome of KLT. It performs better for long
duration then short one. This has no effect on the outcome of FFT.
Section 3.6 will discussed in more details the characteristics of the KLT
analysis and the signal parameters.

3.4 Multiple Frequencies


The spectrum of a signal containing several frequencies will show them after a
single FFT. The eigenvectors produced by KLT are not directly associated to
frequency. They are orthogonal functions defining the eigenspace of the signal.
They could be sine functions or not depending on the nature of the original
signal. For a complex signal, several eigenvectors could be required to represent
the original information.
Figure 3.5 illustrates the KLT filtering a signal composed of 4 sinus signal
of different frequencies (i.e. 10, 20, 30 and 40 Hz) with a SNR=-19dB. Each
frequency is associated to a different λ. Figure 3.6 illustrates the result when
using the FFT method.
CHAPTER 3. DIGITAL SIGNAL PROCESSING 18

Signal with 4 frequencies (SNR=-19dB)


1

0.9

0.8

0.7

0.6
Amplitude

0.5

0.4

0.3

0.2

0.1

0
0 10 20 30 40 50 60
Frequency [Hz]

Figure 3.5: Example of KLT applied to a signal with 4 frequencies (SNR=-


19dB). Each frequency came out as strong peak.

Signal with 4 frequencies (SNR=-19dB)


1
FFT

0.9

0.8

0.7

0.6
Amplitude

0.5

0.4

0.3

0.2

0.1

0
0 10 20 30 40 50 60 70 80 90
Frequency [Hz]

Figure 3.6: Spectrum of the signal from fig 3.5. There are too many peaks to
be able to isolate the right frequencies.
CHAPTER 3. DIGITAL SIGNAL PROCESSING 19

Signal with 4 frequencies (SNR=-19dB)


180000

170000

160000

150000

140000
amplitude
130000

120000

110000

100000

90000

80000
0 1 2 3 4 5 6 7 8 9 10
eigenvalue

Figure 3.7: The eigenvalues from the signal shown in fig. 3.6. The first four λ
are far larger than the rest which indicate the signal can be represented by the
first 4 Φk .

3.5 Phased Shift Keying


Phase-Shift Keying (PSK)[26] is a type of digital modulation used in telecom-
munication. The Binary Phase-Shifted Keying (BPSK) is the simplest form of
(PSK). It uses two phases which are separated by 180◦. This modulation is the
most robust of all the PSKs since it takes the highest level of noise or distortion
to make the demodulator reach an incorrect decision. The signal is defined by
equ. 3.5.
r
2Eb
X(t) = cos(2πfc t + π(1 − n)) (3.5)
Tb
where n is the bit of information sent (i.e. 0 or 1), Eb is the energy per
bit, Tb is the bit duration, fc is the frequency. Figure 3.8 illustrates the KLT
vs. FFT analysis when confronted to such a signal with a SNR=-19dB. This is
another example of the power of KLT to extract the signal from a sea of noise.
CHAPTER 3. DIGITAL SIGNAL PROCESSING 20

Binary Phased Shift Keying (SNR = -19 dB)


1
fft
klt l1
0.9 klt l3

0.8

0.7

0.6
Amplitude

0.5

0.4

0.3

0.2

0.1

0
0 10 20 30 40 50 60 70 80 90 100
Frequency [Hz]

Figure 3.8: Example of BPSK signal with SNR=-19dB. The message is


’0101010101’. KLT and FFT are able to present the two dominant frequen-
cies. However, KLT shows them are strong peaks while FFT plot is almost
submerged in noise.

