Polyspectral Analysis of (Almost) Cyclostationary Signals : LPTV
System Identification and Related Applications
Georgios B. Giannakis N I I ~Amod V. Dnizdawate
Department of Electrical Engineering
University of Virginia
Charlot tesville,
Abstract
Polyspectial estinaators ale piopobed for (almost) cyclosta-
tionaiy szgncils and are s h o w n to l e considtent and a s y n i p -
totzcally iioi m a l . These estzmators are employecl for zden-
ttficntion of lznear (almost) per iodzcully tinie-vnr yzng sys-
tems. Both non-paranzeti zc and puiamet/ ic upprocldies are
des c rabed for 2 rip ut- ou t p U t a n cl o i i t p U t o n 1y z den t zfica t i o n
Statzstzcal analysts of nonstatzonai y signals wzth nizsszng
observations zs treated and t e s t s ore developed Joi c h e c l i n y
the presence of cycle frequencies. F i n u l l y , frequency eatz-
matzon and detectton of coupling crie uddiessed 2n cyclic
doniazn wzthout resortzng to yhuse rundo/ui:otion A11 the
methods are proven to be znsensitiue / o stcitzonar y n o i ~ e
and employ conszstent s2ngle record estimators
1 Int 1-0ducti on - Problem stat mi e lit
Most signals encountered in real life are tiiiie-varying
and require tooIs wliicli are appropriate for nonstatioii-
ary signal processing. For esaiiiple, consider traiismission
tliroiigh an AGN channel. The received sigiial is giveii I)!,
y(t) = r(f)g(t) + t'(i).
where z ( t ) is a 0-mean nonGaussian stationary inessage
signal, g ( t ) is a deterministic carrier aiid v ( t ) is zero mean
additive Gaussian channel noise (perhaps nonstotionory)
with unknoicia spectrum. This niotlel is appropriate for
several Ah1 signal transiiiissioii scheiiies includiiig DPSIi,
PARI and DSBSC; f u r t h e r it is useful for iiioclcliiig Inissirig
observat,ions (see e.g., [19]). 111 (1) y ( f ) is r~onstotioncrry
even if v(t) is stationary clue to tlie p~eseiiceof t.lie de-
teriiiitiist.ic g ( t ) . It is of iiiterest to sel)arate aiid estiniate
tlie statistics of z ( t ) froiri those of V ( I ) aiitl y ( t ) , given a
finite aiiiouiit of data from a siiiyle rccor~lof y ( / ) . Oiie is
faced wit,li a similar proposition wlieii estiiiiating the sinu-
soidal frequencies and det.cct,iiig presence of coupliiig from
a single record of the ol)served sigiial
P-I
y(l) = p k P ' k r + ('(I),
k=O
wliere p k and wk are the anrplitudcs aiid frequencies of
the sinusoids respectively. The sinusoicls are cleteriiiiiiistic,
wliicl1 makes y ( t ) nonstatioiiary.
Anotlier problem of iiit,erest is iclentification of linear (al-
most) periodically time-v;iryiiig syat.eiiis (LPTV); see [I]
1058-6393/91$01.00 Q 1991 IEEE
22903-2442
for theory on almost periodic functions. Let h ( t ;r ) be the
iliipulse response of an LPTV system with nonGaussian
input ~ ( tand) observed output
y(t) = /L(t; r ) z ( t - T) + v(t). (3)
T
\Ve wish to estimate h ( t , T ) using a single recordof its input
a i i d or output data. Notice that (3) reduces to (1) when
h ( f ;T ) = g ( f ) 6 ( r ) .
From the description of these problems it seems desirable
to employ a tool that separates stationary from nonsta-
tionary signals, Gaussian from nonGaussian signals, and
is capable of liandling deterministic, stationary and non-
stationary signals 011 a common framework. Further, for
this tool to be useful in practice it is important that the
relevalit noristu/ionary statistics be consistently estimated
using a single record of the available noisy data. Higher-
order statistics (HOS) are capable of separating nonGaus-
sian signals from Gaussian and have received considerable
iiitcrest in stationnrysignal processing lately [15]. The the-
(1)
ory of 2rid-order (almost) periodic statistics has also been
tleveloping[ll], [19], [17], [lP], [7], [GI, [ l G ] and it has been
establislied that they are capable of separating 2nd-order
statistics of stationary and nonstationary signals. In this
paper we combine the two theories and develop polyspec-
t ra based noise insensitive algoIithms for (almost) periodic
sigiials and t rcat deterministic, stationary and nonstation-
a I y signals O H a coininon framework. IVe develop consis-
t eiit a n d asyiii pt ot ically normal polyspectral est imat ors us-
iiig single record. Tiiiie-doinain estimation of higher-order
statistics w a s addressed in [3], [in], [.I],[5] (see also [14]
for ?ntl-ortler results on consistent time- and freqiiency-
doiiiaiii estiniation). Tlie proposed estimators are em-
ploj,ed for 110.5-based identification, spectral analysis with
. .
iiiissing observations, siinultaneous frequency estimation
iiiicl cletectioii of coupling, and finally for developing tests
for cyclostationnrit,y.
(2) Tlie problem of inissiiig observations and aiiiplitude mod-
ulatioii (AM) \vas studied by Parzeit in [19] for estimating
2ncl-order statistics of the message signal, under noise-free
contlit ioiis. Consisteiit single record observations were de-
veloped under tlie assumption that tlie message signal was
Gaussian. \\'e also treat the stochastic carrier ca.se in (1)
wliicli \vas not addressed iii [IC)].
377
 HOS-based algorithms developed for dealing with the si- Using (7) and (8) it follows that,
nusoids in noise problem require availability of multiple
records for statistical estimation [22], [20] as opposed to
the single record estimation of this paper. Also, several aEA
approaches introduce phase randomization to force the si- T-1
nusoids to be wide-sense stationary, contrary to the ap-
proach adopted here (see also [24]).
A 2nd-order, input-output LPTV system identification
approach was reported in [7]. These approaches although U7e refer to Sk,(a;g)as the Cyclic Polyspectrum (CP).
insensitive to any stationary noise are susceptible to (al- Properties [5]:
most) periodic Gaussian noise of the same cycle as that of (i) Stationary signal: If z ( t ) is stationary then c k z ( t ; l ) =
the signal. On the other Band, the polyspectra based al- c r l ( ~ and
) hence from (7)
gorithms of this paper are insensitive a n y stationary noise Ck*(CY;L) = C k l ( L ) 1 ) ( ( Y ) z 0 a # O(mod2r);
as well as (almost) periodic Gaussian noise.
Skz(a;g) = Skr(g)q(a) 0 a # O(mod2*); (10)

