Wavelet ridge estimation of jointly modulated multivariate oscillations

Authors:
Jonathan M. Lilly;Sofia C. Olhede
Affiliations:
Earth and Space Research, Seattle, WA;Department of Statistical Science, University College London, London, UK
Venue:
Asilomar'09 Proceedings of the 43rd Asilomar conference on Signals, systems and computers
Year:
2009

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Abstract

Wavelet ridge analysis is a technique for estimating the time-varying properties of a modulated oscillatory signal from a contaminated observation. Here this technique is extended to the multivariate case, that is, to a set of N real-valued time series. The bivariate case is illustrated with an application to a set of freely-drifting oceanographic floats. A freely distributed software package implementing this algorithm is available online at http://www.jmlilly.net.