3.6 Characterisation of KLT analysis


This section is investigating the influence of some parameters such as the du-
ration T and sampling frequency Fs on the KLT analysis. Since the noise is a
stochastic process, the study have been performed on average values over several
iterations.
Table 3.2 shows the effects of Fs on the outcome KLT for a single noisy sine.
The pulse is a monochromatic signal at Fc =100Hz. The Nyquist requirement
imposes a minimal value of Fs (i.e. at least twice Fc ). The values in the table
3.2 are the minimal Fs in order to have N successful detection in N trials for a
given noise level. (Results in the table were produced with N=100). The values
inside the parenthesis are the rate of success for the FFT.
KLT is capable of finding the pulse with a Fs of roughly 2.5 to 3 times Fc
for a noise level down to -11dB. For noisier signals, the sampling frequency has
to be increased much more. Note that the value of T × Fs is roughly constant
for each noise level (below -10 dB), indicating that the real important factor
is the number of samples (i.e. N = T Fs ) rather than the T or the Fs . The
signal should be analysed with a large number of samples, in order to increase
the level of confidence of the KLT results.
FFT starts to fail at a noise level of -7dB and completely fail for a level of -
15dB and less. While the KLT still perform well with higher sampling frequency
or longer duration.
CHAPTER 3. DIGITAL SIGNAL PROCESSING 21

Table 3.2: Values of sampling frequency (Fs ) required to obtain a rate of 100% of
success in detection using KLT. For different duration (T) of signal and different
noise level. The values inside () are the rate of success for the FFT under the
same conditions.
SNR T=1 T=2 T=3 T=4 T=5
-1.0 250.0 250.0 250.0 250.0 250.0
(1.00) (1.00) (1.00) (1.00) (1.00)
-2.0 250.0 250.0 250.0 250.0 250.0
(1.00) (1.00) (1.00) (1.00) (1.00)
-3.0 250.0 250.0 250.0 250.0 250.0
(1.00) (1.00) (1.00) (1.00) (1.00)
-4.0 250.0 250.0 250.0 250.0 250.0
(1.00) (1.00) (1.00) (1.00) (1.00)
-5.0 250.0 250.0 250.0 250.0 250.0
(1.00) (1.00) (1.00) (1.00) (1.00)
-7.0 250.0 250.0 250.0 250.0 250.0
(0.98) (1.00) (1.00) (1.00) (1.00)
-9.0 300.0 250.0 250.0 250.0 250.0
(0.97) (1.00) (1.00) (1.00) (1.00)
-10.0 300.0 250.0 250.0 250.0 250.0
(0.96) (0.99) (1.00) (1.00) (1.00)
-11.0 300.0 250.0 250.0 250.0 250.0
(0.84) (0.94) (1.00) (1.00) (1.00)
-13.0 550.0 250.0 250.0 250.0 250.0
(0.71) (0.73) (0.94) (0.92) (1.00)
-15.0 950.0 600.0 300.0 250.0 250.0
(0.61) (0.97) (0.85) (0.72) (0.87)
-17.0 1150.0 500.0 450.0 300.0 250.0
(0.44) (0.42) (0.72) (0.64) (0.60)
-19.0 1950.0 1000.0 700.0 600.0 450.0
(0.42) (0.50) (0.38) (0.84) (0.52)
-21.0 3250.0 1950.0 1400.0 900.0 600.0
(0.56) (0.65) (0.66) (0.60) (0.60)
-23.0 5600.0 2600.0 2100.0 1400.0 1150.0
(0.33) (0.38) (0.60) (0.45) (0.50)

Figure 3.9 show results for the detection of a pulse (Fc = 10 Hz) in three
noise level. Each panel shows the rate of success as a function of the duration of
the segment and the sampling frequency. The regions of interest are the black
ones. Each scenario (i.e. a pair (T, Fs )) was ran 100 times and the average is
plotting on those figures.
CHAPTER 3. DIGITAL SIGNAL PROCESSING 22

SNR=-10dB
100 1

90
0.8
80
Sampling Frequency [Hz]

70
0.6

60

0.4
50

40
0.2
30

20 0
1 2 3 4 5 6 7 8 9 10
Time [s]

SNR=-15dB
1
140

0.8
120
Sampling Frequency [Hz]

100 0.6

80
0.4

60

0.2
40

20 0
2 4 6 8 10 12 14
Time [s]

SNR=-20dB
200 1

180

0.8
160
Sampling Frequency [Hz]

140
0.6
120

100
0.4
80

60
0.2

40

20 0
2 4 6 8 10 12 14 16 18 20
Time [s]

Figure 3.9: Relation between the duration (T ) of the signal and the sampling
frequency (Fs ). The black regions indicate a 100% rate of success in detection
of the pulse.
CHAPTER 3. DIGITAL SIGNAL PROCESSING 23

3.7 Detection of unknown signal


Unknown signal refers to the absence of information about the signal it-self. The
characteristic of the signal is unknown (e.g. monochromatic or polychromatic
signal, duration, etc. ).
[22] presented an approach to be able to compare FFT and KLT on the
level of information. They introduced measure functions to relate how much
energy of the signal is in the largest components. Figure 3.10 and equation 3.6
illustrate the conclusions of [22]. The capacity of KLT to find information in a
signal is higher than the FFT.

