HIMICH A Statistical Theory of Signal Coherence Melvin J. Hinich Abstract—A periodic signal can be perfectly predicted far tothe future since It perfectly repeats every period. There ls always some variation inthe waveform over ime for sign fre labeled a8 periodic but which are not truly deterministic. A formal definition is presented in this paper for such a varying periodie signal and the properties of such a class of signals are exploited. A measure ealled a signal coherence function of the nin each Fourier component of the tistical properties are developed. This is very diferent from the coherence onary signals. The method Is applied 0 a digtized record of an acoustic signal generated by a boat int bay in the Baltic Sea south of Stockholm, Sweden, Index Terms—Cycostationarity, randomly modulated period- {city signal coherence, stationary, synchronization, waveform. 1 wtropucnon PERIODIC signal canbe pret edited fr into he Ai tise snes itp repeat very prio Nature des tov ric pert pride igual Tee ealvaye some are ausinth wveirm over ine ot Epa which are ied ab perdi ha which are not tly dri, A oma i {onispesned inthis pper rach vay pero sgn tht isealle a rdomiymodted pend with prod T Th propre of sch clam of il are ep Defton Aig (e() ie eled a rontony modulated period ith eed io the fm Stunt sud] explant) foe fe =k? . o where pia = pf, a(t) = uf(), and Bu(t) = 0 for each and E isthe expectation operation. The K/2-+ M{uy(t)} are jointly dependent random processes with fnite moments which satisfy two conditions: 1) Periodic block starionarity: The joint distibution of {uiatt).o, a(t) i8 the same as the joint dis- tribution of {uay(ts + TZ), 0-5 tela + 1} forall Bassey Kpand (+055 ty sooh that O < fy <7. 2) Finite dependence: " {uas(31)s °°. t4-48ma))_ and ast), °° a ln) a independent if q+ D < ta for some D and any set of Ky) rs Shy °° me a theorist enucriptresced Janiay 12, 998; revied August 24, 1999, and November 3,19, The horn withthe Agphed Reseach Laborers, Unversity of Teast Ain Aang 1X 7871309 USD assem Keer 5 0345088 00)0990.7, ‘The signal canbe writen a8 (0) = 50) -+ ut) where AQ=K SS mn explizn fat) ond Ke W=K* SS u@ewiarie — @ The periodic component s(t) is the mean of 2(¢). The 2er0 sean stochastic trm u() is areal valued nonstationary process, which may be nonlinear. Condition 1) implies that cu(ta, fa) = Eulte + Duta + 1) = Eufty)ulta) iffy ~ ta) 7. Consequently, the stochastic term is no cyelostationay (1. Even ifthe u(t) are all jointly stationary random processes, ‘u(t is nt, n genceal, stationary since the joint distribution of 4 (4), “=, ta, (tu) is not invariant to a shift of the time origin. Forexampie, the covariance function of u(t) sin(2x ft) isa function of tif u(t) i Covariance stationary process. Pe- Fiode block stationarity is a diferent condition than yelosta- tionarity and covariance stationarity Condition 2) insures that w(#) has afnite dependence on gap lonath D. It then follows thot all the join cumulant of u() are Desepondent ‘A randomly modulated periodic signal is ereated by some nonlinear physial mechanism, which hes a more or less stable inherent periodicity. For example, voiced speech is randomly ‘modulated since an oscillating Vocal cord’s amplitude and phase slowly vary over several pitch period in seemingly random faahien. ‘Other examples are: 1) the vibration signal generated by a rotating machine such as pump, motor, or drill and 2) the coived tain of reflected waveforms generated by an active tr ‘pedo sonar which is pinging ona target to estimate the res ‘ange and bearing relative tthe sonar. Fig. {presents a plo of the following version of (1) fo f 1/50 and fz = 2/50 where the {uja(t)) are autoregressive [AR(1) processes generated by the first-order difference eqUa- tion wja(@) = 0.95u,u(¢ — 