2 NS-p olyspect ral est iiiiatioii where a ( ) is the discrete (Kronecker) delta train.
(ii) Gaussian noise insensitivity : We now demonstrate
Let z ( t ) be a nonstationary (NS) signal and let m k = ( t ; ~ )
the ability of the NS-HOS to separate Gaussian and non-
be it,s kth-order moment defined as: Gaussian signals. Let y(t) = z ( t ) + v ( t ) where z ( t ) is a
persistently NS signal and w ( t ) is additive Gaussian noise
of unknown covariance perhaps NS (AGN/UC) indepen-
A
dent of z ( t ) . We are interested in extracting the statistics
where z=[r1, ...,Tk-11. 1,Ve nest define a NS-cumulant of of z ( t ) from those of y(t). Using the insensitivity of cumu-
z ( t ) . Let us use the following notation lants to AGN/UC [5] it follows that
m , ( t ; l ) ~ ~ { z ( t + r c , ) . . . z ( t + r c , _ , ) } ; l =A( / o , ...,ik-1).
(5)
= =
c k u ( t ; l ) C k x ( t ; I ) ; Cky(a;I) C k z ( a ; I )
To express the kth-order cunitrlant of a process z ( t ) con- Sky(t;W) = S k s ( t ; g ) ; S*y(a;g) E Skz(a;W). (11)
sider the set of all partitions P = { V I , . . . , v p } of { O , 1 , . . , .
a
k - 1) [?I, where the pth-partition up={1l,. . . , l ~ ~with } ,
(iii) Stationary noise insensitivity : Let y(t) = z ( t ) v ( t ) +
with z ( t ) a persistently NS-signal and v ( t ) , a n y station-
t,he 1's consisting of soiiie of {O,1, . . . k - 1) depend-
ary noise independent of z ( t ) . Using property (i) and
ing upon tlie partit.ion. 137e use the convention that
c k Y ( t ; 1 )= c k = ( t ; ~+) c k v ( t ; ~ )it, follows that :
~ ~ = { l , =,...,
( ok - 1 ) ) and vp={ll=o ,...,l k = k - i } . \Vith TO = 0,
the kth-order cumulant is defined as Cky((Y;l) = Skr(a;W)a # 0
= C k , ( a ; r ) ; Sky(a;g)
P N, (12)
C k i ( t ; TI,. . . , r k k - l ) z x ( - l ) N p ( N p - I)! m=(t;lnxp). Properties (ii) and (iii) depict the noise-insensitivity of
p= 1 "lp=l NS-IIOS to AGN/UC perhaps NS and to a n y stationary
(.6) noise. These properties will be exploited in the remain-
We will be interested in a class of NS-process whose statis- ing sections of this paper to derive noise-insensitive algo-
tics accept a Fourier series representation; i.e., rithms. For implementation of these algorithms in prac-
tice it is necessary to define consistent estimators for the
ckz(t;l) = Ckz(Q';l)eJ"t NS-HOS. Strongly consistent and asymptotically normal
aEd estimators for the time-domain NS-HOS were given in [5].
T-I In this paper we present results on NS-polyspectral es-
ckZ(a;I) = lini1x c k x ( t ; I ) e
T - ~ T
-jot (7) timators. This work shows that the pioneering work
t=o of Brilliiiger-Roseiiblatt [2] can be extended to (almost)
A cyclostat,ionary-polyspectral estimation. Our aim is to de-
A = {Q' : C k r ( Q ' ; l ) $ O},
velop periodogranbt,ype estimators for the C P Skz of the
(crlniost) periodic process z ( t ) . Let X T ( W )be the finite-
where Q' is t,lie cyclic frcqucncy. This class of signals Inay
Fourier transform of z ( t ) defined as
be referred to as a class of pe te,,/ly r,o/,~:tcfliol~crry
sig- T-1
nals [3], [lo], [4], [5]. The stat.istics in (7) n i a y be called
cyclic-crr~~~u/arz~s or cyclic-IIOS as an est,eiisioii to the ter- ST(W) = z(t)e-Jwt. (13)
minology used by Garclner [GI for 2nd-order statist.ics. Second-order : Let tlie c$& 2nd-order periodogram be
Let S k r ( t ; g )denote the tirne-vu,.Ui/ill~~olllspect,.zrni
of z ( t ) A 1
defined as I$z)(Q';W)=-XT(W)XT((Y - W ) . (14)
T
(8) The asymptotic propert,ies of this periodogram can be sum-
-
T
niarized in tlie following theorem,

