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Cyclostationarity - Half a Century of Research

Cyclostationarity - Half a Century of Research

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ARTICLE IN PRESS

Signal Processing 86 (2006) 639–697
Review
Cyclostationarity: Half a century of research
William A. Gardner
a
, Antonio Napolitano
b,Ã
, Luigi Paura
c
a
Statistical Signal Processing Incorporated (SSPI), 1909 Jefferson Street, Napa, CA 94559, USA
b
Universita` di Napoli ‘‘Parthenope’’, Dipartimento per le Tecnologie, via Acton 38, I-80133 Napoli, Italy
c
Universita` di Napoli ‘‘Federico II’’, Dipartimento di Ingegneria Elettronica e delle Telecomunicazioni, via Claudio 21,
I-80125 Napoli, Italy
Received 22 December 2004; accepted 29 June 2005
Available online 6 September 2005
Abstract
In this paper, a concise survey of the literature on cyclostationarity is presented and includes an extensive
bibliography. The literature in all languages, in which a substantial amount of research has been published, is included.
Seminal contributions are identified as such. Citations are classified into 22 categories and listed in chronological order.
Both stochastic and nonstochastic approaches for signal analysis are treated. In the former, which is the classical one,
signals are modelled as realizations of stochastic processes. In the latter, signals are modelled as single functions of time
and statistical functions are defined through infinite-time averages instead of ensemble averages. Applications of
cyclostationarity in communications, signal processing, and many other research areas are considered.
r 2005 Elsevier B.V. All rights reserved.
Keywords: Cyclostationarity; Almost-cyclostationary time series; Almost-cyclostationary processes; Bibliography
Contents
1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 641
2. General treatments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 642
3. General properties and structure of stochastic processes and time-series . . . . . . . . . . . . . . . . . . . . . . . . . . 642
3.1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 642
3.2. Stochastic processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643
3.2.1. Continuous-time processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643
3.2.2. Discrete-time processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 645
www.elsevier.com/locate/sigpro
0165-1684/$ - see front matter r 2005 Elsevier B.V. All rights reserved.
doi:10.1016/j.sigpro.2005.06.016
Ã
Corresponding author. Tel.: +39 081 768 37 81; fax: +39 081 768 31 49.
E-mail addresses: wag@statsig.com (W.A. Gardner), antonio.napolitano@uniparthenope.it (A. Napolitano),
luigi.paura@unina.it (L. Paura).
ARTICLE IN PRESS
3.3. Time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 646
3.3.1. Continuous-time time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 646
3.3.2. Discrete-time time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 648
3.4. Link between the stochastic and fraction-of-time approaches . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
3.5. Complex processes and time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
3.6. Linear filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 650
3.6.1. Structure of linear almost-periodically time-variant systems . . . . . . . . . . . . . . . . . . . . . . . . 650
3.6.2. Input/output relations in terms of cyclic statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 650
3.7. Product modulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 651
3.8. Supports of cyclic spectra of band limited signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 652
3.9. Sampling and aliasing. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 653
3.10. Representations by stationary components . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 654
3.10.1. Continuous-time processes and time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 654
3.10.2. Discrete-time processes and time series. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 655
4. Ergodic properties and measurement of characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 656
4.1. Estimation of the cyclic autocorrelation function and the cyclic spectrum . . . . . . . . . . . . . . . . . . . . 656
4.2. Two alternative approaches to the analysis of measurements on time series . . . . . . . . . . . . . . . . . . . 657
5. Manufactured signals: modelling and analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 658
5.1. General aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 658
5.2. Examples of communication signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 659
5.2.1. Double side-band amplitude-modulated signal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 659
5.2.2. Pulse-amplitude-modulated signal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 659
5.2.3. Direct-sequence spread-spectrum signal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 660
6. Natural signals: modelling and analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 661
7. Communications systems: analysis and design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 661
7.1. General aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 661
7.2. Cyclic Wiener filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 661
8. Synchronization. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
8.1. Spectral line generation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
9. Signal parameter and waveform estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
10. Channel identification and equalization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 664
10.1. General aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 664
10.2. LTI-system identification with noisy-measurements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 664
10.3. Blind LTI-system identification and equalization. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 665
10.4. Nonlinear-system identification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 665
11. Signal detection and classification, and source separation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 665
12. Periodic AR and ARMA modelling and prediction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 666
13. Higher-order statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 666
13.1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 666
13.2. Higher-order cyclic statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667
13.2.1. Continuous-time time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667
13.2.2. Discrete-time time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 669
14. Applications to circuits, systems, and control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 670
15. Applications to acoustics and mechanics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 670
16. Applications to econometrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
17. Applications to biology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
18. Level crossings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
19. Queueing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
20. Cyclostationary random fields. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
21. Generalizations of cyclostationarity. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
21.1. General aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 640
1. Introduction
Many processes encountered in nature arise
from periodic phenomena. These processes,
although not periodic functions of time, give rise
to random data whose statistical characteristics
vary periodically with time and are called cyclosta-
tionary processes [2.5]. For example, in telecom-
munications, telemetry, radar, and sonar
applications, periodicity is due to modulation,
sampling, multiplexing, and coding operations. In
mechanics it is due, for example, to gear rotation.
In radio astronomy, periodicity results from
revolution and rotation of planets and on pulsa-
tion of stars. In econometrics, it is due to
seasonality; and in atmospheric science it is
due to rotation and revolution of the earth.
The relevance of the theory of cyclostationarity
to all these fields of study and more was first
proposed in [2.5].
Wide-sense cyclostationary stochastic processes
have autocorrelation functions that vary periodi-
cally with time. This function, under mild reg-
ularity conditions, can be expanded in a Fourier
series whose coefficients, referred to as cyclic
autocorrelation functions, depend on the lag para-
meter; the frequencies, called cycle frequencies, are
all multiples of the reciprocal of the period of
cyclostationarity [2.5]. Cyclostationary processes
have also been referred to as periodically correlated
processes [2.18,3.5]. More generally, if the frequen-
cies of the (generalized) Fourier series expansion of
the autocorrelation function are not commensu-
rate, that is, if the autocorrelation function is an
almost-periodic function of time, then the process
is said to be almost-cyclostationary [3.26] or,
equivalently, almost-periodically correlated [3.5].
The almost-periodicity property of the autocorre-
lation function is manifested in the frequency
domain as correlation among the spectral com-
ponents of the process that are separated by
amounts equal to the cycle frequencies. In contrast
to this, wide-sense stationary processes have
autocorrelation functions that are independent
of time, depending on only the lag para-
meter, and all distinct spectral components are
uncorrelated.
As an alternative, the presence of periodicity in
the underlying data-generating mechanism of a
phenomenon can be described without modelling
the available data as a sample path of a stochastic
process but, rather, by modelling it as a single
function of time [4.31]. Within this nonstochastic
framework, a time-series is said to exhibit second-
order cyclostationarity (in the wide sense), as first
defined in [2.8], if there exists a stable quadratic
time-invariant transformation of the time-series
that gives rise to finite-strength additive sinewave
components.
In this paper, a concise survey of the literature
(in all languages in which a substantial amount of
research has been published) on cyclostationarity
is presented and includes an extensive bibliography
and list of issued patents. Citations are classified
into 22 categories and listed, for each category, in
chronological order. In Section 2, general treat-
ments and tutorials on the theory of cyclostatio-
narity are cited. General properties of processes
and time-series are presented in Section 3. In
Section 4, the problem of estimating statistical
functions is addressed. Models for manufactured
and natural signals are considered in Sections 5
and 6, respectively. Communications systems and
related problems are treated in Sections 7–11.
Specifically, the analysis and design of commu-
nications systems is addressed in Section 7, the
problem of synchronization is addressed in Section
8, the estimation of signal parameters and wave-
forms is addressed in Section 9, the identification
and equalization of channels is addressed in
Section 10, and the signal detection and classifica-
tion problems and the problem of source separa-
tion are addressed in Section 11. Periodic
autoregressive (AR) and autoregressive moving-
average (ARMA) modelling and prediction are
treated in Section 12. In Section 13, theory and
ARTICLE IN PRESS
21.2. Generalized almost-cyclostationary signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
21.3. Spectrally correlated signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 673
Further references . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 697
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 641
applications of higher-order cyclostationarity are
presented. We address applications to circuits,
systems, and control in Section 14, to acoustics
and mechanics in Section 15, to econometrics in
Section 16, and to biology in Section 17. Applica-
tions to the problems of level crossing and
queueing are addressed in Sections 18 and 19,
respectively. Cyclostationary random fields are
treated in Section 20. In Section 21, some classes
of nonstationary signals that extend the class of
almost-cyclostationary signals are considered. Fi-
nally, some miscellaneous references are listed
[22.1–22.8]. Further references only indirectly
related to cyclostationarity are [23.1–23.15].
To assist readers in ‘‘going to the source’’,
seminal contributions—if known— are identified
within the literature published in English. In some
cases, identified sources may have been preceded in
the literature of another language, most likely
Russian. For the most part, the subject of this
survey developed independently in the literature
published in English.
2. General treatments
General treatments on cyclostationarity are in
[2.1–2.18]. The first extensive treatments of the
theory of cyclostationary processes can be found
in the pioneering works of Hurd [2.1] and Gardner
[2.2]. In [4.13,2.5,2.11], the theory of second-order
cyclostationary processes is developed mainly with
reference to continuous-time stochastic processes,
but discrete-time is the focus in [4.13]. Discrete-
time processes are treated more generally in [2.17]
in a manner largely analogous to that in [2.5]. The
statistical characterization of cyclostationary time-
series in the nonstochastic framework is intro-
duced and treated in depth [2.6,2.8,2.12,2.14] with
reference to continuous-time signals and in [2.15]
for both continuous- and discrete-time signals.
The case of complex signals is introduced and
treated in depth in [2.8,2.9]. Finally, a rigorous
treatment of periodically correlated processes
within the framework of harmonizable processes
is given in [2.18].
The theory of higher-order cyclostationarity in
the nonstochastic framework is introduced in
[13.4,13.5], and treated in depth in [13.9,13.13,
13.14,13.17]. An analogous treatment for stochas-
tic processes is given in [13.10].
3. General properties and structure of stochastic
processes and time-series
3.1. Introduction
General properties of cyclostationary processes
(see [3.1–3.91]) are derived in terms of the Fourier
series expansion of the autocorrelation function.
The frequencies, called cycle frequencies, are
multiples of the reciprocal of the period of
cyclostationarity and the coefficients, referred to
as cyclic autocorrelation functions, are continuous
functions of the lag parameter. Cyclostationary
processes are characterized in the frequency
domain by the cyclic spectra, which are the Fourier
transforms of the cyclic autocorrelation functions.
The cyclic spectrum at a given cycle frequency
represents the density of correlation between two
spectral components of the process that are
separated by an amount equal to the cycle
frequency. Almost-cyclostationary processes have
autocorrelation functions that can be expressed in
a (generalized) Fourier series whose frequencies
are possibly incommensurate.
The first contributions to the analysis of the
general properties of cyclostationary stochastic
processes are in the Russian literature [3.1–3.3,
3.5,3.7–3.9]. The problem of spectral analysis is
mainly treated in [3.10,3.11,3.32,3.35,3.51,3.53,
3.61,3.68,3.69,3.80,3.88]. The stationarizing effects
of random shifts are examined in [3.20,3.26,3.57]
and the important impact of random shifts on
cyclo-ergodic properties is exposed in [2.15]. The
problem of filtering is considered in [3.9,3.13,3.67].
The mathematical link between the stochastic
and nonstochastic approaches, which was first
established in [2.5,2.12], is rigorously treated in
[3.87]. Wavelet analysis of cyclostationary pro-
cesses is addressed in [3.70,3.81].
For further-related references, see the general
treatments in [2.1,2.2,2.4–2.8,2.11–2.13,2.15,2.18],
and also [4.13,4.31,4.41,13.2,13.3,13.6,16.3,18.3,
21.9,21.14].
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 642
3.2. Stochastic processes
3.2.1. Continuous-time processes
Let us consider a continuous-time real-valued
stochastic process {x(t; o); t c R; o c O], with ab-
breviated notation x(t) when this does not create
ambiguity, defined on a probability space
(O; F; P), where O is the sample space, equipped
with the s-field F, and P is a probability measure
defined on the elements of F.
The process x(t) is said to be Nth-order
cyclostationary in the strict sense [2.2,2.5] if its
Nth-order distribution function
F
x(t÷t
1
)···x(t÷t
N÷1
)x(t)
(x
1
; . . . ; x
N÷1
; x
N
)
9P{x(t ÷ t
1
)px
1
; . . . ; x(t ÷ t
N÷1
)
px
N÷1
; x(t)px
N
] (3:1)
is periodic in t with some period, say T
0
:
F
x(t÷t
1
÷T
0
)···x(t÷t
N÷1
÷T
0
)x(t÷T
0
)
(x
1
; . . . ; x
N÷1
; x
N
)
= F
x(t÷t
1
)···x(t÷t
N÷1
)x(t)
(x
1
; . . . ; x
N÷1
; x
N
)
\t c R \(t
1
; . . . ; t
N÷1
) c R
N÷1
\(x
1
; . . . ; x
N
) c R
N
. (3:2)
The process x(t) is said to be second-order
cyclostationary in the wide sense [2.2,2.5] if its
mean E{x(t)] and autocorrelation function
R
x
(t; t)9E{x(t ÷t)x(t)] (3.3)
are periodic with some period, say T
0
:
E{x(t ÷ T
0
)] = E{x(t)], (3.4)
R
x
(t ÷ T
0
; t) = R
x
(t; t) (3.5)
for all t and t. Therefore, by assuming that the
Fourier series expansion of R
x
(t; t) is convergent
to R
x
(t; t), we can write
R
x
(t; t) =

