Whittle likelihood

In statistics, Whittle likelihood is an approximation to the likelihood function of a stationary Gaussian time
series. It is named after the mathematician and statistician Peter Whittle, who introduced it in his PhD thesis in
1951.[1] It is commonly utilized in time series analysis and signal processing for parameter estimation and
signal detection.

Contents
Context
Definition
Special case of a known noise spectrum
Accuracy of approximation
Applications
Parameter estimation
Signal detection
Spectrum estimation
See also
References

Context
In a stationary Gaussian time series model, the likelihood function is (as usual in Gaussian models) a function
of the associated mean and covariance parameters. With a large number ( ) of observations, the ( )
covariance matrix may become very large, making computations very costly in practice. However, due to
stationarity, the covariance matrix has a rather simple structure, and by using an approximation, computations
may be simplified considerably (from to ).[2] The idea effectively boils down to
assuming a heteroscedastic zero-mean Gaussian model in Fourier domain; the model formulation is based on
the time series' discrete Fourier transform and its power spectral density.[3][4][5]

Definition
Let be a stationary Gaussian time series with (one-sided) power spectral density , where
is even and samples are taken at constant sampling intervals . Let be the (complex-
valued) discrete Fourier transform (DFT) of the time series. Then for the Whittle likelihood one effectively
assumes independent zero-mean Gaussian distributions for all with variances for the real and imaginary
parts given by
where is the th Fourier frequency. This approximate model immediately leads to the

(logarithmic) likelihood function

where denotes the absolute value with .[3][4][6]

Special case of a known noise spectrum

In case the noise spectrum is assumed a-priori known, and noise properties are not to be inferred from the data,
the likelihood function may be simplified further by ignoring constant terms, leading to the sum-of-squares
expression

This expression also is the basis for the common matched filter.

Accuracy of approximation
The Whittle likelihood in general is only an approximation, it is only exact if the spectrum is constant, i.e., in
the trivial case of white noise. The efficiency of the Whittle approximation always depends on the particular
circumstances.[7] [8]

Note that due to linearity of the Fourier transform, Gaussianity in Fourier domain implies Gaussianity in time
domain and vice versa. What makes the Whittle likelihood only approximately accurate is related to the
sampling theorem—the effect of Fourier-transforming only a finite number of data points, which also manifests
itself as spectral leakage in related problems (and which may be ameliorated using the same methods, namely,
windowing). In the present case, the implicit periodicity assumption implies correlation between the first and
last samples ( and ), which are effectively treated as "neighbouring" samples (like and ).

Applications

Parameter estimation

Whittle's likelihood is commonly used to estimate signal parameters for signals that are buried in non-white
noise. The noise spectrum then may be assumed known,[9] or it may be inferred along with the signal
parameters.[4][6]

Signal detection

Signal detection is commonly performed utilizing the matched filter, which is based on the Whittle likelihood
for the case of a known noise power spectral density.[10][11] The matched filter effectively does a maximum-
likelihood fit of the signal to the noisy data and uses the resulting likelihood ratio as the detection statistic.[12]
The matched filter may be generalized to an analogous procedure based on a Student-t distribution by also
considering uncertainty (e.g. estimation uncertainty) in the noise spectrum. On the technical side, this entails
repeated or iterative matched-filtering.[12]

Spectrum estimation

The Whittle likelihood is also applicable for estimation of the noise spectrum, either alone or in conjunction
with signal parameters.[13][14]

See also
Coloured noise
Discrete Fourier transform
Likelihood function
Matched filter
Power spectral density
Statistical signal processing
Weighted least squares