378
Tlicoreiii A: If z ( t ) is a zero-nieaii persistently NS
signal then the 2nd-order periodograin given by (14) is
asymptotically unbiased wit11 asymptotic covariaiice given
2XSO . . . , 2XSk-1
. . ' , 2 T STk - l ) I i p ( @ ;-,
?as0
as follows: 4(-, T T T )

lilllT,oo Cou{I;T)(a;A), I;:'(p; jL)} (15) tvheie tlie Lth-oider NS-peiiodogram is defined as
= &,(A - 11; -p)S2,(a -p - x + / I ; /1- P) I[T)(~;x~,...,x~-~)
= + ~ T ( ~ o j . . . x T ( ~ kancl
- l ) lives
only on Pp).
+ S22(a -X - / 1 ; --IL)S2r(X + /L - P ; /1 - P). lye now summaiize the asymptotic properties of the kth-
older srnoothed NS-peiiodogram in the following theorem:
Vuriance expressions for the inconsisteiit cyclic peri-
Tlicorem B: Let z ( t ) be a persistently nonstationary
odograin of periodically time-varying processes were de-
piocess so that, ( A l ) CllTfCkz(t;7-)I < 00, 1 =
rived by Hurd in [12] and are apparently in some minor
disagreement with the expressions of this paper. Tlieo- 0 , . . , , k - 1 (A2) Er Jr,Ck,(a;l)J < 00, 1 = 0,. . .,k -
rem A deals with covariance expressions for dijyerent cycle 1 and let the window function IV, along with (W1)-
frequencies and for d i f f r e n t frequencies. As in the sta- ( ~ 3 ) satisfies
, the foIIowing condition : (W4) IW(g)l 5
tionary case the 2nd-order periodograin is an inconsistent A(l + [Cl,,k--l u 2f ]112) - - ( k + c - l ) and I&SV(g)l 5 A(l +
estimator of NS-spectra. I t is however interesting to note
that if x and p are such that [ { ( A - p ) o r ( a - p - x +
E,,o111 l 1/2j--(k+c-1)I= 0 , . . . , k - 1. Then as de- si:)
fiiietl by (16) is consistent and asymptotically normal with
p ) } u i ~ ( i {- +
( ~p +
p)oT(--/L a - A)}] tl tlieii tIie co- cova1ia lice
variance expression of Tlicoreni A tends t o zero asyiiip-
totically. Loosely speaking this aiiiouiits to saying that
is X and are not separated by a cycle frequency then
the 2nd-order periodograins at these two frequeiicies are
asymptotically independent, however, if X and p are in-
deed separated by a cycle frequency then they are corre- Vb,O+LLP.-1
. . . q u k - 1 +pp-l
(o)+-fp-l(o) (k - 1) -TP-l ( k - 1)