÷o
n=÷o
R
n=T
0
x
(t)e
j2p(n=T
0
)t
, (3.6)
where the Fourier coefficients
R
n=T
0
x
(t)9
1
T
0
_
T
0
=2
÷T
0
=2
R
x
(t; t)e
÷j2p(n=T
0
)t
dt (3.7)
are referred to as cyclic autocorrelation functions
and the frequencies {n=T
0
]
ncZ
are called cycle
frequencies. Wide-sense cyclostationary processes
have also been called periodically correlated
processes (see e.g., [2.1,3.3,3.59]). As first shown
in [3.23], x(t) and its frequency-shifted version
x(t)e
j2pnt=T
0
are correlated. The wide-sense station-
ary processes are the special case of cyclostation-
ary processes for which R
n=T
0
x
(t)c0 only for
n = 0. It can be shown that if x(t) is cyclosta-
tionary with period T
0
, then the stochastic process
x(t ÷ y), where y is a random variable that is
uniformly distributed in [0; T
0
) and is statistically
independent of x(t), is wide sense stationary
[2.5,3.20,3.26,3.57].
A more general class of stochastic processes is
obtained if the autocorrelation function R
x
(t; t) is
almost periodic in t for each t.
A function z(t) is said to be almost periodic if it is
the limit of a uniformly convergent sequence of
trigonometric polynomials in t [23.2,23.3,23.4,
Paragraphs 24–25,23.6,23.7, Part 5, 23.11]:
z(t) =

acA
z
a
e
j2pat
, (3.8)
where A is a countable set, the frequencies a c A
are possibly incommensurate, and the coefficients
z
a
are given by
z
a
9¸z(t)e
÷j2pat
)
t
= lim
T÷o
1
T
_
T=2
÷T=2
z(t)e
÷j2pat
dt. (3:9)
Such functions are called almost-periodic in the
sense of Bohr [23.3, Paragraphs 84–92] or,
equivalently, uniformly almost periodic in t in
the sense of Besicovitch [23.2, Chapter 1].
The process x(t) is said to be Nth-order almost-
cyclostationary in the strict sense [2.2,2.5] if its Nth-
order distribution function (3.1) is almost-periodic
in t. With reference to the autocorrelation proper-
ties, a continuous-time real-valued stochastic pro-
cess x(t) is said to be almost-cyclostationary (ACS)
in the wide sense [2.2,2.5,3.26] if its autocorrelation
function R
x
(t; t) is an almost periodic function of t
(with frequencies not depending on t). Thus, it is
the limit of a uniformly convergent sequence of
trigonometric polynomials in t:
R
x
(t; t) =

acA
R
a
x
(t)e
j2pat
, (3.10)
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 643
where
R
a
x
(t)9 lim
T÷o
1
T
_
T=2
÷T=2
R
x
(t; t)e
÷j2pat
dt (3.11)
is the cyclic autocorrelation function at cycle
frequency a. As first shown in [3.26], if x(t) is an
ACS process, then the process x(t) and its
frequency-shifted version x(t)e
j2pat
are correlated
when a c A. Wide-sense almost-cyclostationary
processes have also been called almost-periodically
correlated processes (see e.g., [2.1,3.5,3.59]). The
wide-sense cyclostationary processes are obtained
as a special case of the ACS processes when A ¬
{n=T
0
]
ncZ
for some T
0
.
Let A
t
be the set
A
t
9{a c R : R
a
x
(t)a0]. (3.12)
In [3.59], it is shown that the ACS processes are
characterized by the following conditions:
(1) The set
A9
_
tcR
A
t
(3.13)
is countable.
(2) The autocorrelation function R
x
(t; t) is uni-
formly continuous in t and t.
(3) The time-averaged autocorrelation function
R
0
x
(t)9¸R
x
(t; t))
t
is continuous for t = 0
(and, hence, for every t).
(4) The process is mean-square continuous, that is
sup
tcR
E{[x(t ÷ t) ÷x(t)[
2
] ÷ 0 as t ÷ 0.
(3.14)
More generally, a stochastic process x(t) is said to
exhibit cyclostationarity at cycle frequency a if
R
a
x
(t)c0 [2.5]. In such a case, the autocorrelation
function can be expressed as
R
x
(t; t) =

acA
R
a
x
(t)e
j2pat
÷ r
x
(t; t), (3.15)
where the function

acA
R
a
x
(t)e
j2pat
is not necessarily continuous in t and the term
r
x
(t; t) does not contain any finite-strength addi-
tive sinewave component:
¸r
x
(t; t)e
÷j2pat
)
t
= 0 \a c R. (3.16)
In the special case where lim
[t[÷o
r
x
(t; t) = 0, x(t)
is said to be asymptotically almost cyclostationary
[3.26].
Let us now consider the second-order (wide-
sense) characterization of ACS processes in the
frequency domain. Let
X(f )9
_
R
x(t)e
÷j2pft
dt (3.17)
be the stochastic process obtained from Fourier
transformation of the ACS process x(t), where the
Fourier transform is assumed to exist, at least in
the sense of distributions (generalized functions)
[23.10], with probability 1. By using (3.10), in the
sense of distributions we obtain
E{X(f
1
)X
+
(f
2
)] =

acA
S
a
x
(f
1
)d(f
2
÷ f
1
÷a),
(3.18)
where d(·) is the Dirac delta, superscript + is
complex conjugation, and
S
a
x
(f )9
_
R
R
a
x
(t)e
÷j2pf t
dt (3.19)
is referred to as the cyclic spectrum at cycle
frequency a. Therefore, for an ACS process,
correlation exists between spectral components
that are separated by amounts equal to the cycle
frequencies. The support in the (f
1
; f
2
) plane of the
spectral correlation function E X(f
1
)X
+
(f
2
)
_ _
con-
sists of parallel lines with unity slope. The density
of spectral correlation on this support is described
by the cyclic spectra S
a
x
(f ), a c A, which can be
expressed as [2.5]
S
a
x
(f ) = lim
Df ÷0
lim
T÷o
1
T
_
T=2
÷T=2
E{DfX
1=Df
(t; f )
X
+
1=Df
(t; f ÷ a)] dt, (3:20)
where the order of the two limits cannot be
reversed, and
X
Z
(t; f )9
_
t÷Z=2
t÷Z=2
x(s)e
÷j2pfs
ds. (3.21)
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 644
Therefore, the cyclic spectrum S
a
x
(f ) is also called
the spectral correlation density function. It repre-
sents the time-averaged statistical correlation (with
zero lag) of two spectral components at frequen-
cies f and f ÷a, as the bandwidth approaches
zero. For a = 0, the cyclic spectrum reduces to the
power spectrum or spectral density function S
0
x
(f )
and (3.19) reduces to the Wiener–Khinchin Rela-
tion. Consequently, when (3.19) and (3.20) was
discovered in [2.5] it was dubbed the Cyclic
Wiener–Khinchin Relation.
In contrast, for wide-sense stationary processes
the autocorrelation function does not depend on t,
E{x(t ÷ t)x(t)] = R
0
x
(t) (3.22)
and, equivalently, no correlation exists between
distinct spectral components,
E{X(f
1
)X
+
(f
2
)] = S
0
x
(f
1
)d(f
2
÷ f
1
). (3.23)
A covariance (or autocorrelation) function
E{x(t
1
)x
+
(t
2
)] is said to be harmonizable if it can
be expressed as
E{x(t
1
)x
+
(t
2
)] =
_
R
2
e
j2p(f
1
t
1
÷f
2
t
2
)
dg(f
1
; f
2
), (3.24)
where g(f
1
; f
2
) is a covariance of bounded varia-
tion on R R and the integral is a Fourier–
Stieltjes transform [23.5]. Moreover, a second-
order stochastic process x(t) is said to be
harmonizable if there exists a second-order sto-
chastic process w(f ) with covariance function
E{w(f
1
)w
+
(f
2
)] = g(f
1
; f
2
) of bounded variation
on R R such that
x(t) =
_
R
e
j2pft
dw(f ) (3.25)
with probability one. In [23.5], it is shown that a
necessary condition for a stochastic process to be
harmonizable is that it be second-order contin-
uous. Moreover, it is shown that a stochastic
process is harmonizable if and only if its covar-
iance is harmonizable. If a stochastic process
is harmonizable, in the sense of distributions
[23.10], we have dw(f ) = X(f ) df and dg(f
1
; f
2
) =
E{dw(f
1
) dw
+
(f
2
)] = E{X(f
1
)X
+
(f
2
)] df
1
df
2
, and
w(f ) is the indefinite integral of X(f ) or the
integrated Fourier transform of x(t) [23.4]. There-
fore, if the stochastic process is harmonizable and
ACS, then it follows that [2.1,2.18,3.59]
dg(f
1
; f
2
) =

acA
S
a
x
(f
1
)d(f
2
÷ f
1
÷a) df
1
df
2
.
(3.26)
Finally, note that symmetric definitions of cyclic
autocorrelation function and cyclic spectrum have
been widely used (see, e.g., [2.5,2.8,2.11]). They are
linked to the asymmetric definitions (3.11) and
(3.20) by the relationships
lim
T÷o
1
T
_
T=2
÷T=2
E{x(t ÷t=2)x(t ÷t=2)]
e
÷j2pat
dt = R
a
x
(t)e
÷jpat
(3:27)
and
lim
Df ÷0
lim
T÷o
1
T
_
T=2
÷T=2
Df E{X
1=Df
(t; f ÷a=2)
X
+
1=Df
(t; f ÷a=2)] dt = S
a
x
(f ÷ a=2), (3:28)
respectively.
3.2.2. Discrete-time processes
Let us consider a discrete-time real-valued
stochastic process {x(n; o); n c Z; o c O], with
abbreviated notation x(n) when this does not
create ambiguity. The stochastic process x(n) is
said to be second-order almost-cyclostationary in
the wide sense [2.2,2.5,4.13] if its autocorrelation
function
¯
R
x
(n; m)9E{x(n ÷ m)x(n)] (3.29)
is an almost-periodic function of the discrete-time
parameter n. Thus, it can be expressed as
¯
R
x
(n; m) =

¯ac
¯
A
¯
R
¯a
x
(m)e
j2p¯an
, (3.30)
where
¯
R
¯a
x
(m)9 lim
N÷o
1
2N ÷ 1

N
n=÷N
¯
R
x
(n; m)e
÷j2p¯an
(3.31)
is the cyclic autocorrelation function at cycle
frequency ¯a and
¯
A9{¯a c [÷
1
2
;
1
2
) :
¯
R
¯a
x
(m)c0] (3.32)
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 645
is a countable set. Note that the cyclic autocorre-
lation function
¯
R
¯a
x
(m) is periodic in ¯a with period
1. Thus, the sum in (3.30) can be equivalently
extended to the set
¯
A
1
9{¯a c [0; 1) :
¯
R
¯a
x
(m)c0].
In general, the set
¯
A (or

