Spectral concentration problem

Spectral concentration problem

The spectral concentration problem in Fourier analysis refers to finding a time sequence whose discrete Fourier transform is maximally localized on a given frequency interval, as measured by the spectral concentration.

pectral concentration

The discrete Fourier transform (DFT) "U"("f") of a finite series w_t, t = 1,2,3,4,...,T is defined as

:U(f) = sum_{t=1}^{T}w_t e^{-2pi ift}.

In the following, the sampling interval will be taken as Δ"t" = 1, and hence the frequency interval as "f" ε [-½,½] . "U"("f") is a periodic function with a period 1.

For a given frequency "W" such that 0<"W"<½, the spectral concentration lambda(T,W) of "U"("f") on the interval [-"W","W"] is defined as the ratio of power of "U"("f") contained in the frequency band [-"W","W"] to the power of "U"("f") contained in the entire frequency band [-½,½] . That is,

:lambda(T,W) = frac{int_{-W}^{W} {|U(f)^2 ,df} {int_{-1/2}^{1/2} {|U(f)^2 ,df}.

It can be shown that "U"("f") has only isolated zeros and hence 0 (see [1] ). Thus, the spectral concentration is strictly less than one, and there is no finite sequence w_t for which the DFT can be confined to a band [-"W","W"] and made to vanish outside this band.

tatement of the problem

Among all sequences lbrace w_t brace for a given "T" and "W", is there a sequence for which the spectral concentration is maximum? In other words, is there a sequence for which the sidelobe energy outside a frequency band [-"W","W"] is minimum?

The answer is yes; such a sequence indeed exists and can be found by optimizing lambda(T,W). Thus maximising the power

:int_{-W}^{W} {|U(f)^2 ,df,

subject to the constraint that the total power is fixed, say

:int_{-1/2}^{1/2} {|U(f)^2 ,df=1,

leads to the following equation satisfied by the optimal sequence w_t:

:sum_{t^{'}=1}^{T} frac{sin2pi W(t-t^{'})} {pi(t-t^{'})}w_{t^{' = lambda w_{t}.

This is an eigenvalue equation for a symmetric matrix given by

:M_{t,t^{' = frac{sin2pi W(t-t^{'})}{pi(t-t^{'})}.

It can be shown that this matrix is positive-definite, hence all the eigenvalues ofthis matrix lie between 0 and 1. The largest eigenvalue of the above equation corresponds to the largest possible spectral concentration; the corresponding eigenvector is the required optimal sequence w_t. This sequence is called a 0"th"–order Slepian sequence (also known as a discrete prolate spheroidal sequence, or DPSS), which is a unique taper with maximally suppressed sidelobes.

It turns out that the number of dominant eigenvalues of the matrix "M" that are close to 1, corresponds to "N=2WT" called as Shannon number. If the eigenvectors lambda are arranged in decreasing order (i.e, lambda_{1}>lambda_{2}>lambda_{3}>...>lambda_{N}), then the eigenvector corresponding to lambda_{n+1} is called "nth"–order Slepian sequence (DPSS) (0≤"n"≤"N"-1). This "nth"–order taper also offers the best sidelobe suppression and is pairwise orthogonal to the Slepian sequences of previous orders (0,1,2,3....,n-1). These lower order Slepian sequences formthe basis for spectral estimation by multitaper method.

Not limited to time series, the spectral concentration problem can be reformulated to apply on the surface of the sphere by using spherical harmonics, for applications in geophysics and cosmology among others.

References

* Partha Mitra and Hemant Bokil. "Observed Brain Dynamics", Oxford University Press, USA (2007), [http://www.us.oup.com/us/catalog/general/subject/Medicine/Neuroscience/?view=usa&ci=9780195178081 Link for book]
* Donald. B. Percival and Andrew. T. Walden. "Spectral Analysis for Physical Applications: Multitaper and Conventional Univariate Techniques", Cambridge University Press, UK (2002).
* Partha Mitra and B. Pesaran, "Analysis of Dynamic Brain Imaging Data." The Biophysical Journal, Volume 76 (1999), 691-708, [http://arxiv.org/abs/q-bio/0309028 arxiv.org/abs/q-bio/0309028 ]
* F. J. Simons, M. A. Wieczorek and F. A. Dahlen. "Spatiospectral concentration on a sphere". SIAM Review, 2006, [http://dx.doi.org/10.1137/S0036144504445765 doi:10.1137/S0036144504445765]

ee also

*Multitaper
*Fourier transform
*Discrete Fourier transform
*Shannon number


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