lated, which quantifies tlie spect,ral correlation claims for

the APC-signals. Similar results liolcl for tlie general kth-
S 2 z ( Y O ; fLp-l(o) + YP-.-l(O)) ..'
order case. Remeinbering that tlie periodograin ordinates SZt(yk-l; fLP-l(k-l) + YP-1(k-1))

are unbiased and asympt.otically iiiclepeiitleiit for certain

frequencies, we averoye such frequencies a r o u n d the neigli-
borlioocl of an ordinate of interest ancl alipeal to a law of
J...s_-, I c'( TO, . . . , r k - 1 )iif(- rp- 1(o), . . . , - rp- 1 ( o ) j

?](E
- T, x)dTO . . dTk-1
'
large numbers type arguiiient to achieve a local enseinble
average of frequency in that iicigltborliood. B y assuming t

t h a t tlie NS-polyspectra are stiiootli \ve iiiny then argue where the sunimation over P includes only tlie terms in the
that the local average yields t lie tlesirecl KS-plyspectra ii~clecoinposablepartitions taken froin tlie following table
ordinate asyiiiptotically. WO w1 .. . Wk-1
k / l t - o r r / e i : We now const,ruct, consistelit NS-polyspectra 111 " ' L l k - 1 '
If0
(17)
estimators for the ktli-order case ( k 2 2). Averaging Alt hougli the results presented ltere are for auto-
of NS-periodogram ordinates can be p e r L " t l using a polyspectra of 1-d processes, analogous results hold for
continuous weight fuuctioii Tl;(uo,. . . , u k - 1 j that lives on i n 4 cross-polyspectra that are useful for multivariate and

+ +
. . . u k - 1 = a ancl is such that, iiiulticliiiiensioiial processes.
710
(Wl) s...s_", TV(g)6(C:: ~ l ) t l t r o. . . d 1 1 k - 1 = 1.
3 No 11 p ai-aim e t r i c id e nt i fi c at io 11
(w2) r v ( u o , . . . , 7 1 k - l ) = TI'(-^^^, . . . , - i l k - l j

L?;-'T
P(g) =
A
-
(110,.
m as T
..,uk-1
-
(W3) and bandwicltli l 3 ~satisfies U T

: ifJ E ,-I}
0 aiicl
+

m. Defiiie tlie p r i i i c i p u / i i / c r ~ i J o / d
a i i d the p i ~ o p i 'sub-
Let h ( t ; r ) , be ail LPTV system with period TO,input z ( 1 )
aiid output y ( t ) so that,
m
A
~ ){ 7 f O , . . . , ( I k - 1 :
??7,Cf/?i/old P P , ( = 111 E c,,,
for 80111e y(t) = /i(t; r ) z ( t - r), (18)
noiicnipty proper subsets J of [ ( I , . . . , k - I]}. Let d(g) be r=-w

an iiidicat.or fuiiction that is non-zero aiirl e(11ta1 1.0 riiiity with h ( t + nT0;T ) h ( t ; T ) Viz, r , t . T h e system accepts a
only when E P ( g )n P , ( g ) \vIiere~clciiolcsa coiiiplciiieiit. Fourier series espaiisioii 1v.r.t. t ; thus
f- 1
a
Let T V ~ ( t f o , .. . ,7lk-1) = U&-'Tl'(flG'~o,.. . , D G 1 t ~ k - 1 ) .
Defiiie the sruoo//red NS-perioclograiii d t=o
Let n o i ~ 9 y~tieasiirenieiitsof the 1 / 0 data be available,
.I;,P y a ;u o ,. . . , L ' k - 1 ) (16)