A
1
) contains possibly
incommensurate cycle frequencies ¯a. In the special
case where
¯
A
1
¬ {0; 1=N
0
; . . . ; (N
0
÷1)=N
0
] for
some integer N
0
, the autocorrelation function
¯
R
x
(n; m) is periodic in n with period N
0
and the
process x(n) is said to be cyclostationary in the wide
sense. If N
0
= 1 then x(n) is wide-sense stationary.
Let
¯
X(n)9

ncZ
x(n)e
÷j2pnn
(3.33)
be the stochastic process obtained from Fourier
transformation (in a generalized sense) of the ACS
process x(n). By using (3.30), in the sense of
distributions it can be shown that [3.59]
E{
¯
X(n
1
)
¯
X
+
(n
2
)]
=

¯ac
¯
A
¯
S
¯a
x
(n
1
)

‘cZ
d(n
2
÷n
1
÷¯a ÷‘), (3:34)
where
¯
S
¯a
x
(n)9

mcZ
¯
R
¯a
x
(m)e
÷j2pnm
(3.35)
is the cyclic spectrum at cycle frequency ¯a. The
cyclic spectrum
¯
S
¯a
x
(n) is periodic in both n and ¯a
with period 1.
In [3.3,4.41], it is shown that discrete-time
cyclostationary processes are harmonizable.
3.3. Time series
3.3.1. Continuous-time time series
A statistical analysis framework for time series
that is an alternative to the classical stochastic-
process framework is the fraction-of-time (FOT)
probability framework first introduced for ACS
time series in [2.5,2.8,2.12]; see also [2.15]. In the
FOT probability framework, signals are modelled
as single functions of time (time series) rather than
sample paths of stochastic processes. This ap-
proach turns out to be more appropriate when an
ensemble of realizations does not exist and would
have to be artificially introduced just to create a
mathematical model, that is, the stochastic pro-
cess. Such a model can be unnecessarily abstract
when there is only a single time series at hand.
In the FOT probability approach, probabilistic
parameters are defined through infinite-time
averages of a single time series (and functions of
this time series) rather than through expected
values or ensemble averages of a stochastic
process. Moreover, starting from this single time
series, a (possibly time varying) probability dis-
tribution function can be constructed and this
leads to an expectation operation and all the
associated familiar probabilistic concepts and
parameters, such as stationarity, cyclostationarity,
nonstationarity, independence, mean, variance,
moments, cumulants, etc. For comprehensive
treatments of the FOT probability framework see
[2.8,2.12,2.15] and, for more mathematical rigor
on foundations and existence proofs, see [23.15].
The extension of the Wold isomorphism to
cyclostationary sequences was first introduced in
[2.5], treated more in depth in [2.12], and finally—
with mathematical rigor—in [3.87].
The time-variant FOT probability framework is
based on the decomposition of functions of a time
series into their (possibly zero) almost-periodic
components and residual terms. Starting from
such a decomposition, the expectation operator is
defined. Specifically, for any finite-average-power
time series x(t), let us consider the decomposition
x(t)9x
ap
(t) ÷ x
r
(t), (3.36)
where x
ap
(t) is an almost-periodic function and
x
r
(t) a residual term not containing finite-strength
additive sinewave components; that is,
¸x
r
(t)e
÷j2pat
)
t
¬ 0 \a c R. (3.37)
The almost-periodic component extraction operator
E
{a]
{·] is defined to be the operator that extracts all
the finite-strength additive sinewave components
of its argument, that is,
E
{a]
{x(t)]9x
ap
(t). (3.38)
Let x(t), t c R, be a real-valued continuous-time
time series (a single function of time) and let us
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 646
assume that the set G
1
of frequencies (for every x)
of the almost-periodic component of the function
of t 1
{x(t)px]
is countable, where
1
{x(t)px]
9
1; t : x(t)px;
0; t : x(t)4x
_
(3.39)
is the indicator function of the set {t c R : x(t)px].
In [2.12] it is shown that the function of x
F
{a]
x(t)
(x)9E
{a]
{1
{x(t)px]
] (3.40)
for any t is a valid cumulative distribution func-
tion except for the right-continuity property (in
the discontinuity points). That is, it has values
in [0; 1], is non decreasing, F
{a]
x(t)
(÷o) = 0, and
F
{a]
x(t)
(÷o) = 1. Moreover, its derivative with res-
pect to x, denoted by f
{a]
x(t)
(x), is a valid probability
density function and, for any well-behaved func-
tion g(·), it follows that
E
{a]
{g(x(t))] =
_
R
g(x)f
{a]
x(t)
(x) dx (3.41)
which reveals that E
{a]
{·] is the expecta-
tion operator with respect to the distribution
function F
{a]
x(t)
(x) for the time series x(t). The
result (3.41), first introduced in [2.8], is referred
to as the fundamental theorem of temporal expecta-
tion, by analogy with the corresponding funda-
mental theorem of expectation from probability
theory.
For an almost-periodic signal x(t), we have
x(t) ¬ x
ap
(t) and, hence,
E
{a]
{x(t)] = x(t). (3.42)
That is, the almost-periodic functions are the
deterministic signals in the FOT probability
framework. All the other signals are the random
signals. Note that the term ‘‘random’’ here is not
intended to be synonymous with ‘‘stochastic’’. In
fact, the adjective stochastic is adopted, as usual,
when an ensemble of realizations or sample paths
exists, whereas the adjective random is used in
reference to a single function of time.
Analogously, a second-order characterization
for the real-valued time series x(t) can be obtained
by using the almost-periodic component extraction
operator as the expectation operator. Specifically,
let us assume that the set G
2
of frequencies (for
every x
1
; x
2
and t) of the almost-periodic compo-
nent of the function of t 1
{x(t÷t)px
1
]
1
{x(t)px
2
]
is
countable. Then, the function of x
1
and x
2
F
{a]
x(t÷t)x(t)
(x
1
; x
2
)
9E
{a]
{1
{x(t÷t)px
1
]
1
{x(t)px
2
]
] (3:43)
is a valid second-order joint cumulative distribu-
tion function for every fixed t and t, except for the
right-continuity property (in the discontinuity
points) with respect to x
1
and x
2
. Moreover, the
second-order derivative, with respect to x
1
and x
2
,
of F
{a]
x(t÷t)x(t)
(x
1
; x
2
), denoted by f
{a]
x(t÷t)x(t)
(x
1
; x
2
), is
a valid second-order joint probability density
function [2.12]. Furthermore, it can be shown that
the function
R
x
(t; t)9E
{a]
{x(t ÷t)x(t)] (3.44)
is a valid autocorrelation function and can be
characterized by
R
x
(t; t) =
_
R
2
x
1
x
2
f
{a]
x(t÷t)x(t)
(x
1
; x
2
) dx
1
dx
2
=

acA
R
a
x
(t)e
j2pat
, (3:45)
where A is a countable set and
R
a
x
(t)9¸x(t ÷t)x(t)e
÷j2pat
)
t
(3.46)
is the (nonstochastic) cyclic autocorrelation func-
tion at cycle frequency a (a c R).
The classification of the kind of nonstationarity
of a time series is made on the basis of the elements
contained in the set A. In general, the set A can
contain incommensurate cycle frequencies a and,
in such a case, the time series is said to be wide-
sense almost cyclostationary. In the special case
where A ¬ {k=T
0
]
kcZ
the time series x(t) is said to
be wide-sense cyclostationary. If the set A contains
only the element a = 0, then the time series x(t) is
said to be wide-sense stationary.
Finally, note that the periodic component with
period T
0
of an almost-periodic time series (or lag
product time series) z(t) can be extracted by
exploiting the synchronized averaging identity
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 647
introduced in [2.5,2.8]:

÷o
k=÷o
z
k=T
0
e
j2p(k=T
0
)t
= lim
N÷o
1
2N ÷ 1

N
n=÷N
z(t ÷nT
0
), (3:47)
where the Fourier coefficients z
k=T
0
are defined
according to (3.9).
ACS time series are characterized in the spectral
domain by the (nonstochastic) cyclic spectrum or
spectral correlation density function at cycle fre-
quency a:
S
a
x
(f )9 lim
Df ÷0
lim
T÷o
1
T
_
T=2
÷T=2
Df
X
1=Df
(t; f )X
+
1=Df
(t; f ÷a) dt, (3:48)
where X
1=Df
(t; f ) is defined according to (3.21) and
the order of the two limits cannot be reversed. The
Cyclic Wiener Relation introduced in [2.8]
S
a
x
(f ) =
_
R
R
a
x
(t)e
÷j2pf t
dt (3.49)
links the cyclic autocorrelation function to the
cyclic spectrum. This relation generalizes that for
a = 0, which was first dubbed the Wiener Relation
in [2.5] to distinguish it from the Khinchin Relation
(3.19), which is frequently called the Wiener–
Khinchin Relation.
3.3.2. Discrete-time time series
The characterization of discrete-time time series
(sequences) is similar to that of continuous-time
time series. We consider here only the wide-sense
second-order characterization.
Let x(n), n c Z, be a real-valued discrete-time
time series. Let us assume that the set
¯
G
2
of
frequencies (for every x
1
; x
2
and m) of the almost-
periodic component of the function of
n 1
{x(n÷m)px
1
]
1
{x(n)px
2
]
is countable. Then, the
function of x
1
and x
2
F
{¯a]
x(n÷m)x(n)
(x
1
; x
2
)
9E
{¯a]
{1
{x(n÷m)px
1
]
1
{x(n)px
2
]
] (3:50)
is a valid second-order joint cumulative distribu-
tion function for every fixed n and m, except for
the right-continuity property (in the discontinuity
points) with respect to x
1
and x
2
. In (3.50), E
{¯a]
{·]
denotes the discrete-time almost-periodic compo-
nent extraction operator, which is defined analo-
gously to its continuous-time counterpart. The
second-order derivative with respect to x
1
and x
2
of F
{¯a]
x(n÷m)x(n)
(x
1
; x
2
), denoted by f
{¯a]
x(n÷m)x(n)
(x
1
; x
2
),
is a valid second-order joint probability density
function [2.12]. Furthermore, it can be shown that
the function
¯
R
x
(n; m)9E
{¯a]
{x(n ÷ m)x(n)] (3.51)
is a valid autocorrelation function and can be
characterized by
¯
R
x
(n; m) =
_
R
2
x
1
x
2
f
{¯a]
x(n÷m)x(n)
(x
1
; x
2
) dx
1
dx
2
=

¯ac
¯
A
¯
R
¯a
x
(m)e
j2p¯an
, (3:52)
where
¯
A9{¯a c [÷
1
2
;
1
2
) :
¯
R
¯a
x
(m)c0] (3.53)
is a countable set and
¯
R
¯a
x
(m)9 lim
N÷o
1
2N ÷1

N
n=÷N
x(n ÷m)x(n)e
÷j2p¯an
(3.54)
is the (nonstochastic) discrete-time cyclic autocor-
relation function at cycle frequency ¯a.
Obviously, as in the stochastic framework, the
cyclic autocorrelation function
¯
R
¯a
x
(m) is periodic in
¯a with period 1. Thus, the sum in (3.52) can be
equivalently extended to the set
¯
A
1
9{¯a c [0; 1) :
¯
R
¯a
x
(m)c0]. Moreover, as in the continuous-time
case, the classification of the kind of nonstationarity
of discrete-time time series is made on the basis of
the elements contained in set
¯
A. That is, in general,
set
¯
A can contain incommensurate cycle frequencies
¯a and, in such a case, the time series is said to be
wide-sense almost cyclostationary. In the special case
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 648
where
¯
A
1
¬ {0; 1=N
0
; . . . ; (N
0
÷ 1)=N
0
] for some
integer N
0
, the time series x(n) is said to be wide-
sense cyclostationary. If the set
¯
A contains only the
element ¯a = 0, then the time series x(n) is said to be
wide-sense stationary.
Discrete-time ACS time series are characterized
in the spectral domain by the (nonstochastic)
cyclic spectrum or spectral correlation density
function at cycle frequency ¯a:
¯
S
¯a
x
(n)9 lim
Dn÷0
lim
N÷o
1
2N ÷1