MKLT = 2 max(λ)/(nA(0)) (3.6a)


X
MF F T = max(Ei )/ Ei (3.6b)

where Ei is the energy in the i-th frequency bin, A(0) is the total energy of
the signal. The factor 2 is in the KLT measure because of the second highest
eigenvalue is ideally the same and has an equal amount of energy.

0.8
KLT
FFT

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
-20 -15 -10 -5 0 5 10
noise level [dB]

Figure 3.10: Probability of detection for selected confident level. For each noise
level several repetitions of the measure were plotted (this is a stochastic process).
Chapter 4

Information Content

4.1 Detecting Structure in Signal


It is possible to use the λi values to detect information in the data. Figure 4.1
illustrates some λ values associated to different type of signal (i.e. music, voice
and sound). The bottom part of figure 4.1 shows the λ values for a pure noise
signal without any information structure. The values are decreasing steadily
which is a typical signature of noise as seen by KLT.
When inspecting a λ-curve (figure 4.1), one can see that the first values
of λ are greater than the rest. This feature can be used to identify data set
which contains some kind of information. The author uses a criterion defined
by equ. 4.1 to quantity this feature. The criterion is applied on the first values
of λ and compare to the average of several values (typically the average of the
first 100 eigenvalues). The high value of Ck indicates some type of structures
in the data. A threshold minimal value of 1 has been found below which the
information contents is almost non-existent, or rather that KLT cannot find it.

λk − µ
Ck = (4.1a)
µ
100
X
µ= λi (4.1b)
i

24
CHAPTER 4. INFORMATION CONTENT 25

Lambda curve for different type of data


10000
music
FM radio
Sine
noise

1000

100
amplitude

10

0.1
0 10 20 30 40 50
N

Figure 4.1: Illustration of λ-curve to identify the information content of different


signal. The upper part represents a signal from an FM radio (voice+music). The
middle part is a piece of music. The bottom figure illustrate a pure noise as a
reference.

1000

100
Ck

10

0.1
FM1

FM2

FM3

FM4

MUSIC1

MUSIC2

MUSIC3

MUSIC4

NOAA1

NOAA2

NOAA3

NOAA4

SINE

NOISE1

NOISE2

Figure 4.2: Values of C1 for some data, related to figure 4.1 NOISE3

Figure 4.3 shows the values of Ck for a single pulse without and with noise.
Notice that the value decreases with the noise level.
100
Ck

10

1
NO_NOISE

-5dB

-7dB

-10dB

-15dB

-20dB

-25dB

noise level

Figure 4.3: Values of C1 for a single sine with and without noise.
CHAPTER 4. INFORMATION CONTENT 26

4.2 SETI Quest


A brief survey of the SETI Quest signal database1 was conducted using the
Ck criterion defined by equ. 4.1. The results are displayed in figure 4.4. The
stronger candidate for information contents is 2010-04-02-amc7-3693 which is
an orbital communication satellite. The second interesting candidate is 2010-
01-22-deep-impact-8bits-1-of-7 which is the NASA space probe. The blue line is
set at the noise level plus one sigma. The other signal do not show information
structure that KLT can detect.