'For Proofs sce Uiiiv. of \'it,gitiia Rep. No. y ( f ) = y ( l ) + L l y ( f ) ; ? ( t j = x ( t ) + u,(tj. (20)

192444B/E:EDl/lZG, Oct., 1091. Follo\ving assuinpt.ioiis are macle,

379
(-41) Csuplh(t;r)I < The following TV normal equations can be derived for
T r] 2 q t , . . . , T k - 1 2 qt in the cumulant domain,
z ( t ) is an NLNS process as in [IO, Thm. 11
(A2)
(A3) v,(t) and vy(t) are zero-mean stationary or NS
AGN/UC, independent of both z ( t ) and y ( t ) .
1/0 identification of LPTV svstems
If z ( t ) is stationary then it can be shown [4] that
X ( a ;-w1 - . . . - W k - I ) = ss+(a;g)/Skz(O;g),
(21)
providing a noise-insensitive polyspectra-based algorithm.
1/0 identification for LPTV systems using 2nd-ordercyclo-
stationary statistics have been considered in [GI. However
estimators for the ideal statistics required by the 2nd-order
algorithm have not been considered. Also these approaches
are susceptible corruption of the input z ( t ) by cyclosta-
tionary AGN of unknown covariance and of tlie same cy-
cle frequency as that of the input as opposed to the HOS
statistics of this paper.
Output-onlv identification
If h ( t ;T ) models a seasonal time-series desciibed by a si-
nusoidal periodicity, for example, then assuming that z ( t )
is i.i.d., considerably simplifies the espiession for H and
yields a simple frequency domain, output only identifica-
tion scheme; e.g., for I; = 3, S 3 y ( ~ ; w 1 , w 2=) y X ( a ; w l -
cr)X(o;w2 - a ) X ( a ; - w 1 - w2). In this case, the log-
bispectrum methods of [31] may be used for recoveling
X ( a ; w ) from S 3 y ( a ; w l , w z ) .
Third-older cumulant based algoiitlmis for 1/0 and
output-only identification can be found in [3].
TV-hlA estimation - a linear method
Let y(t) = h ( t ;r ) z ( t - T ) , repiesent an hIA(q) sys-
tem h with 1.i.d. input z ( t ) . With I; = 3 , it can be shown
that , [4],
12(t; r ) = ~ 3 ~ y,
( t~ ; ) / c 3 ~ q( ,t0).
; (32)
After estimating C J ~ ,one can use the linear equations
of ( 2 2 ) to solve for h ( t ;7). Consistent 110s-estimators
of Section 2 and [3] should be employed for the iequiiecl
statistics. Using the asymptotic noiniality of these IIOS-
estimatois one can do peifoimance evaluation for these
algo 1it h nis.
4 Paraiiietric identification
Let y(t) be generated by tlie followiug time varying
ARhIA(pt,yt) model,
Pl 01
a(i)y(t - i) = b ( i ) ( t- Z), (33)
i=O ,=O
where, ( i t s and bts represent tlie PTV AR and AIA coeffi-
cient.s, pt and yt represent the T V A l l and AIA orders and
finally r ( t ) reprcsent,s i.i.d. noise.
The nois!! measurement of ~ ( tis) given as,
+
g ( t ) = Y(2) U Y ( t ) (34)
where v y ( t ) is zero-mean statioitary or NS AGN/UC, in-
dependent of y ( t ) .
380
5
1=0
at(Z)Cum~tj(t-i),g(t-Tl), . . . , g ( t - T k - I ) } e 0. (25)
Using the strongly consistent estimators of [3] the required
cumulants, c u m { t j ( t - z ) , t j ( t - q ) , . . . , g ( t - ~ k - l ) } , are esti-
mated and (25) is solved for ats. Using the estimated ats
tj is inverse filtered to obtain an AR compensated process.
Using the methods outlined in [3], on the AR compensated
process, the MA part can be estimated. Other approaches
using cumulant or polyspectral matching criteria are also
possible for estimating the hfA part.