N
n=÷N
Dn
X
¸1=Dn¡
(n; n)X
+
¸1=Dn¡
(n; n ÷¯a), (3:55)
where
X
2M÷1
(n; n)9

n÷M
k=n÷M
x(k)e
÷j2pnk
(3.56)
and ¸·¡ denotes the closest odd integer. The Cyclic
Wiener relation [2.5]
¯
S
¯a
x
(n) =

mcZ
¯
R
¯a
x
(m)e
÷j2pnm
(3.57)
links the cyclic autocorrelation function to the
cyclic spectrum.
3.4. Link between the stochastic and fraction-of-
time approaches
In the time-variant nonstochastic framework
(for ACS time series), the almost-periodic func-
tions play the same role as that played by the
deterministic functions in the stochastic-process
framework, and the expectation operator is the
almost-periodic component extraction operator.
Therefore, in the case of processes exhibiting
suitable ergodicity properties, results derived in
the FOT probability approach for time series can
be interpreted in the classical stochastic process
framework by substituting, in place of the almost-
periodic component extraction operator E
{a]
{·],
the statistical expectation operator E{·]. In fact, by
assuming that {x(t; o); t c R; o c O] is a stochastic
process satisfying appropriate ergodicity proper-
ties (see Section 4), the stochastic and FOT
autocorrelation functions are identical for almost
all sample paths x(t),
R
x
(t; t)9E{x(t ÷ t)x(t)]
= E
{a]
{x(t ÷ t)x(t)]9R
x
(t; t) (3:58)
and, hence, so too are their cyclic components and
frequency-domain counterparts,
R
a
x
(t) = R
a
x
(t), (3.59)
S
a
x
(f ) = S
a
x
(f ). (3.60)
Analogous equivalences hold in the discrete-time
case.
The link between the two approaches is treated
in depth in [2.5,2.8,2.9,2.11,2.12,2.15,3.87,4.31,
23.15]. In the following, most results are presented
in the FOT probability framework.
3.5. Complex processes and time series
The case of complex-valued processes and time
series, first treated in depth in [2.9], is extensively
treated in [2.6,2.8,3.43,13.13,13.14,13.20,13.25].
Several results with reference to higher-order
statistics are reported in Section 13.
Let x(t) be a zero-mean complex-valued con-
tinuous-time time series. Its wide-sense character-
ization can be made in terms of the two second-
order moments
R
xx
+ (t; t)9E
{a]
{x(t ÷t)x
+
(t)]
=

acA
xx
+
R
a
xx
+ (t)e
j2pat
, (3:61)
R
xx
(t; t)9E
{a]
{x(t ÷t)x(t)]
=

bcA
xx
R
b
xx
(t)e
j2pbt
(3:62)
which are called the autocorrelation function and
conjugate autocorrelation function, respectively.
The Fourier coefficients
R
a
xx
+ (t)9¸x(t ÷ t)x
+
(t)e
÷j2pat
)
t
, (3.63)
R
b
xx
(t)9¸x(t ÷t)x(t)e
÷j2pbt
)
t
(3.64)
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 649
are referred to as the cyclic autocorrelation function
at cycle frequency a and the conjugate cyclic
autocorrelation function at conjugate cycle fre-
quency b, respectively. The Fourier transforms of
the cyclic autocorrelation function and conjugate
cyclic autocorrelation function
S
a
xx
+ (f )9
_
R
R
a
xx
+ (t)e
÷j2pf t
dt, (3.65)
S
b
xx
(f )9
_
R
R
b
xx
(f )e
÷j2pf t
dt (3.66)
are called the cyclic spectrum and the conjugate
cyclic spectrum, respectively.
Let us denote by the superscript (+) an optional
complex conjugation. In the following, when it
does not create ambiguity, both functions
defined in (3.63) and (3.64) are simultaneously
represented by
R
a
xx
(+)
(t)9 x(t ÷t)x
(+)
(t)e
÷j2pat
¸ _
t
; a c A
xx
(+) .
(3.67)
Analogously, both functions defined in (3.65) and
(3.66) are simultaneously represented by
S
a
xx
(+)
(f )9
_
R
R
a
xx
(+)
(t)e
÷j2pf t
dt. (3.68)
It should be noted that, in [2.6,2.8,2.9], for
example, a different conjugation notation in the
subscripts is adopted to denote the autocorrelation
and the conjugate autocorrelation function. Spe-
cifically, R
xx
(t; t) = E
{a]
{x(t ÷ t=2)x
+
(t ÷ t=2)] and
R
xx
+ (t; t) = E
{a]
{x(t ÷t=2)x(t ÷t=2)]. Moreover,
an analogous notation is adopted in these refer-
ences and others for the (conjugate) cyclic auto-
correlation function and the (conjugate) cyclic
spectrum.
3.6. Linear filtering
The linear almost-periodically time-variant fil-
tering of ACS signals introduced in [2.2] and
followed by [2.5] for cyclostationary processes and
generalized in [2.8,2.9] to ACS signals, is also
considered in follow-on work in [7.60,9.51,13.9,
13.14,13.20] as well as the early Russian work in
[3.9]. Properties of linear periodically time-varying
systems are analyzed in [23.8,23.12,23.13,23.14].
More general time-variant linear filtering is ad-
dressed in [21.10,21.11].
3.6.1. Structure of linear almost-periodically time-
variant systems
A linear time-variant system with input x(t),
output y(t), impulse-response function h(t; u), and
input–output relation
y(t) =
_
R
h(t; u)x(u) du (3.69)
is said to be linear almost-periodically time-variant
(LAPTV) if the impulse-response function admits
the Fourier series expansion
h(t; u) =

scG
h
s
(t ÷ u)e
j2psu
, (3.70)
where G is a countable set.
By substituting (3.70) into (3.69) we see that the
output y(t) can be expressed in the two equivalent
forms [2.8,9.51]:
y(t) =

scG
h
s
(t) Q [x(t)e
j2pst
] (3.71a)
=

scG
[g
s
(t) Q x(t)]e
j2pst
, (3.71b)
where
g
s
(t)9h
s
(t)e
÷j2pst
. (3.72)
From (3.71a) it follows that a LAPTV systems
performs a linear time-invariant filtering of
frequency-shifted version of the input signal.
For this reason LAPTV filtering is also referred
to as frequency-shift (FRESH) filtering [7.31].
Equivalently, from (3.71b) it follows that a
LAPTV systems performs a frequency shift
of linear time-invariant filtered versions of the
input.
In the special case for which G ¬ {k=T
0
]
kcZ
for
some period T
0
, the system is said to be linear
periodically time-variant (LPTV). If G contains
only the element s = 0, then the system is linear
time-invariant (LTI).
3.6.2. Input/output relations in terms of cyclic
statistics
Let x
i
(t), i = 1; 2, t c R, be two possibly-
complex ACS continuous-time time series with
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 650
second-order (conjugate) cross-correlation func-
tion
R
x
1
x
(+)
2
(t; t)9E
{a]
{x
1
(t ÷ t)x
(+)
2
(t)]
=

acA
12
R
a
x
1
x
(+)
2
(t)e
j2pat
, (3:73)
where
R
a
x
1
x
(+)
2
(t)9¸x
1
(t ÷ t)x
(+)
2
(t)e
÷j2pat
)
t
(3.74)
is the (conjugate) cyclic cross-correlation between
x
1
and x
2
at cycle frequency a and
A
12
9{a c R : R
a
x
1
x
(+)
2
(t)c0] (3.75)
is a countable set. If the set A
12
contains at
least one nonzero element, then the time series
x
1
(t) and x
2
(t) are said to be jointly ACS. Note
that, in general, set A
12
depends on whether (+)
is conjugation or not and can be different from
the sets A
11
and A
22
(both defined according to
(3.75)).
Let us consider now two linear LAPTV systems
whose impulse-response functions admit the Four-
ier series expansions
h
i
(t; u) =

s
i
cG
i
h
s
i
(t ÷ u)e
j2ps
i
u
; i = 1; 2. (3.76)
The (conjugate) cross-correlation of the outputs
y
i
(t) =
_
R
h
i
(t; u)x
i
(u) du; i = 1; 2 (3.77)
is given by
R
y
1
y
(+)
2
(t; t)9E
{a]
{y
1
(t ÷ t)y
(+)
2
(t)]
=

acA
12

s
1
cG
1

s
2
cG
2
[R
a
x
1
x
(+)
2
(t)e
j2ps
1
t
]
Q
t
r
a÷s
1
÷(÷)s
2
s
1
s
2
(+)
(t)e
j2p(a÷s
1
÷(÷)s
2
)t
, (3:78)
where Q
t
denotes convolution with respect to t, (÷)
is an optional minus sign that is linked to (+), and
r
g
s
1
s
2
(+)
(t)9
_
R
h
s
1
(t ÷ s)h
(+)
s
2
(s)e
÷j2pgs
ds. (3.79)
Thus,
R
b
y
1
y
(+)
2
(t)9¸y
1
(t ÷t)y
(+)
2
(t)e
÷j2pbt
)
t
=

s
1
cG
1

s
2
cG
2
[R
b÷s
1
÷(÷)s
2
x
1
x
(+)
2
(t)e
j2ps
1
t
]
Q
t
r
b
s
1
s
2
(+)
(t), (3:80)
S
b
y
1
y
(+)
2
(f )9
_
R
R
b
y
1
y
(+)
2
(t)e
÷j2pf t
dt
=

s
1
cG
1

s
2
cG
2
S
b÷s
1
÷(÷)s
2
x
1
x
(+)
2
(f ÷ s
1
)
H
s
1
(f )H
(+)
s
2
((÷)(b ÷ f )), (3:81)
where
H
s
i
(f )9
_
R
h
s
i
(t)e
÷j2pf t
dt (3.82)
and, in the sums in (3.80) and (3.81), only those
s
1
c G
1
and s
2
c G
2
such that b ÷s
1
÷ (÷)s
2
c
A
12
give nonzero contribution.
Eqs. (3.80) and (3.81) can be specialized to
several cases of interest. For example, if
x
1
= x
2
= x, h
1
= h
2
= h, y
1
= y
2
= y, and (+) is
conjugation, then we obtain the input–output
relations for LAPTV systems in terms of cyclic
autocorrelation functions and cyclic spectra:
R
b
yy
+ (t) =

s
1
cG

s
2
cG
[R
b÷s
1
÷s
2
xx
+ (t)e
j2ps
1
t
]
Q
t
r
b
12
(t), (3:83)
S
b
yy
+ (f ) =

s
1
cG

s
2
cG
S
b÷s
1
÷s
2
xx
+ (f ÷ s
1
)
H
s
1
(f )H
+
s
2
(f ÷ b), (3:84)
where
r
b
12
(t)9
_
R
h
s
1
(t ÷s)h
+
s
2
(s)e
÷j2pbs
ds. (3.85)
For further examples and applications, see Sec-
tions 7 and 10.
3.7. Product modulation
Let x(t) and c(t) be two ACS signals with
(conjugate) autocorrelation functions
R
xx
(+) (t; t) =

a
x
cA
xx
(+)
R
a
x
xx
(+)
(t)e
j2pa
x
t
, (3.86)
R
cc
(+) (t; t) =

a
c
cA
cc
(+)
R
a
c
cc
(+)
(t)e
j2pa
c
t
. (3.87)
If x(t) and c(t) are statistically independent in the
FOT probability sense, then their joint probability
density function factors into the product of the
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 651
marginal probability densities [2.8,2.9,2.12] and
the (conjugate) autocorrelation functions of the
product waveform
y(t) = c(t)x(t) (3.88)
also factor,
R
yy
(+) (t; t) = R
cc
(+) (t; t)R
xx
(+) (t; t). (3.89)
Therefore, the (conjugate) cyclic autocorrelation
function and the (conjugate) cyclic spectrum of
y(t) are [2.5,2.8]:
R
a
yy
(+)
(t) =

a
x
cA
xx
(+)
R
a
x
xx
(+)
(t)R
a÷a
x
cc
(+)
(t), (3.90)
S
a
yy
(+)
(f ) =

a
x
cA
xx
(+)
_
R
S
a
x
xx
(+)
(l)S
a÷a
x
cc
(+)
(f ÷ l) dl,
(3.91)
where, in the sums, only those (conjugate) cycle
frequencies a
x
such that a ÷ a
x
c A
cc
(+) give non-
zero contribution.
Observe that, if c(t) is an almost-periodic
function
c(t) =