C1 criterion for some SETI Quest signals


5.5
5
4.5
4
3.5
3
C1

2.5
2
1.5
1
0.5
0
exo051 (1.420e+09)

exo-gl581_2 (4.462e+09)

exo202 (1.420e+09)

bl0716-714_1414_2 (1.414e+09)

galanticenter-3 (1.420e+09)

exo160 (1.420e+09)

exo127_1 (3.100e+09)

psrb0329+54 (1.420e+09)

goes-11_1 (6.692e+09)

GPS-27_1575_1 (1.575e+09)

0136+478_4462_1 (4.462e+09)

0136+478_2008_1 (2.008e+09)

exo130 (1.420e+09)

kepler04_2 (1.420e+09)

exo060 (1.420e+09)

exo201_1 (4.462e+09)

exo191_1 (3.100e+09)

deep-impact (1.413e+09)

mars-odessey_8438 (8.438e+09)

exo150 (4.462e+09)

AZEL075-18 (1.410e+09)

exo118_1 (4.462e+09)

rosetta (8.422e+09)

bllac_2008 (2.008e+09)

AZEL015-18 (1.410e+09)

Moon_1420_1 (1.420e+09)

Rosetta (8.422e+09)

gps-prn26 (1.413e+09)

amc7 (3.693e+09)

galanticenter-3 (1.420e+09)

galaxy-19 (3.991e+09)

goes-13_1 (6.692e+09)

sun_1426_3 (1.413e+09)

koi174.01_1690 (1.690e+09)

psrb0950+08_1 (4.462e+09)
Figure 4.4: Results of the KLT analysis of a small portion of the SETI Quest
database. The two interesting candidates (above the blue line) are artificial
satellites (i.e. Deep Impact and AMC7).

1 http://http://setiquest.org/
Chapter 5

The Null Hypothesis Test

5.1 Introduction
The null hypothesis testing is part of the inferential statistics. The rejection or
acceptance of the hypothesis is a central task in the modern practice of science,
and gives a precise sense in which a claim can be proven false.
It is not the purpose of this document to explain the mathematical founda-
tions of the method. However, the reader can look at the extended bibliography
on the topics and in particular the follow papers.
Many of the basic ideas and techniques of estimation originated in the funda-
mental papers of [4, 5]. The formulation of modern hypotheses testing problem
is due to [20] and see [27] for a general discussion. The first uses of KL Expan-
sion to statistical problems was by [10], he also extended the basis concept of
estimation and testing to general stochastic processes.
[15] use the similar techniques in a very broad treatment of the detection
of radar signal buried in noise, and accurate parameters estimation. [23] is
discussing the KL Expansion, its application to the null hypothesis and the use
of the likelihood ratio in the process. [25, 19, 1] are also good reading on the
topics as they discussed other aspects of the method.

5.2 Using the KL Expansion


The null hypothesis involved the optimisation of a sets of parameters to obtain
the best estimation of the original signal. Using the approach as described in
[23] for the KL Expansion, the knowledge of those parameters are not always
required. This section summarises the method of statistical inference using KL
Expansion.
The detection of a signal in noise using that approach presuppose a knowl-
edge of the shape of the signal (i.e. not always a sine function). If nothing is
known from the original signal, then the method is useless.
The signal, in discrete form, can be described by equation 5.1.

27
CHAPTER 5. THE NULL HYPOTHESIS TEST 28

x[k] = s[k] + n[k] (5.1)


where s[k] is the original signal and n[k] the noise. The sequential likelihood
ratio (equ. 5.2) test minimizes the expected time necessary in order to make a
decision which achieves the conditional error probabilities α and β [27]

P [x = s + n]
L= (5.2)
P [x = n]
This ratio is compared with the two threshold A = (1 − β)/α and B =
β/(1 − α). If α, β < 1/2, we have that A > B. The test terminates with a
decision that s is present when and if L exceed A; the decision is that s is
absent when L decreases below B. α is defined as the conditional probability of
deciding that s is present when s is in fact absent. β should then be defined as
the conditional probability of deciding that s is absent, when s is in fact present.
Following [23], a discrete system can be defined by equation 5.3. Where s
and x are defined in term of eigenvectors and eigenvalues.

s[k]Φi [k]
Si [k] = √ (5.3a)
λi
x[k]Φi [k]
Xi [k] = √ (5.3b)
λi

where Φi (n) is the i-th eigenvectors and λi is the i-th eigenvalues. The
likelihood ratio can than be rewritten as equation 5.4 and therefore the only
remaining criterion is that L > 1 for a detection.
n
S2
Q
P [xi = si + ni ] X
L= iQ
= X i Si − i (5.4)
i P [xi = ni ] i
2
where Xi is the noisy signal and Si is the candidate signal defined by equa-
tions 5.5 and 5.6. The summation is performed over the number of eigenvalues.
N
1 X
Si = √ S[k]Φi [k] (5.5)
λi k
N
1 X
Xi = √ X[k]Φi [k] (5.6)
λi k
The summation is done over the whole length of the signal. The likelihood
is then computed using candidate signal and the largest value is the most likely
to be signal s.
CHAPTER 5. THE NULL HYPOTHESIS TEST 29