A special case of the system identification results when at,
b t , pt and qt are periodic in t [ 2 5 ] . The resulting ARMA
system is periodically time varying and has an important
application in recasting multichannel systems into simple
one dimensional periodic ARhiA models, thus consider-
ably reducing tlie required memory storage for multichan-
nel system identification.
It is well known that HOS preserve phase information and
2nd-order statistics are phase blind. Therefore all the
HOS-algorithms described in this and the previous section
have the capability of preserving time-varying phase infor-
mation and hence are capable of identifying noncausal and
nonminimum phase systems. This comes as an additional
merit in favor of cyclic 110s over 2nd-order statistics when
pliase information is important.
5 Missing Observations/AM signals
Let z ( t ) be a series of interest and suppose that y ( t ) is
available instead of z ( t ) such that
where g ( t ) is a known function modulated by 0-mean non-
Gaussian z ( t ) ancl v ( t ) is additive noise. The goal is to
estimate statistics of z ( t ) from a given stretch of data
{y(t)}?=> from a single recorcl.
The problem of spectral analysis with missing observa-
tions and amplitude modulation has been of interest in
communication and radar signal processing (see e.g., [19]
and references therein). In these situations g ( t ) is de-
termitiistic and known; e.g., communication carrier, or
a niodel for systeniatically missing observations; it is as-
sumed that z ( t ) is zero-mean stationary and v ( t ) is also
zero-mean independent of z(t ) . The ?id-order cumulant
of y(t) is given as
In [19] v ( t ) was assumed to be absent. Further, assuming
that z ( t ) is Gaussian it was shown under certain regularity
conditions tliat,
T-I
t=O
 T-1
If v ( t ) is AGN/UC then c k v I 0; also if w(t) is stationary
C g ( t ) g ( t +r),
1
= c z = ( r ) lim
T-CO
-
T then the following holds true
t=O
Cky(a;E) = b f k g ( t ; E ) C k r ( z ) , a # 0. (34)
where the equality is to be interpreted in the MSS. From
(28) it is clear that if g ( t ) is known then c2= ca.n be consis- Analogous to the 2nd-order case one can define an estima-
tently estimated from the sample correlation of y(t). How- tor t k l of ckz by replacing Cky with C k y ; thus
ever wlien limT,, +
~;=''g(t)g(t +
T ) = o this estimator
is not useful. We now present an estimator for c2= which ?kz(I) =tky(a;L)/Mkg(t;l). (35)
imposes looser conditions on g ( t ) and treats the approach Variance expressions can be derived for this estimator by
[19] as a special case. Also the estimator proposed in this using the results of [5]. Identification of ARMA models
paper can be shown to be strongly consistent under cer- when z ( t ) is an ARMA process and the available observa-
tain general conditions and are also insensitive to the noise tions are missing will be considered in future. Also, recov-
w(t). Let e;;)
denote an estimator of C2, defined as ery of signal correlation as a function of SNR with specific
type of g ( t ) ' s can be considered along the lines of [19].
1 T-l The case where g ( t ) is stochastic is considered in [5] (see
t $ ; ) ( a ;T) = -Cy(t)y(t
T
+ r)e-jQt. (29) also [23] for stationary processes).
t=O

