Coherent covariance analysis of periodically correlated random processes

Authors:
I. Javors'kyj;I. Isayev;Z. Zakrzewski;S. P. Brooks
Affiliations:
Karpenko Physico-mechanical Institute of the National Academy of Sciences of Ukraine, L'viv, Ukraine and Institute of Telecommunications, University of Technology and Agriculture, Bydgoszcz, Polan ...;Karpenko Physico-mechamcal Institute of the National Academy of Sciences of Ukraine, L'viv, Ukraine and Statistical Laboratory, Cambridge University, Cambridge, UK;Institute of Telecommunications, University of Technology and Agriculture, Bydgoszcz, Poland;Statistical Laboratory, Cambridge University, Cambridge, UK
Venue:
Signal Processing
Year:
2007

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Abstract

A coherent method of estimating of periodically correlated random processes (PCRP) is introduced. Properties of estimates of the mean, covariance function and their Fourier coefficients that are obtained using process values averaging over the period are investigated. Asymptotic formulae for estimates of bias and variances are obtained and the relationships of these characteristics to realization length are discussed. The probabilistic structure of one of the simplest PCRP-based signals is analysed.