gcG
c
g
e
j2pgt
, (3.92)
then
R
cc
(+) (t; t) = c(t ÷ t)c
(+)
(t)
=

g
1
cG

g
2
cG
c
g
1
c
(+)
g
2
e
(÷)j2pg
2
t
e
j2p(g
1
÷(÷)g
2
)t
(3:93)
and
R
a
cc
(+)
(t) =

gcG
c
g
c
(+)
(÷)(a÷g)
e
j2p(a÷g)t
, (3.94)
S
a
cc
(+)
(f ) =

gcG
c
g
c
(+)
(÷)(a÷g)
d(f ÷ g ÷a). (3.95)
3.8. Supports of cyclic spectra of band limited
signals
By specializing (3.81) to the case x
1
= x
2
= x,
h
1
= h
2
= h (LTI), and y
1
= y
2
= y, we obtain
S
a
yy
(+)
(f ) = S
a
xx
(+)
(f )H(f )H
(+)
((÷)(a ÷ f )). (3.96)
From (3.96) it follows that the support in the (a; f )
plane of the (conjugate) cyclic spectrum of y(t) is
such that
supp[S
a
yy
(+)
(f )]9{(a; f ) c R R : S
a
yy
(+)
(f )a0]
_ {(a; f ) c R R : H(f )
H
(+)
((÷)(a ÷ f ))a0]. (3:97)
Let x(t) be a strictly band-limited low-pass signal
with monolateral bandwidth B; that is, S
0
xx
+ (f ) ¬ 0
for f e(÷B; B). Then,
x(t) ¬ x(t) Q h
LPF
(t), (3.98)
where h
LPF
(t) is the impulse-response function of
the ideal low-pass filter with harmonic-response
function:
H
LPF
(f ) = rect
f
2B
_ _
9
1; [f [pB;
0; [f [4B:
_
(3.99)
Accounting for (3.97), we have (see Fig. 1)
supp[S
a
xx
(+)
(f )] _ {(a; f ) c R R : H
LPF
(f )
H
LPF
(f ÷ a)a0], (3:100)
where the fact that rect(f ) is real and even is
used.
ARTICLE IN PRESS
B −B
2B
−2B
f

Fig. 1. Cyclic-spectrum support of a low-pass signal.
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 652
Let x(t) be a strictly band-limited high-pass
signal; that is, S
0
xx
+ (f ) ¬ 0 for f c (÷b; b). Then,
x(t) ¬ x(t) Q h
HPF
(t), (3.101)
where h
HPF
(t) is the impulse-response function of
the ideal high-pass filter with harmonic-response
function
H
HPF
(f ) = 1 ÷rect
f
2b
_ _
. (3.102)
From (3.97), we have (see Fig. 2)
supp[S
a
xx
(+)
(f )] _ {(a; f ) c R R : H
HPF
(f )
H
HPF
(f ÷a)a0]. (3:103)
Finally, let x(t) be a strictly band-limited band-
pass signal; that is, S
0
xx
+ (f ) ¬ 0 for f e(÷B; ÷b)C
(b; B), where 0oboB. Then,
x(t) ¬ x(t) Q h
BPF
(t), (3.104)
where h
BPF
(t) is the impulse-response function of
the ideal band-pass filter with harmonic-response
function
H
BPF
(f ) = H
LPF
(f )H
HPF
(f ), (3.105)
where H
LPF
(f ) and H
HPF
(f ) are given by (3.99)
and (3.102), respectively. Therefore, accounting
for (3.97), we have (see Fig. 3)
supp[S
a
xx
(+)
(f )]
_ {(a; f ) c R R : H
BPF
(f )H
BPF
(f ÷ a)a0]
= {(a; f ) c R R : H
LPF
(f )H
LPF
(f ÷ a)a0]
¨ {(a; f ) c R R : H
HPF
(f )
H
HPF
(f ÷ a)a0]. (3:106)
It is noted that supports for symmetric definitions
of cyclic spectra (3.28) are reported in [2.6,2.8].
3.9. Sampling and aliasing
Let x(n) be the sequence obtained by uniformly
sampling, with period T
s
= 1=f
s
, the continuous-
time signal x
a
(t):
x(n)9x
a
(t)[
t=nT
s
. (3.107)
The (conjugate) autocorrelation function of the
discrete-time signal x(n) can be shown to be the
sampled version of the (conjugate) autocorrelation
function of the continuous-time signal x
a
(t):
E
{¯a]
{x(n ÷m)x
(+)
(n)]
= E
{a]
{x
a
(t ÷t)x
a
(t)][
t=nT
s
;t=mT
s
. (3:108)
ARTICLE IN PRESS
b −b
2b
−2b
f

Fig. 2. Cyclic-spectrum support of a high-pass signal.
b −b
2b
−2b
B −B
2B
−2B
f

Fig. 3. Cyclic-spectrum support of a band-pass signal.
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 653
However, the (conjugate) cyclic autocorrelation
functions of x(n) are not sampled versions of the
(conjugate) cyclic autocorrelation functions of
x
a
(t) because of the presence of aliasing in the
cycle-frequency domain. Consequently, for the
(conjugate) cyclic spectra, aliasing in both the
spectral-frequency and cycle-frequency domains
occurs. Specifically, the (conjugate) cyclic auto-
correlation functions and the (conjugate) cyclic
spectra of x(n) can be expressed in terms of the
(conjugate) cyclic autocorrelation functions and
the (conjugate) cyclic spectra of x
a
(t) by the
relations [2.5,2.8,13.20,13.23]:
¯
R
¯a
xx
(+) (m) =

pcZ
R
a÷pf
s
x
a
x
(+)
a
(t)[
t=mT
s
;a=¯af
s
, (3.109)
¯
S
¯a
xx
(+) (n) =
1
T
s

pcZ

qcZ
S
a÷pf
s
x
a
x
(+)
a
(f ÷ qf
s
)[
f =nf
s
;a=¯af
s
.
(3.110)
Let x(t) be a strictly band-limited low-pass signal
with monolateral bandwidth B. From (3.100), it
follows that
supp[S
a
xx
(+)
(f )]
_ {(a; f ) c R R : [f [pB; [a ÷ f [pB]
_ {(a; f ) c R R : [f [pB; [a[p2B]. (3:111)
Thus, the support of each replica in (3.110) is
contained in the set
{(a; f ) c R R : [f ÷ qf
s
[pB; [a ÷ pf
s
[p2B]
and, consequently, a sufficient condition for
assuring that the replicas in (3.110) do not
overlap is
f
s
X4B. (3.112)
In such a case, only the replica with p = 0 gives
nonzero contribution in the base support region
in (3.109) and (3.110). Thus, the (conjugate)
cyclic autocorrelation functions and the cyclic
spectra of the continuous-time signal x
a
(t) are
amplitude- and/or time- or frequency-scaled ver-
sions of the (conjugate) cyclic autocorrelation
functions and cyclic spectra of the discrete-time
signal x(n) [13.20]:
R
a
x
a
x
(+)
a
(t)[
t=mT
s
=
¯
R
¯a
xx
(+) (m)[
¯a=a=f
s
; [a[p
f
s
2
;
0 otherwise;
_
¸
_
¸
_
(3:113)
S
a
x
a
x
(+)
a
(f )
=
T
s
¯
S
¯a
xx
(+) (n)[
n=f =f
s
;¯a=a=f
s
; [a[p
f
s
2
; [f [p
f
s
2
;
0 otherwise:
_
_
_
(3:114)
The discrete-time signal obtained by sampling,
with period T
s
, a cyclostationary continuous-time
signal with cyclostationarity period T
0
= KT
s
, K
integer, is a discrete-time cyclostationary signal
with cyclostationarity period K. If, however,
T
0
= KT
s
÷ , with 0ooT
s
and incommensu-
rate with T
s
, then the discrete-time signal is
almost-cyclostationary [13.23]. In [3.44], common
pitfalls arising in the application of the stationary
signal theory to time sampled cyclostationary
signals are examined.
3.10. Representations by stationary components
3.10.1. Continuous-time processes and time series
A continuous-time wide-sense cyclostationary
signal (process or time-series) x(t) can be expressed
in terms of singularly and jointly wide-
sense stationary signals with non-overlapping
spectral bands [2.5,3.22,3.23,3.77,4.41]. That is,
if T
0
is the period of cyclostationarity, and we
define
¯ x
k
(t)9[x(t)e
÷j2p(k=T
0
)t
] Q h
0
(t), (3.115)
where h
0
(t)9(1=T
0
) sinc(t=T
0
) is the impulse-
response function of an ideal low-pass filter
with monolateral bandwidth 1=(2 T
0
), then
x(t) can be expressed by the harmonic series
representation:
x(t) =

÷o
k=÷o
¯ x
k
(t)e
j2p(k=T
0
)t
, (3.116)
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 654
where
E
{a]
{¯ x
k
(t ÷t)¯ x
+
h
(t)]
=
_
1=(2 T
0
)
÷1=(2 T
0
)
S
(h÷k)=T
0
xx
+ f ÷
k
T
0
_ _
e
j2pf t
df (3:117)
which is independent of t. This result reflects the
fact that the Fourier transforms
¯
X
k
(f ) of the
signals ¯ x
k
(t) have non-overlapping support of
width 1=T
0
¯
X
k
f ÷
k
T
0
_ _
=
X(f ); [f ÷ k=T
0
[p1=(2 T
0
);
0 otherwise;
_
(3:118)
therefore, since only spectral components of x(t)
with frequencies separated by an integer multiple
of 1=T
0
can be correlated, then the only pairs of
spectral components in ¯ x
k
(t) and ¯ x
h
(t) that can be
correlated are those with the same frequency f.
Thus, there is no spectral cross-correlation at
distinct frequencies in ¯ x
k
(t) and ¯ x
h
(t).
It follows that a continuous-time wide-sense
cyclostationary scalar signal x(t) is equivalent to
the infinite-dimensional vector-valued wide-sense
stationary signal
[. . . ; ¯ x
÷k
(t); . . . ; ¯ x
÷1
(t); ¯ x
0
(t); ¯ x
1
(t); . . . ; ¯ x
k
(t); . . .].
Another representation of a cyclostationary signal
by stationary components is the translation series
representation in terms of any complete orthonor-
mal set of basis functions [3.23]. One example uses
the Karhunen–Loe` ve expansion of the cyclosta-
tionary signal x(t) on the intervals t c [nT
0
; (n ÷
1)T
0
) for all integers n, where T
0
is the period of
cyclostationarity.
A harmonic series representation can also be
obtained for an ACS process x(t), provided that it
belongs to the sub-class of the almost-periodically
unitary processes [3.65]. In this case,
x(t) =

÷o
k=÷o
¯ x
k
(t)e
j2pl
k
t
, (3.119)
where the frequencies l
k
are possibly incommen-
surate and the processes ¯ x
k
(t) are singularly and
jointly wide-sense stationary but not necessarily
band limited. No translation series representation
with stationary components has been demon-
strated to exist for ACS processes.
3.10.2. Discrete-time processes and time series
A discrete-time wide-sense cyclostationary sig-
nal (process or time-series) x(n) can be expressed in
terms of a finite number of singularly and jointly
wide-sense stationary signals ¯ x
k
(n) with non over-
lapping bands [2.1,2.5,2.17,4.41,12.3,12.30]. That
is, if N
0
is the period of cyclostationarity, and we
define
¯ x
k
(n)9[x(n)e
÷j2p(k=N
0
)n
] Q h
0
(n), (3.120)
where h
0
(n)9(1=N
0
) sinc(n=N
0
) is the ideal low-
pass filter with monolateral bandwidth 1=(2N
0
),
then x(n) can be expressed by the harmonic series
representation:
x(n) =

N
0
÷1
k=0
¯ x
k
(n)e
j2p(k=N
0
)n
. (3.121)
Therefore, a discrete-time wide-sense cyclostation-
ary scalar signal x(n) is equivalent to the N
0
-
dimensional vector-valued wide-sense stationary
signal
[¯ x
0
(n); ¯ x
1
(n); . . . ; ¯ x
N
0
÷1
(n)].
A further decomposition of a discrete-time cyclos-
tationary signal can be obtained in terms of sub-
sampled components. Let x(n) be a discrete-time
real-valued wide-sense cyclostationary time-series
with period N
0
. The sub-sampled (or decimated)
time-series:
x
i
(n)9x(nN
0
÷i); i = 0; . . . ; N
0
÷ 1 (3.122)
constitute what is called the polyphase decomposi-
tion of x(n). Given the set of time series x
i
(n),
i = 0; . . . ; N
0
÷ 1, the original signal x(n) can be
reconstructed by using the synthesis formula:
x(n) =