Notice that the estimator employed in [19] is a particular

G Test for cyclostatioiiarity
case of C$:)(a; T ) for a = 0. Under fairly general condi- In order to efficiently exploit the ability of (almost) pe-
tions it can be shown [3] tliat for a large class of nonlineur riodic HOS to separate a (almost) periodic process from
nonstotionory processes a stationary process one must have knowledge about the
cycle frequencies of the (almost) periodic process. Often,
liin a ; + ~ 2 , ( t ;T).
t i t ) ( a T; ) ' 4 . ~ 2 ~ ( ar ;) = c z l ( r ) ~ ~ 4 2 , ( 7) in practice, this knowledge is not available and therefore
T-C.2
it is important to develop tests for presence of cycle fre-
(30) quencies. Since Sk=(a;g) is non-zero only if a is a cycle
If w(t) is any stationary noise then
frequency, one can a define a kth-order cyclostationarity
t,est with the following detection statistic
,15~t$:)(a;r)a4'~2y(a;
T ) = c 2 = ( r ) . ~ 2 , ( ar;) a # 0.

Hence, a consistent estiiriator of C ~ = ( T is

) given as

tZZ(T) = t$:'(a; r ) / ~ 2 , ( ar ); ,
provided that M Z ~ T() ~ # ;0 for this value of a. Notice
that ti:)
is insensitive to v ( t ) . Variance of t 2 = ( r )can
be obtained in terms of the variance of ti;) and M 2 9 .
Variance espressioiis for estimators of the type can be
?y
found in [5]. The follo~vinginteresting example illustrates
the main features of this section.
Example: Let g ( t ) = e 3 " O t therefore i U 2 9 ( a ; r ) =
ejwOr6(a - 2wo) therefore e-~wort$~)(2wo; 7) is a consis-
tent estimator of c z Z ( r ) . Tlie estimator of [19] canuot be
uscd in this case since M2,(0; r ) G 0. Also the approach
of tliis paper is insensitive to presence of crny stationary
w(t) since C z V ( a ;r ) I 0 , a # 0 .
Estimation of cumulants: Tlie aim is to estiiiiate the cu-
mulant statistics of z ( t ) using finite stretch of data g ( t ) .
Cumidants of z ( t ) can be uscd for non-ntirtimum phase
ARhlA identification when z ( t ) is an ARMA process. As
pointed out in Section 3 , 2nd-order statistics cannot be
nsed to identify non-miniinnin pltase systeins becanse t,liey
do not preserve phase inforination.
It follows from ( 2 s ) tliat
(31) where the numerator and the denominator of (3G) can be
consistently estimated using the estimators of Section 2.
One can plot D(k.) as a function of a for fixed g ' s and
check for the "peaks" to test for presence of cyclic fre-
quency a. Other possibility of averaging the test statistic
over different g and over different a's exist and may have
applications in detection and classification of nonGaussian
cyclostationary signals in Gaussian noise.
Using the asymptotic normality and the variance expres-
sions of the cuniulant spectral estimators one can do per-
formance evaluat,ion using s2 type tests. Second-order
tests for presence of cycle frequencies were also reported in
[13], however, consistency and other asymptotic properties
of tlie statistic were not derived. Also the variance normal-
ization used in their statistics seems to be inappropriate
for deriving statistical tests.
7 Coupling aiid frequency estiiiiatioii
Let x(t) be a nonstationary signal given as
P-I
k=O

C k y ( t ; l )= g ( t ) g ( t + + Tk-I)Ckz(L) + C k v ( i ; r )
Tl)"'g(t with 0 < W O , . . . , w k - ~ < A, w(t) is stochastic. The aim
(32) is to be able to estimate wk's and detect coupling i.e., de-
Ck,(a;l)= . M k g ( G L ) C k x ( L )+ ck"(a;L) (33) + +
teriuine whether wk = w~ . . . w,, R , I , n E [0, ' l - 11

381
from a finite stretch of data {x(t)}:=:'. We will glance at Cyclic-third-order moment
the cyclic-mean, cyclic-correlation and cyclic third-order Third-order coupling can be detected using cyclic-third-
moment as tools for frequency estimation and detection of order moments. It can be shown that for a # 0, a # X
coupling for sinusoids in noise. It should be noted that we XI # a and Xz # a,
do not impose any phase randomization assumption on the
P-1
sinusoids.
Cyclic- mean S 3 r ( a ; X l , X 2 )= akoaklakx9(Xl -Wkl)

Let v ( t ) have constant mean although it can be nonsta- ko,ki,ka=O

tionary; e.g., v ( t ) = y ( t ) e J x o t with E{y(t)} = 0. Nom, 9(XZ -Wk1)9(wko + Wkl + wka - a)

P-1

m ( t ) = E { z ( t ) }= s ( t ) + m ,
A
(38) +s(X1 + X2) (Ykl)((Y - wk)s2v(XZ) (42)
k=O
where mu is the mean of v ( t ) .
A
If M(a)=limT-oo+ CT='lm(t)e-iat represents the cyclic
The first term in the r.h.s. of (42) peaks at (a= W k o + w k l +
w k 2 , XI = w k l , XI = w k 2 ) and the second term peaks at
mean then
(a = W k , = -XZ). Therefore if one avoids = 0, +
T-1 with a # 0, X1 # a and X2 # a and searches for the
peaks, these will be due to the first term of (42) and one
t=O can solve for w k l and wk2 from the values of A1 and XZ and
then solve for w k o = f f - W k l - W k 2 . Further if &=(a;0,o) is
Using (37) and (39) it follows that for a #0 non-zero then there exists a frequency W k = Wk,, + W k l +wka
indicating presence of third-order coupling.