5.3 Detection of pulses in noise


Figure 5.1 shows an example of detection for a signal in noise. The signal is
composed of a single frequencies (equ. 5.7). The candidate signals are single sine
functions with different frequencies. The changing parameter for this example
is the frequency (fc ). The large peak indicates the present of a pulse at 11 Hz.

s(t) = sin(2πfc t) (5.7)

15

10

-5
0 5 10 15 20
Fc (Hz)

Figure 5.1: Results of the Null Hypothesis Test method for a single pulse signal.
The bars show the value of L for each candidate.

Figure 5.2 shows results when there is no data s present in the signal x.
There is no positive values of L.
15

10

-5
0 5 10 15 20
Fc (Hz)

Figure 5.2: Results of the Hypothesis Test method for a signal without data,
only noise.

Figure 5.3 shows the results of a multiple frequencies signal (2 frequencies)


in different noise level (i.e. -5 to -11 dB). Each noise level is coded using a
CHAPTER 5. THE NULL HYPOTHESIS TEST 30

different colour. The candidate signal is a single sine. The only frequencies that
present strong positive values are the one in the signal (i.e. 7 and 11 Hz). The
smaller peaks at frequencies between 8 and 12 Hz could be filtered out by post
processing (depending on the application for this signal). Since it is a stochastic
process the data shown in the figure is an average value over 100 iterations per
case.
40
SNR=-5
SNR=-7
SNR=-9
SNR=-11

30

20

10

-10
1 3 5 7 9 11 13 15 17 19
Fc (Hz)

Figure 5.3: Results of the Hypothesis Test method for a signal with two fre-
quencies.

5.4 Detection of complex waveforms


The method can be extended to a complex waveforms. The parameters would
include time shift and waveform profile. The first case is based on waveform
like y = |sin(2πfc t)|n to create narrow pulse signal.

0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
0 0.1 0.2 0.3 0.4 0.5
Frequency [Hz]

Figure 5.4: Profile of a waveform following the equation y = |sin(ωt)|15 with a


fc of 11 Hz.
CHAPTER 5. THE NULL HYPOTHESIS TEST 31

Figure 5.6 shows the results for a noisy signal of SNR=-10dB. The highest
positive value points to 11Hz as the valid frequency. There are more false alarms
than with a simple sine but the values are smaller and can be filtered out.

10
SNR=-5
SNR=-7
SNR=-9
8 SNR=-11

-2

-4

1 3 5 7 9 11 13 15 17 19
Fc (Hz)

Figure 5.5: Results of the Hypothesis Test method for the signal shown in figure
5.4.

10

-2

-4

1 3 5 7 9 11 13 15 17 19
Fc (Hz)

Figure 5.6: Close-up of figure 5.5 that illustrate the results for SNR=-9dB.
Chapter 6

Reconstruction and
compression

6.1 Data Compression


The main characteristics of solving the eigenproblem is the capacity to reduce
the number of dimensions to represent the original data set.
The number of dimensions required to represent the original information,
in the eigenspace, depend only on the magnitude of their respective eigenval-
ues. By plotting them, from the largest to the smallest, one can select the q
largest needed to describe the original information. Figure 6.1 shows a typical
representation of the first largest eigenvalues. The first few eigenvalues (λ1 ) are
very large and the amplitude drops very fast. Only a few λ could be used to
represent a large data set. The eigenvectors associated to small λ do not bring
more information to the final solution.
1.80E+06

1.60E+06

1.40E+06

1.20E+06
amplitude

1.00E+06

8.00E+05

6.00E+05

4.00E+05

2.00E+05

0.00E+00
0 1 2 3 4
eigenvalue

Figure 6.1: Typical eigenvalues plotted by their amplitude.