N
0
÷1
i=0

‘cZ
x
i
(‘)d
n÷i÷‘N
0
, (3.123)
where d
g
is the Kronecker delta (d
g
= 1 for g = 0
and d
g
= 0 for ga0). The signal x(n) is wide-
sense cyclostationary with period N
0
if and
only if the set of sub-sampled x
i
(n) are jointly
wide-sense stationary [3.3]. In fact, due to the
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 655
cyclostationarity of x(n):
E
{a]
{x
i
(n ÷m)x
k
(n)]
= E
{a]
{x((n ÷m)N
0
÷i)x(nN
0
÷k)]
= E
{a]
{x(mN
0
÷ i)x(k)], (3:124)
which is independent of n.
4. Ergodic properties and measurement of
characteristics
4.1. Estimation of the cyclic autocorrelation
function and the cyclic spectrum
Ergodic properties and measurements of char-
acteristics are treated in [4.1–4.61]. Consistent
estimates of second-order statistical functions of
an ACS stochastic process can be obtained provided
that the stochastic process has finite or ‘‘effectively
finite’’ memory. Such a property is generally
expressed in terms of mixing conditions or summa-
bility of second- and fourth-order cumulants. Under
such mixing conditions, the cyclic correlogram
R
a
x
(t; t
0
; T)9
1
T
_
t
0
÷T=2
t
0
÷T=2
x(t ÷ t)x(t)e
÷j2pat
dt (4.1)
is a consistent estimator of the cyclic autocorrelation
function R
a
x
(t) (see (3.11)). Moreover,
ffiffiffiffi
T
_
[R
a
x
(t; t
0
; T) ÷R
a
x
(t)]
is an asymptotically (T ÷ o) zero-mean complex
normal random variable for each t and t
0
.
Consistency for estimators of the cyclic autocorrela-
tion function for cyclostationary and/or ACS
processes has been addressed in [2.1,3.1,4.3,4.13,
4.15,4.23,4.24,4.36,4.42,13.18]. The first treatment
for ACS processes is in [4.13].
In the frequency domain, the cyclic periodogram
I
a
x
(t; f )9
1
T
X
T
(t; f )X
+
T
(t; f ÷a), (4.2)
where X
T
(t; l) is defined according to (3.21), is
an asymptotically unbiased but not consistent
estimator of the cyclic spectrum S
a
x
(f ) (see (3.19)
and (3.20)). However, under the above-men-
tioned mixing conditions, the frequency-smoothed
cyclic periodogram
S
a
x
T
(t
0
; f )
Df
9
1
Df
_
f ÷Df =2
f ÷Df =2
1
T
X
T
(t
0
; l)X
+
T
(t
0
; l ÷ a) dl (4:3)
is a consistent estimator of the cyclic spectrum
S
a
x
(f ). Moreover,
ffiffiffiffiffiffiffiffiffiffiffi
T Df
_
[S
a
x
T
(t; f )
Df
÷S
a
x
(f )]
is an asymptotically (T ÷ o, Df ÷ 0, with
T Df ÷ o) zero-mean complex normal random
variable for each f and t
0
. The first detailed study
of the variance of estimators of the cyclic spectrum
is given in [2.8] and is based on the FOT
framework. Consistency for estimators of the
cyclic spectrum has been addressed in [2.1,4.14,
4.20,4.30,4.35,4.43,4.44,4.55,4.59,13.12].
In [2.5,2.8,4.17], it is shown that the time-
smoothed cyclic periodogram:
S
a
x
1=Df
(t; f )
T
9
1
T
_
t÷T=2
t÷T=2
Df
X
1=Df
(s; f )X
+
1=Df
(s; f ÷a) ds (4:4)
is asymptotically equivalent to the frequency
smoothed cyclic periodogram in the sense that
lim
Df ÷0
lim
T÷o
S
a
x
T
(t; f )
Df
= lim
Df ÷0
lim
T÷o
S
a
x
1=Df
(t; f )
T
, (4:5)
where the order of the two limits on each side
cannot be reversed. Note that both the time-
smoothed and frequency-smoothed cyclic period-
ograms exhibit spectral frequency resolution on
the order of Df and a cycle frequency resolution
on the order of 1=T [4.17]. The problem of cyclic
leakage in the estimate of a cyclic statistic at cycle
frequency a arising from cyclic statistics at cycle
frequencies different from a, first observed in [2.8],
is addressed in [2.8,2.9,4.17]. In particular, it is
shown that a strong stationary spectrally over-
lapping noise component added to a cyclostation-
ary signal degrades the performance (bias and
variance) of the estimators of cyclic statistics at
nonzero cycle frequencies because of the leakage
from the zero cycle frequency.
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 656
A spectral correlation analyzer can be realized
by frequency shifting the signal x(t) by two
amounts differing by a, passing such frequency-
shifted versions through two low-pass filters h
Df
(t)
with bandwidth Df and unity pass-band height,
and then correlating the output signals (see Fig. 4).
The spectral correlation density function S
a
x
(f ) is
obtained by normalizing the output by Df , and
taking the limit as the correlation time T ÷ o
and the bandwidth Df ÷ 0, in this order [4.17].
Reliable spectral estimates with reduced com-
putational requirements can be obtained by using
nonlinear transformations of the data [4.39,4.51].
Strict-sense ergodic properties of ACS processes,
referred to as cycloergodicity in the strict sense,
were first treated in depth in [4.13]; see also [2.15].
A survey of estimation problems is given in [4.41].
Cyclostationary feature measurements in the non-
stochastic approach are treated in considerable
depth in [4.17] and also in [4.31]. Problems arising
from the presence of jitter in measurements are
addressed in [4.53,4.61]. Computationally efficient
digital implementations of cyclic spectrum analy-
zers are developed and analyzed in [4.25,4.32,
4.38,4.45,4.48].
For measurements of cyclic higher-order statis-
tics see [4.50,4.56,4.57,13.7,13.9,13.12,13.14,13.18,
13.29].
For further references, see the general treat-
ments [2.1,2.2,2.5,2.8,2.9,2.11,2.15,2.18] and also
see [3.22,3.35,3.39,3.59,3.72,11.10,11.13,11.20,12.49,
12.51]. Measurements on cyclostationary random
fields are treated in [20.3,20.5]. The problem of
measurement of statistical functions for more
general classes of nonstationary signals is considered
in [21.1,21.5,21.12,21.14,21.15].
4.2. Two alternative approaches to the analysis of
measurements on time series
In the FOT probability approach, probabilistic
parameters are defined through infinite-time
averages of functions of a single time series (such
as products of time- and frequency-shifted ver-
sions of the time series) rather than through
expected values or ensemble averages of a stochas-
tic process. Estimators of the FOT probabilistic
parameters are obtained by considering finite-time
averages of the same quantities involved in the
infinite-time averages. Therefore, assuming the
above-mentioned limits exist (that is, the infinite-
time averages exist), their asymptotic estimators
converge by definition to the true values, which are
exactly the infinite-time averages, without the
necessity of requiring ergodicity properties as in
the stochastic process framework. Thus, in the
FOT probability framework, the kind of conver-
gence of the estimators to be considered as the
data-record length approaches infinity is the
convergence of the function sequence of the
finite-time averages (indexed by the data-record
length). Therefore, unlike the stochastic process
framework where convergence must be defined, for
example, in the ‘‘stochastic mean-square sense’’
[3.59,4.41,13.18,13.26] or ‘‘almost sure sense’’
[4.35,4.56] or ‘‘in distribution’’, the convergence
in the FOT probability framework must be
considered ‘‘pointwise’’, in the ‘‘temporal mean-
square sense’’ [2.8,2.9,2.31], or in the ‘‘sense of
generalized functions (distributions)’’ [23.9].
By following the guidelines in [2.8,2.9,23.1], let
us consider the convergence of time series in the
temporal mean-square sense (t.m.s.s.). Given a
ARTICLE IN PRESS
x (t)
× h
∆f
(t)
×
e
−j2πft
× h
∆f
(t) (⋅)*
e
−j2π( f−)t
〈⋅〉
T
∆f S
x
1/∆ f
(t,f )
T

Fig. 4. Spectral correlation analyzer.
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 657
time series z(t) (such as a lag product of another
time series), we define
z
b
(t)
T
9
1
T
_
t÷T=2
t÷T=2
z(u)e
÷j2pbu
du, (4.6)
z
b
9 lim
T÷o
1
T
_
÷T=2
÷T=2
z(u)e
÷j2pbu
du (4.7)
and we assume that
lim
T÷o
z
b
(t)
T
= z
b
(t:m:s:s:) \b c R, (4.8)
that is,
lim
T÷o
¸[z
b
(t)
T
÷ z
b
[
2
)
t
= 0 \b c R. (4.9)
It can be shown that, if the time series z(t) has
finite-average-power (i.e., ¸[z(t)[
2
)
t
oo), then the
set B9{b c R : z
b
a0] is countable, the series

bcB
[z
b
[
2
is summable [2.9] and, accounting for
(4.8), it follows that
lim
T÷o

bcB
z
b
(t)
T
e
j2pbt
=

bcB
z
b
e
j2pbt
(t:m:s:s:).
(4.10)
The magnitude and phase of z
b
are the amplitude
and phase of the finite-strength additive complex
sinewave with frequency b contained in the time
series z(t). Moreover, the right-hand side in (4.10)
is just the almost-periodic component contained in
the time series z(t).
The function z
b
(t)
T
is an estimator of z
b
based
on the observation {z(u); u c [t ÷T=2; t ÷ T=2]]. It
is worthwhile to emphasize that, in the FOT
probability framework, probabilistic functions are
defined in terms of the almost-periodic component
extraction operation, which plays the same role as
that played by the statistical expectation operation
in the stochastic process framework [2.8,2.15].
Therefore,
bias{z
b
(t)
T
]9E
{a]
{z
b
(t)
T
] ÷ z
b
’ ¸z
b
(t)
T
)
t
÷ z
b
, (4:11)
var{z
b
(t)
T
]9E
{a]
{[z
b
(t)
T
÷E
{a]
{z
b
(t)
T
][
2
]
’ ¸[z
b
(t)
T
÷¸z
b
(t)
T
)
t
[
2
)
t
, (4:12)
where the approximation becomes exact equality
in the limit as T ÷ o. Thus, unlike the stochastic
process framework where the variance accounts
for fluctuations of the estimates over the ensemble
of sample paths, in the FOT probability frame-
work the variance accounts for the fluctuations of
the estimates in the time parameter t, viz., the
central point of the finite-length time series
segment adopted for the estimation. Therefore,
the assumption that the estimator asymptotically
approaches the true value (the infinite-time aver-
age) in the mean-square sense is equivalent to the
statement that the estimator is mean-square
consistent in the FOT probability sense. In fact,
from (4.9), (4.11), and (4.12) it follows that
¸[z
b
(t)
T
÷ z
b
[
2
)
t
’ var{z
b
(t)
T
]
÷ [bias{z
b
(t)
T
][
2
(4:13)
and this approximation become exact as T ÷ o.
In such a case, estimates obtained by using
different time segments asymptotically do not
depend on the central point of the segment.
5. Manufactured signals: modelling and analysis
5.1. General aspects
Cyclostationarity in manmade communications
signals is due to signal processing operations used
in the construction and/or subsequent processing
of the signal, such as modulation, sampling,
scanning, multiplexing and coding operations
[5.1–5.23].
The analytical cyclic spectral analysis of math-
ematical models of analog and digitally modulated
signals was first carried out in [2.5] for stochastic
processes and in [5.9,5.10] for nonstochastic time
series. The effects of multiplexing are considered in
[5.13]. Continuous-phase frequency-modulated
signals are treated in [5.12,5.18,5.19,5.23]. The
effects of timing jitter on the cyclostationarity
properties of communications signals are ad-
dressed in [2.8,5.17,5.21].
On this general subject, see the general treat-
ments [2.5,2.8,2.9,2.11,2.13], and also see [2.15,
6.11,7.22].
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 658
5.2. Examples of communication signals
In this section, two fundamental examples of
cyclostationary communication signals are con-
sidered and their wide-sense cyclic statistics are
described. The derivations of the cyclic statistics
can be accomplished by using the results of
Sections 3.6 and 3.7. Then a third example of a
more sophisticated communication signal is con-
sidered.
5.2.1. Double side-band amplitude-modulated
signal
Let x(t) be the (real-valued) double side-band
amplitude-modulated (DSB-AM) signal:
x(t)9s(t) cos(2pf
0
t ÷f
0
). (5.1)
The cyclic autocorrelation function and cyclic
spectrum of x(t) are [5.9]:
R
a
x
(t) =
1
2
R
a
s
(t) cos (2pf
0
t)
÷
1
4
{R
a÷2f
0
s
(t)e
÷j2pf
0
t
e
÷j2f
0
÷ R
a÷2f
0
s
(t)e
j2pf
0
t
e
j2f
0
], (5:2)
S
a
x
(f ) =
1
4
{S
a
s
(f ÷f
0
) ÷ S
a
s
(f ÷ f
0
)
÷S
a÷2f
0
s
(f ÷ f
0
)e
÷j2f
0
÷S
a÷2f
0
s
(f ÷ f
0
)e
j2f
0
], (5:3)
respectively. If s(t) is a wide-sense stationary signal
then R
a
s
(t) = R
0
s
(t)d
a
and
R
a
x
(t) =
1
2
R
0
s
(t) cos(2pf
0
t); a = 0;
1
4
R
0
s
(t)e
±j2pf
0
t
e
±j2f
0
; a = ±2f
0
;
0 otherwise;
_
¸
_
¸
_
(5.4)
S
a
x
(f ) =
1
4
{S
0
s
(f ÷ f
0
) ÷S
0
s
(f ÷f
0
)]; a = 0;
1
4
S
0
s
(f ( f
0
)e
±j2f
0
; a = ±2f
0
;
0 otherwise:
_
¸
_
¸
_
(5.5)
Thus, x(t) is cyclostationary with period 1=(2 f
0
).
In Fig. 5(a) the magnitude of the cyclic
autocorrelation function R
a
x
(t), as a function of a
and t, and in Fig. 5(b) the magnitude of the cyclic
spectrum S
a
x
(f ), as a function of a and f, are
reported for the DSB-AM signal (5.1) with
stationary modulating signal s(t) having triangular
autocorrelation function.
5.2.2. Pulse-amplitude-modulated signal
Let x(t) be the complex-valued pulse-amplitude
modulated (PAM) signal:
x(t)9