1) = eyelt). The [e(8)} are inde- pendenly distributed psesdorandom white Gaussian noise ro- cesses with mean zero and variance one: Ys eaa(O)] 0052 fat) + [1 + wae(6)] sin(2r fit) (0) ‘Assume at first that 7° is known. The highest harmonic fre quency is fac = K/2T tf the signal is sampled at the frequency 2fe, there are diserete-time samples r(¢,) in an interval of 364-9054810.00 © 2000 EEEFig Anexampe of andomly modulated sina. length means. To simplify notion the ke unit will be suppressed and we wll et denote fy and T= K trom now on 'S common approach to processing signals with a erode structre isto segment the observations into frames ef tegth T So that there is exactly one waveform in each sampling frame Tre team “sampling Fam” is used in this paper in order 1 match the tenminology sed in speech processing literature, The ‘waveform in frame mi lightly effet from that in frame ‘m+ due to variations inthe vocal tact, To further simplify eotatin, set the time origin at he start of the fist frame. Then the stan of the mth fame 8 Pl {m—1)T where m = 1, «=, MThevaraion ofthe wavetonm from fame to frame is determined by a probability mechanism deserbodby the jin distbuson of {=(u)y °°) 2 +7 — 1: =1, vo, AC}. This joint dstibaion is he same foreach frame bythe prio block stationarity condition “Te seal inthe sampling frames donot have tobe gener= sted by aperiodic mechani, They cam be impose responses ofa linear or nonlinear system excited by a nonperodicse= ‘pence of impulse source fnetions. Fr example, suppose that the data in question is ast of measiement ofthe vibration measured by an accelerometer moutted ona highspeed del a i epetely dis oles in computer circuit board it @ precisely replicating experiment (fr det, se [2]). The a¢- Celesameter waveform foreach ding even canbe eoneate tated to rmke a smple of Mf successive frames of obser “ations it the ime unt. The waveforms havea lot of random Yariatonscrss frames, The time seis so gered can then beanaly2ed to detennine relationship between the wea of drill ant the vibration signatures ‘Now tha the concept ofa randomly modulated periodicity hasbeen define, the nex step isto develop a measure ofthe tmnaun of random variation prsent in exch Fourier component ofa signal. Such ameusre, called signa coherence fanctio, is presented in Sesion I 1, SIGNAL CoMERENCE ‘The mth frame is (2(ha)x “°° 2(Bm +7 —1)}. Ks discrete Fourier transform (DFT) at frequency f. = r/T for each » = Lo Tis SF a((m YT +8) ex(-i2e ft) S27 SS et welt] exrezntt/T) m Sia exp(—i2ert/T) Hie UE) where U9) = J ule) expl-i2e ht) eo ‘The joint distribution of {2(9m), +*, 2(3qe +I — 1)} is the same for each frame. These observations are random variables bere the data i observed and thus, n keeping with standard stitial notation, the index mis not used to subscript the com plex valued randou variables X(r) and U(r). The variability of the complex Fourier amplitude X(*) about its mean 1, depends on the complex vari- ance of U(r) and the covariances of U(r,) and U(r2)y EIU )U(r)] = elas 12), where outta, 2) = 3 ealtas ta) expti2n(rits ~ rat)/T) feo ooh 7 and cult 2) = Bu(ti)u(ta) = Bultw'(t) Fete t) 0‘Thus, setting r, = 2 = rand [ti —ta] in (4) and using the usual notation o(r) forthe v ce our, 1), it follows that r our) = > expidarr/T) x eats t+ 7) ‘whichis ofthe order O(T). For example, if u(t) is weakly sta: ‘onary, then cult, t+ 7) = ey(r) and, thus, OR(r) = TY (1-7 /Thea(r) expli2nrrr/T) hich equals TISs(Jz)+O(1/T)] where (isthe spectrum of u(t). Ite #0. andax(r) = 0, then tha complex ample is 2 true peioicy. The lager the value of u(r), the greater the ‘arab of that component fiom frame to tame fy =O Ind c.