Figure 6.2 shows an example of data compression. The whole signal can be
represented by only 3 eigenvalues. The original data can be approximated by
summing the first three eigenvectors into a single vector. Each eigenvectors can

32
CHAPTER 6. RECONSTRUCTION AND COMPRESSION 33

be built by using their corresponding eigenvalues.

Signal and 2 eigenvalues


1.5
signal
1 eigenvalue
2 eigenvalues

0.5

0
y

-0.5

-1

-1.5
0 10 20 30 40 50 60 70 80 90 100 110 120 130 140 150
x

Figure 6.2: Illustration of data compression of sin(x). The whole curve can be
approximated using only 2 eigenvalues.

Figure 6.3 illustrates a more complex scenario where the original data set is
a Brownian motion. The data being more complex than a single sinus curve,
more eigenvectors are required to approximated it. Compression of even more
complex signal can be performed, as the next section will illustrate with the use
KLT apply to infrared spectroscopy.
CHAPTER 6. RECONSTRUCTION AND COMPRESSION 34

10
Bronian motion
3 eigenvalues

-5
y

-10

-15

-20

-25
0 100 200 300 400 500 600 700
x

10
Bronian motion
6 eigenvalues

-5
y

-10

-15

-20

-25
0 100 200 300 400 500 600 700
x

10
Bronian motion
30 eigenvalues

-5
y

-10

-15

-20

-25
0 100 200 300 400 500 600 700
x

Figure 6.3: Illustration of data compression of a Brownian motion. The top


figure shows how 3 eigenvalues can roughly approximate the data. The middle
figure used 6 eigenvalues and the bottom 30.

KLT and Brownian motion


1200
Brownian
analytical
KLT
1000

800

600
value

400

200

-200
0.00e+00 2.00e+05 4.00e+05 6.00e+05 8.00e+05 1.00e+06
t

Figure 6.4: KTL applied to a Brownian motion data set of 1 million points.

6.2 Eigenimage
The compression aspect of the eigenproblem can also be applied to images. The
SVD (equ.6.1) process is used in this case and the matrix A is build from the
covariant matrix of the image. The compression is related to the number of bits
CHAPTER 6. RECONSTRUCTION AND COMPRESSION 35

per pixel and not the dimension of the image. If the dimensions of the image
are N and M, then the total storage unit is N × M words. The storage of k
eigenimages is given by k(M + N + 1) words. An eigenimage Sk is describes by
the equ. 6.2.

A = UWVT (6.1)
where U is a matrix containing the equivalent of A in the eigenspace, W is a
matrix containing the eigenvalues on the diagonal and V is a matrix containing
the eigenvectors.
k
X
Sk = λi ui φi (6.2)
i=1

where λi is the eigenvalues i, ui is the column i of the matrix U and φi is


the eigenvector i. This type of compression offers a better compression ratio for
large image, or image using 24 to 32 bits per pixel.
Figure 6.5 illustrates the use of eigenimages with an gray original image
(gray coded on 8 bits). The compression performed by using SVD and the first
10 λ is roughly 34% of the original image.
Processing the image through KLT does not compress the original image
but offer a method of image analysis. It is used as a fingerprint and called
eigenimages. An image of dimensions N ×M is considered as a single long vector.
The eigenproblem to solve involves autoconvolution rather than autocorrelation
(since it is a spatially dependent data and not a temporal one).

Figure 6.5: Illustration of compression using the picture of Cornelius Lanczos.


The left picture is the original. The middle picture is built using KLT with the
first λ. The right picture is built using SVD and the first 10 λ.

6.3 Signal Reconstruction and Gaps


Another application of the eigenproblem is the gap filling.
CHAPTER 6. RECONSTRUCTION AND COMPRESSION 36

The method cannot be used to retrieve information that is not in the signal.
It is a method to fill gaps based on the current information. It will insert data
point that are following the general thread.
The method can be used to fill the gaps of the data related to targets that
are not always observed (e.g. exoplanets).

200
light curve
KLT

100

-100

-200

-300

-400
0 500 1000 1500 2000 2500 3000 3500 4000 4500

Figure 6.6: Illustration of gap filling and reconstruction of a signal. This is a


light curve from the Kepler database. The original data in red and the recon-
structed signal in green.
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