kcZ
a
k
q(t ÷kT
0
), (5.6)
where q(t) is a complex-valued square integrable
pulse and {a
k
]
kcZ
, a
k
c C, is an ACS sequence
whose cyclostationarity is possibly induced by
framing, multiplexing, or coding [13.21].
The (conjugate) cyclic autocorrelation fun-
ction and (conjugate) cyclic spectrum of x(t)
ARTICLE IN PRESS
Fig. 5. (a) Magnitude of the cyclic autocorrelation function
R
a
x
(t), as a function of a and t, and (b) magnitude of the cyclic
spectrum S
a
x
(f ), as a function of a and f, for the DSB-AM signal
(5.1).
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 659
are [5.9,5.10]:
R
a
xx
(+)
(t) =
1
T
0

mcZ
[
¯
R
¯a
aa
(+) (m)]
¯a=aT
0
r
a
qq
(+)
(t ÷ mT
0
), (5:7)
S
a
xx
(+)
(f ) =
1
T
0
[
¯
S
¯a
aa
(+) (n)]
n=fT
0
;¯a=aT
0
Q(f )Q
(+)
((÷)(a ÷ f )), (5:8)
respectively, where
¯
R
¯a
aa
(+) (m)9 lim
N÷o
1
2N ÷1

N
k=÷N
a
k÷m
a
(+)
k
e
÷j2p¯ak
,
(5.9)
¯
S
¯a
aa
(+) (n)9

mcZ
¯
R
¯a
aa
(+) (m)e
÷j2pnm
(5.10)
are the (conjugate) cyclic autocorrelation function
and the (conjugate) cyclic spectrum, respectively,
of the sequence {a
k
]
kcZ
,
Q(f )9
_
R
q(t)e
÷j2pft
dt (5.11)
and
r
a
qq
(+)
(t)9q(t) Q [q
(+)
(÷t)e
j2pat
]
=
_
R
q(t ÷ t)q
(+)
(t)e
÷j2pat
dt. (5:12)
If the sequence {a
k
]
kcZ
is wide-sense stationary
and white, then
¯
R
¯a
aa
+ (m) =
¯
R
0
aa
+ (0)d
(¯a mod 1)
d
m
, (5.13)
where mod denotes the modulo operation. In this
case, the cyclic autocorrelation function and the
cyclic spectrum of x(t) become
R
a
xx
+ (t) =
¯
R
0
aa
+ (0)
T
0
d
(aT
0
mod 1)
r
a
qq
+ (t), (5.14)
S
a
xx
+ (f ) =
¯
R
0
aa
+ (0)
T
0
d
(aT
0
mod 1)
Q(f )Q
+
(f ÷ a),
(5.15)
respectively. Thus, x(t) exhibits cyclostationarity
with cycle frequencies a = k=T
0
, k c Z; that is, x(t)
is cyclostationary with period T
0
.
In Fig. 6(a) the magnitude of the cyclic
autocorrelation function R
a
x
(t), as a function of a
and t, and in Fig. 6(b) the magnitude of the cyclic
spectrum S
a
x
(f ), as a function of a and f, are
reported for the PAM signal (5.6) with stationary
modulating sequence {a
k
]
kcZ
, and rectangular
pulse q(t)9rect((t ÷T
0
=2)=T
0
). In this case,
(5.12) reduces to
r
a
qq
(t) = e
÷jpa(T
0
÷t)
rect
t
2T
0
_ _
1 ÷
[t[
T
0
_ _
T
0
sinc(a(T
0
÷ [t[)). (5:16)
5.2.3. Direct-sequence spread-spectrum signal
Let x(t) be the direct-sequence spread-spectrum
(DS-SS) baseband PAM signal
x(t)9

kcZ
a
k
q(t ÷kT
0
), (5.17)
ARTICLE IN PRESS
Fig. 6. (a) Magnitude of the cyclic autocorrelation function
R
a
x
(t), as a function of a and t, and (b) magnitude of the cyclic
spectrum S
a
x
(f ), as a function of a and f, for the PAM signal
(5.6).
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 660
where {a
k
]
kcZ
, a
k
c C, is an ACS sequence, T
0
is
the symbol period, and
q(t)9

N
c
÷1
n=0
c
n
p(t ÷ nT
c
) (5.18)
is the spreading waveform. In (5.18), {c
0
; . . . ;
c
N
c
÷1
] is the N
c
-length spreading sequence (code)
with c
n
c C, and T
c
is the chip period such that
T
0
= N
c
T
c
.
The (conjugate) cyclic autocorrelation function
and (conjugate) cyclic spectrum of x(t) are
[2.8,8.24]:
R
a
xx
(+)
(t) =
1
T
0

mcZ
[
¯
R
¯a
aa
(+) (m)]
¯a=aT
0
r
a
pp
(+)
(t ÷ mT
0
) Q g
a
cc
(+)
(t), (5:19)
S
a
xx
(+)
(f ) =
1
T
0
[
¯
S
¯a
aa
(+) (n)]
n=fT
0
;¯a=aT
0
P(f )P
(+)
((÷)(a ÷f ))

¯
G
¯a
cc
(+) (n)[
n=fT
c
;¯a=aT
c
, (5:20)
where
g
a
cc
(+)
(t)9

N
c
÷1
n
1
=0

N
c
÷1
n
2
=0
c
n
1
c
(+)
n
2
e
÷j2pan
2
T
c
d(t ÷ (n
1
÷n
2
)T
c
) (5:21)
and
¯
G
¯a
cc
(+) (n)9C(n)C
(+)
((÷)(¯a ÷ n)) (5.22)
with
C(n)9

N
c
÷1
n=0
c
n
e
÷j2pnn
. (5.23)
6. Natural signals: modelling and analysis
Cyclostationarity occurs in data arising from a
variety of natural (not man-made) phenomena due
to the presence of periodic mechanisms in the
phenomena [6.1–6.27]. In climatology and atmo-
spheric science, cyclostationarity is due to rotation
and revolution of the earth [6.1,6.2,6.9,6.12,6.13,
6.21–6.24]. Applications in hydrology are consid-
ered in [6.3,6.11,6.14,6.16,6.17,6.19,6.25,6.26]; for
periodic ARMA modelling and the predic-
tion problem in hydrology, see [12.16,12.20,12.21,
12.23]; for the modelling of ocean waves as a
two-dimensional cyclostationary random field
see [20.1].
A patent on a speech recognition technique
exploiting cyclostationarity is [6.27].
7. Communications systems: analysis and design
7.1. General aspects
Cyclostationarity properties of modulated sig-
nals can be suitably exploited in the analysis and
design of communications systems (see [7.1–7.101])
since the signals involved are typically ACS (see
Section 5).
The cyclostationary nature of interference in
communications systems is characterized in
[7.5,7.6,7.8,7.9,7.18,7.25,7.47,7.98]. The problem
of optimum filtering (cyclic Wiener filtering) of
ACS signals is addressed in Section 7.2.
The problems of synchronization, signal para-
meter and waveform estimation, channel identifi-
cation and equalization, and signal detection and
classification are treated in Sections 8–11.
On the analysis and design of communications
systems, see the general treatments [2.5,2.8,
2.11,2.13], and also see [3.23,3.47,5.9,5.10,5.14,
10.7,22.8].
7.2. Cyclic Wiener filtering
The problem of optimum linear filtering consists
of designing the linear transformation of the data
x(t) that minimizes the mean-squared error of the
filter output relative to a desired signal, say d(t). In
the case of complex data, the optimum filter is
obtained by processing both x(t) and x
+
(t), leading
to the linear-conjugate-linear (LCL) structure
[2.8,2.9]. If d(t) and x(t) are jointly ACS signals,
the optimum filtering is referred to (as first
suggested in [7.31]) as cyclic Wiener filtering (and
also frequency-shift (FRESH) filtering). FRESH
filtering consists of periodically or almost-periodi-
cally time-variant filtering of x(t) and x
+
(t) and
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 661
adding the results, where the frequency shifts are
chosen in accordance with the cycle frequencies of
x(t) and d(t) (e.g., cycle frequencies of the signal of
interest and interference, x(t) = d(t) ÷n(t) where
n(t) is the interference) [7.19,7.21,7.31]. The
problem of optimum LPTV and LAPTV filtering
was first addressed in [2.2,3.23] and, in terms of
cyclic autocorrelations and cyclic spectra in
[2.5,2.8].
Let
´
d(t)9y(t) ÷ y
c
(t)
=
_
R
h(t; u)x(u) du ÷
_
R
h
c
(t; u)x
+
(u) du (7:1)
be the LCL estimate of the desired signal d(t)
obtained from the data x(t). To minimize the
mean-squared error
E
{a]
{[
´
d(t) ÷d(t)[
2
] (7.2)
a necessary and sufficient condition is that the
error signal be orthogonal to the data (orthogon-
ality condition [2.5]); that is,
E
{a]
{[
´
d(t ÷ t) ÷ d(t ÷ t)]x
+
(t)] = 0
\t c R \t c R, (7:3a)
E
{a]
{[
´
d(t ÷ t) ÷ d(t ÷ t)]x(t)] = 0
\t c R \t c R. (7:3b)
If x(t) and d(t) are singularly and jointly ACS,
E
{a]
{x(t ÷t)x
(+)
(t)] =

acA
xx
(+)
R
a
xx
(+)
(t)e
j2pat
, (7.4)
E
{a]
{d(t ÷ t)x
(+)
(t)] =

gcF
dx
(+)
R
g
dx
(+)
(t)e
j2pgt
, (7.5)
then it follows that the optimum filters are
LAPTV:
h(t; u) =