References
1. Whittle, P. (1951). Hypothesis testing in times series analysis. Uppsala: Almqvist & Wiksells
Boktryckeri AB.
2. Hurvich, C. (2002). "Whittle's approximation to the likelihood function" (http://people.stern.nyu.e
du/churvich/TimeSeries/Handouts/Whittle.pdf) (PDF). NYU Stern.
3. Calder, M.; Davis, R. A. (1997), "An introduction to Whittle (1953) "The analysis of multiple
stationary time series" ", in Kotz, S.; Johnson, N. L. (eds.), Breakthroughs in Statistics, Springer
Series in Statistics, New York: Springer-Verlag, pp. 141–169, doi:10.1007/978-1-4612-0667-
5_7 (https://doi.org/10.1007%2F978-1-4612-0667-5_7), ISBN 978-0-387-94989-5
See also: Calder, M.; Davis, R. A. (1996), "An introduction to Whittle (1953) "The analysis of
multiple stationary time series" " (http://www.stat.colostate.edu/statresearch/stattechreports.htm
l), Technical report 1996/41, Department of Statistics, Colorado State University
4. Hannan, E. J. (1994), "The Whittle likelihood and frequency estimation", in Kelly, F. P. (ed.),
Probability, statistics and optimization; a tribute to Peter Whittle, Chichester: Wiley
5. Pawitan, Y. (1998), "Whittle likelihood", in Kotz, S.; Read, C. B.; Banks, D. L. (eds.),
Encyclopedia of Statistical Sciences, Update Volume 2, New York: Wiley & Sons, pp. 708–710,
doi:10.1002/0471667196.ess0753 (https://doi.org/10.1002%2F0471667196.ess0753),
ISBN 978-0471667193
6. Röver, C.; Meyer, R.; Christensen, N. (2011). "Modelling coloured residual noise in
gravitational-wave signal processing". Classical and Quantum Gravity. 28 (1): 025010.
arXiv:0804.3853 (https://arxiv.org/abs/0804.3853). Bibcode:2011CQGra..28a5010R (https://ui.a
dsabs.harvard.edu/abs/2011CQGra..28a5010R). doi:10.1088/0264-9381/28/1/015010 (https://d
oi.org/10.1088%2F0264-9381%2F28%2F1%2F015010).
7. Choudhuri, N.; Ghosal, S.; Roy, A. (2004). "Contiguity of the Whittle measure for a Gaussian
time series" (https://doi.org/10.1093%2Fbiomet%2F91.1.211). Biometrika. 91 (4): 211–218.
doi:10.1093/biomet/91.1.211 (https://doi.org/10.1093%2Fbiomet%2F91.1.211).
8. Countreras-Cristán, A.; Gutiérrez-Peña, E.; Walker, S. G. (2006). "A Note on Whittle's
Likelihood". Communications in Statistics – Simulation and Computation. 35 (4): 857–875.
doi:10.1080/03610910600880203 (https://doi.org/10.1080%2F03610910600880203).
 9. Finn, L. S. (1992). "Detection, measurement and gravitational radiation". Physical Review D.
46 (12): 5236–5249. arXiv:gr-qc/9209010 (https://arxiv.org/abs/gr-qc/9209010).
Bibcode:1992PhRvD..46.5236F (https://ui.adsabs.harvard.edu/abs/1992PhRvD..46.5236F).
doi:10.1103/PhysRevD.46.5236 (https://doi.org/10.1103%2FPhysRevD.46.5236).
10. Turin, G. L. (1960). "An introduction to matched filters". IRE Transactions on Information Theory.
6 (3): 311–329. doi:10.1109/TIT.1960.1057571 (https://doi.org/10.1109%2FTIT.1960.1057571).
11. Wainstein, L. A.; Zubakov, V. D. (1962). Extraction of signals from noise. Englewood Cliffs, NJ:
Prentice-Hall.
12. Röver, C. (2011). "Student-t-based filter for robust signal detection". Physical Review D. 84
(12): 122004. arXiv:1109.0442 (https://arxiv.org/abs/1109.0442).
Bibcode:2011PhRvD..84l2004R (https://ui.adsabs.harvard.edu/abs/2011PhRvD..84l2004R).
doi:10.1103/PhysRevD.84.122004 (https://doi.org/10.1103%2FPhysRevD.84.122004).
13. Choudhuri, N.; Ghosal, S.; Roy, A. (2004). "Bayesian estimation of the spectral density of a time
series" (http://www4.stat.ncsu.edu/~sghosal/papers/specden.pdf) (PDF). Journal of the
American Statistical Association. 99 (468): 1050–1059. CiteSeerX 10.1.1.212.2814 (https://cite
seerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.212.2814). doi:10.1198/016214504000000557
(https://doi.org/10.1198%2F016214504000000557).
14. Edwards, M. C.; Meyer, R.; Christensen, N. (2015). "Bayesian semiparametric power spectral
density estimation in gravitational wave data analysis". Physical Review D. 92 (6): 064011.
arXiv:1506.00185 (https://arxiv.org/abs/1506.00185). Bibcode:2015PhRvD..92f4011E (https://u
i.adsabs.harvard.edu/abs/2015PhRvD..92f4011E). doi:10.1103/PhysRevD.92.064011 (https://d
oi.org/10.1103%2FPhysRevD.92.064011).

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