References
The cyclic mean M ( a ) can be consistently estimated us-
ing + z(t)e-jat. Therefore, regardless of whether
v ( t ) is stationary or nonstationary as long as it has con-
stant mean the sinusoidal frequencies and the p's can be
consistently estimated. However, this method does not
explicitly indicate presence of coupling. Coupling is im-
[l]
[Z]
A S . B e s i c o v i t c h , A l m o s t p e r i o d i c f u n c t i o n s , Dover p u b l i c a t i o n s , 1954.
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portant when one wishes to detect nonlinearity.
Cyclic-correlation
We now demonstrate that second-order coupling can be
detected using cyclic-correlations. We assume that v ( t ) is
151 A.V. D a n d a w a t e a n d G.B. G i a n n a k i s , " E r g o d i c i t y a n d a s y m p t o t i c nor-
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Hill, N.Y., 1990.
s e c o n d ed.. McGraw-

[E] W.A. G o r d n e r , I E E E S i s u a 1 P r o c e s s i n g M a g a z i n e , p p . 14-36, A p r i l 1991.

P-1

Szz(a;X) = PkoPk19(Wko + Wkl - a)p(X - Wkl)

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k=O 1131 H.L. H u r d a n d N.L. G e r r , J o u r n a l of t i m e s e r i e s a n a l y s i s , p p . 337-350,

The first term in the 1.11s. of (41) peaks for a = wk0 + w k l
and X = w k l . By locating these peaks we can solve for w k l
from the value of X and then solve for w k o = (Y--Wkl as long
as it is not zero. The second term indicates the presence of
vol. 1 2 , No. 4 , 1991.
1141 H.L. H u r d a n d J . Leskow, Tech. R e p . # 308 a n d #930, D e p t . of . t a t i i t i c s ,
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coupling. This term peaks for a = w k at X = 0. Therefore [ll] H. Ogura, I E E E T r a n s . on I n f o r m a t i o n T h e o r y , p p . 143-149, M a r c h 1971.

if and only if there exists second order coupling i.e., for [IS] M. P a g a n o , T h e A n n a l s of S t a t i s t i c s , p p . 1310-1311, 1918.

+
some 1,10,E l , W k = wk0 w k l then there will be peaks 1191 E. P a r r e n , S A N K H Y A : T h e I n d i a n journal of s t a t i s t i c .
383-392. 1963.
: Serie. A, p p .

+ +
at (a = wk0 W k l , X = w k l ) und (a = wk0 w k l , X = O ) , [?O] M.R. R a g h u v e e r a n d C . L . N i k i a s , I E E E T r a n s . on ASSP. p p . 1213-1230,
provided that mu # 0. Thus the cyclic-correlation can Oct.. I985

1211 M. Rangoussi a n d G.B. G i a n n a k i r , I E E E - C A S , p . 281, 1991.

be used to simultaneously estimate frequencies and detect
[??I
coupling provided v ( t ) is non-zero mean. However, if in,, =
[?3]
0 this method can be used only to estiniate frequencies and
A. S w a m i a n d J . M . h l e n d e l , I E E E T r a n s . o n S P , p p . 1099-1109, M a y 1991.
A. S w a m i , 5 t h A S S P W o r k s h o p on S p e c t r a l E s t i m a t i o n a n d Modeling, PP.
212-216, October 1990.

not for detecting coupling. Nest we describe a inethod for [?4] A. S w a m i , P r o c e e d i n g s of Higher-Order S p e c t r a l Ano1y.i. Workshop,
France, J u l y 10-12, 1991.
simultaneous frequency estimation and det.ection of third-
[?SI A.V. Vecchia, W a t e r Resources B u l l e t i n , p. 721, Oct., 1985.
order coupling that works even when a ( t ) is zero-mean.

382