(0) #0, then thet component is random th no periodic structure Tn order Yo Guat the varity, consider the function ‘el? elle a signal coherence faction, deine 2 fellas foreach y = 1, ++, 7/2: (mtn IFou(r) = Oand sie #0, then 7e(0) = 1. This isthe case where the Je frequency component hes a constant amplitude and phase, If jr = 0, then (7) = 0. This is the ease where the mean value ofthe frequency component is 2er0, whichis true foreach frequency Component of any stationary random process ‘which satisfies any of the sunéaré mixing conditions of which finite dependence iste most severe [3, p. 95}. ‘This signal coherence function is very different from the co- hherence function between two stationary signals (4, . 352]. ‘The coherence (sometimes called coherency)between 74(¢) and .2x{) at frequency fr is the correlation between X,(r) and ‘Xa(r). The closer the coherence value isto one, the higher the correlation between the rea and imaginary parts ofboth Fourier ‘components. Ths well-known coherence concept has been used tw estimate the time delay ofa plane wave detected by an array of sensors [5] “The signal Coherence function, in contrast, is defined for one signal, It measures the varahilty of X(1) about its mean (One should keepin mind that the signa inthis presentation is the mean of the observed signal In the signal plus noise representation of {r(t)}, the signal-to-noise ratio (SNR) is p(v) = jel?0,2(r) for fre- quency fe. Thus, ¥2(°) = p(r)/lo(r) + 3} isa monotonically increasing function of this SNR. Invertng this relationship, it follows that eP P+ of an o ar) = o To Asal coherence ye of 048 yds an SNR 00.24 which jg ~6.2 4B. This result will be referred to in Section V. ‘HR LIEV OF OCEAMIC ENGINEERING, VL.25, 80.2 AML 200 ‘The estimation ofthe signal characteristics is addressed inthe next section IIL, ESTIMATING THE SIGNAL. COHERENCE FUNCTION Suppose that we have observed IM frames each of length T ‘of the process {(¢)} as denoted in the beginning of Section IL Recall that fy, = (m0 — 1)T foreach m= 1, --, M The sample mean foreach t = 0, «++, T= 1 HEM YD 2Ou+8) ® isan unbiased estimator of the “signal” s(t). From the cena limi theorem fora mean of Finite dependent random varibles {6, Theorem 27.5], V/Affx(¢) ~ »(@) is asymptotically normal 1N(0, 02(¢)) as I —+ 20 where 02 (2) i the sum of the variance of x(¢) and twice the covariances of 2(¢) and 2(¢ + dT) for a= 1,--, D, Using more common satistial parlance, this ‘means that the dstbution of (0) is approximately normal with, tmean s() and varianee MY (¢) for large M “To simply exposition, assume from now on that Mis much targer than D end thus Mf-4o2(¢) is negligible. et ‘X(») denote the rth component of the DET of (2(0), ©, H(7 ~ 1) lethen follows from the above asymp tote result that VIZ(X (7) — sn] i asymptotically complex sormal with mean 2e¢0 and finite variance, which implis that Yr) isa consistent estimator of witha eroe of probability order Op( M72) which is negligible for large M [7]. Recall that 2m + #) = (+t) + u(y +1) Define mn +8) = (Boe +) — E(t) % and let Yig(r) denote the rth DFT. component of {((Bn)s-o- aly eT ~ 1). Ie flows that Yo(e) is the rn DFT component of {uiya),--* ull + 7 1)) plus an error of order Op(M~/?). Consider the following ‘estimator ofthe variance 03(r) BV = MS al a Since the u's are D dependent, the Y's are as well, Once again ‘using Theorem 27.5, the distribution of 22 (r) is approximately normally distributed with mean o2(r) and variance of order ‘O(MI™) which implies that 33(r) isa consistent estimator of 3{) with an erat of order Op"), It then follows that [X(e))822(r) isa consistent estimator of the SHR 94) for fre ‘quency f.. Moreover, the statistic «(r) defined by Ault) ay isa cosine estimator of (7) or Requency fr withan err of On(M-"), Ie is vital thatthe frame length used inthe analysis be an integer maltle of the fundamental period ofthe signal I not,