scG
h
s
(t ÷u)e
j2psu
, (7.6)
h
c
(t; u) =

ZcG
c
h
c
Z
(t ÷u)e
j2pZu
. (7.7)
By substituting (7.1), (7.6), and (7.7) into (7.3a)
and (7.3b), we obtain the system of simultaneous
filter design [7.31,9.51]:

scG
e
j2pst
[R
g÷s
xx
+ (t) Q h
s
(t)]
÷

ZcG
c
e
j2pZt
[R
Z÷g
xx
(t)
+
Q h
c
Z
(t)]
= R
g
dx
+ (t) \g c F
dx
+ , (7:8a)

scG
e
j2pst
[R
g÷s
xx
(t) Q h
s
(t)]
÷

ZcG
c
e
j2pZt
[R
Z÷g
xx
+ (t)
+
Q h
c
Z
(t)]
= R
g
dx
(t) \g c F
dx
, (7:8b)
where the fact that R
b
x
+
x
+ (t) = R
÷b
xx
(t)
+
and
R
a
x
+
x
(t) = R
÷a
xx
+ (t)
+
is used and, in (7.8a), for each
g c F
dx
+ , the sums are extended to all frequency
shifts s c G and Z c G
c
such that g ÷s c A
xx
+ and
Z ÷g c A
xx
; and, in (7.8b), for each g c F
dx
, the
sums are extended to all frequency shifts s c G
and Z c G
c
such that g ÷ s c A
xx
and Z ÷ g c A
xx
+ .
Eqs. (7.8a) and (7.8b) can be re-expressed in the
frequency domain:

scG
S
g÷s
xx
+ (f ÷s)H
s
(f ÷ s)
÷

ZcG
c
S
Z÷g
xx
(Z ÷ f )
+
H
c
Z
(f ÷Z)
= S
g
dx
+ (f ) \g c F
dx
+ , (7:9a)

scG
S
g÷s
xx
(f ÷s)H
s
(f ÷ s)
÷

ZcG
c
S
Z÷g
xx
+ (Z ÷ f )
+
H
c
Z
(f ÷ Z)
= S
g
dx
(f ) \g c F
dx
, (7:9b)
where H
s
(f ) and H
c
Z
(f ) are the Fourier transforms
of h
s
(t) and h
c
Z
(t), respectively.
Applications of FRESH filtering to interference
suppression have been considered in [7.56,7.58,
7.68,7.73,7.76,7.77,7.79–7.81,7.85,7.94,7.98].
Adaptive FRESH filtering is addressed in [7.11,
7.14,7.19,7.20,7.21,7.23,7.24,7.27,7.30,7.46,7.57,7.69,
7.74,7.75,7.81].
Cyclic Wiener filtering or FRESH filtering can
be recognized to be linked to FSE’s, RAKE filters,
adaptive demodulators, and LMMSE despreaders
for recovery of baseband symbol data from PAM,
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 662
GMSK/GFSK, and DSSS signals, and for separa-
tion of baseband symbol streams in overlapped
signal environments, as well as multicarrier or
direct frequency diversity spread spectrum systems
for adaptive transmission and combining. In
particular, on blind and nonblind adaptive demo-
dulation of PAM signals and LMMSE blind
despreading of short-code DSSS/CDMA signals
using FSE’s and RAKE filtering structures, see
[7.12,7.15–7.17,7.28,7.29,7.36,7.38,7.39,7.44,7.48,
7.50,7.51,7.53,7.59,7.61,7.65–7.67]. On direct fre-
quency-diverse multicarrier transceivers, see
[7.32–7.34,7.52].
Patents of inventions for the analysis and design
of communications systems exploiting cyclostatio-
narity are [7.35,7.37,7.42,7.45,7.70,7.83,7.86,7.87,
7.92,7.95,7.96,7.99–7.101]. Patents of inventions
exploiting the FRESH filtering are [7.55,7.93].
8. Synchronization
8.1. Spectral line generation
Let x(t) be a real-valued second-order wide-
sense ACS time series. According to the results of
Section 3.3, the second-order lag product x(t ÷
t)x(t) can be decomposed into the sum of its
almost-periodic component and a residual term

x
(t; t) not containing any finite-strength additive
sinewave component (see (3.44) and (3.46)):
x(t ÷t)x(t) = E
{a]
{x(t ÷ t)x(t)] ÷ ‘
x
(t; t)
=

acA
R
a
x
(t)e
j2pat
÷ ‘
x
(t; t), (8:1)
where
¸‘
x
(t; t)e
÷j2pat
)
t
¬ 0 \a c R. (8.2)
For communications signals, the cycle frequen-
cies a c A are related to parameters such as
sinewave carrier frequency, pulse rate, symbol
rate, frame rate, sampling frequency, etc. (see
Section 5). Therefore, the extraction of the almost-
periodic component in (8.1) leads to a signal
suitable for synchronization purposes. For exam-
ple, if x(t) is the binary PAM signal defined in (5.6)
with q(t) real and duration limited to an interval
strictly less than T
0
, and a
k
c {÷1; 1], then it
follows that
x
2
(t) =

kcZ
q
2
(t ÷ kT
0
) (8.3)
and ‘
x
(t; 0) = 0. Therefore, the synchronization
signal x
2
(t) is periodic with period T
0
.
More generally, by definition, ACS signals
enable spectral lines to be generated by passage
through a stable nonlinear time-invariant trans-
formation (see Sections 10.4 and 13). That is,
quadratic or higher-order nonlinear time-invariant
transformations of an ACS signal give rise to time
series containing finite-strength additive sinewave
components whose frequencies are the second or
higher-order cycle frequencies of the original
signal. All synchronization schemes can be recog-
nized to exploit the second- or higher-order
cyclostationarity features of signals [8.13]. Cyclo-
stationarity properties are exploited for synchro-
nization in [8.1–8.36].
The spectral analysis of timing waveforms with
re-generated spectral lines is treated in
[8.1,8.8,8.11,8.13–8.15]. Phase-lock loops are ana-
lyzed in [8.2,8.5–8.7]. Blind or non-data-aided
synchronization algorithms are described in
[8.20–8.26,8.28–8.33,8.35,8.36]. See also [2.8,5.1].
Patents on synchronization techniques exploit-
ing cyclostationarity are [8.17,8.27,8.34].
9. Signal parameter and waveform estimation
Cyclostationarity properties can be exploited to
design signal selective algorithms for signal para-
meter and waveform estimation [9.1–9.100]. In
fact, if the desired and interfering signals have
different cyclic parameters such as carrier fre-
quency or baud rate, then they exhibit cyclosta-
tionarity at different cycle frequencies and,
consequently, parameters of the desired signal
can be extracted by estimating cyclic statistics of
the received data, consisting of desired signal plus
interfering signal, at a cycle frequency exhibited by
the desired signal but not by the interference.
This signal selectivity by exploitation of cyclosta-
tionarity was first suggested in [4.8]. Parameters
that can be estimated in the presence of inter-
ference and/or high noise include carrier frequency
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 663
and phase, pulse rate and phase, signal power
level, modulation indices, bandwidths, time- and
frequency-difference of arrival, direction of arri-
val, and so on.
Signal selective time-difference-of-arrival esti-
mation algorithms are considered in [9.11,9.12,
9.19,9.31,9.33,9.36–9.38,9.54,9.56,9.72,9.75,9.83].
In [9.84,9.90], both time-difference-of-arrival and
frequency-difference-of arrival are estimated. Ar-
ray processing problems, including spatial filtering
and direction finding, are treated in [7.15,9.7,9.9,
9.10,9.15,9.17,9.18,9.20–9.22,9.26–9.30,9.32,9.34,
9.39–9.44,9.47–9.50,9.53,9.57–9.65,9.68,9.73,9.74,
9.79,9.80,9.82,9.86–9.88,9.91,9.94,9.95,9.97,9.99,9.100].
The polynomial-phase signal parameter estima-
tion is addressed in [9.67,9.71,9.78,9.93]. Harmo-
nics in additive and multiplicative noise are
considered in [9.55,9.66,9.69,9.70,9.76,9.77]. But,
there are difficulties in application of some of this
work—difficulties associated with lack of ergodic
properties of stochastic-process models adopted
for polynomial-phase signals and signals with
coupled harmonics.
On this subject see the general treatments
[2.2,2.5,2.8,2.9,2.11], and also see [3.23,3.60,5.12,
7.1,7.2,7.7,7.19,7.21,7.24,8.24,11.1,21.6].
Patents of inventions on signal parameter and
waveform estimation exploiting cyclostationarity
are [9.16,9.45,9.46,9.52,9.81,9.96].
10. Channel identification and equalization
10.1. General aspects
Cyclostationarity-based techniques have been
exploited for channel identification and equaliza-
tion [10.1–10.57]. Linear and nonlinear systems,
and time-invariant, periodically and almost-peri-
odically time-variant systems, have been consid-
ered. Also, techniques for noisy input/output
measurement, and blind adaptation algorithms,
have been developed for LTI systems.
On this subject see the general treatments
[2.2,2.5,2.8,2.9,2.11], and also see [7.25,10.36,8.24,
9.59,13.20,13.28,14.11].
Patents of inventions on blind system identifica-
tion exploiting cyclostationarity are [10.3,10.6,
10.10,10.11,10.39,10.56].
10.2. LTI-system identification with noisy-
measurements
Cyclostationarity-based techniques can be
exploited in channel identification and equaliza-
tion problems in order to separate the desired and
disturbance contributions in noisy input/output
measurements, provided that there is at least one
cycle frequency of the desired signal that is not
shared by the disturbance.
Let us consider the problem of estimating the
impulse-response function h(t) or, equivalently, the
harmonic-response function:
H(f )9
_
R
h(t)e
÷j2pft
dt (10.1)
of an LTI system with input/output relation
y(t) = h(t) Q x(t) (10.2)
on the basis of the observed noisy signals v(t) and
z(t)
v(t) = x(t) ÷ n(t), (10.3)
z(t) = y(t) ÷ m(t), (10.4)
where x(t), n(t), and m(t) are zero-mean time
series.
By assuming x
1
= x
2
= x, y
1
= y, y
2
= x, h
1
= h
(LTI), and h
2
= d in (3.77), and choosing (+) to be
conjugation, (3.81) specializes to
S
a
yx
+ (f ) = S
a
xx
+ (f )H(f ). (10.5)
Therefore, from the model (10.3) and (10.4), we
obtain
S
a
vv
+ (f ) = S
a
xx
+ (f ) ÷ S
a
nn
+ (f ), (10.6)
S
a
zv
+ (f ) = S
a
yx
+ (f ) ÷ S
a
mn
+ (f )
= S
a
xx
+ (f )H(f ) ÷S
a
mn
+ (f ) (10:7)
provided that x(t) is uncorrelated with both n(t)
and m(t).
Eqs. (10.6) and (10.7) reveal the ability of
cyclostationarity-based algorithms to be signal
selective. In fact, under the assumption that n(t)
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W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 664
does not exhibit cyclostationarity at cycle fre-
quency a (i.e., S
a
nn
+ (f ) ¬ 0) and n(t) and m(t) do
not exhibit joint cyclostationarity with cycle
frequency a (i.e., S
a
mn
+ (f ) ¬ 0), the harmonic-
response function for the system is given by
H(f ) =
S
a
yx
+ (f )
S
a
xx
+ (f )
=
S
a
zv
+ (f )
S
a
vv
+ (f )
. (10.8)
That is, H(f ) can be expressed in terms of the
cyclic spectra of the noisy input and output
signals. Therefore, (10.8) provides a system identi-
fication formula that is intrinsically immune to the
effects of noise and interference as first observed in
[2.8,10.5]. Thus, this identification method is
highly tolerant to disturbances in practice, pro-
vided that a sufficiently long integration time is
used for the cyclic spectral estimates.
The identification of LTI systems based on noisy
input/output measurements is considered in [2.5,
2.8,9.11,9.12,9.36,9.37,10.5,10.12,10.14,10.18,10.20,
10.24,10.55].
10.3. Blind LTI-system identification and
equalization
By specializing (3.84) to the case of the LTI
system (10.2), we get
S
a
yy
+ (f ) = S
a
xx
+ (f )H(f )H
+
(f ÷ a) (10.9)
which, for a = 0, reduces to the input/output
relationship in terms of power spectra:
S
0
yy
+ (f ) = S
0
xx
+ (f )[H(f )[
2
. (10.10)
From (10.9) and (10.10) it follows that input/output
relationships for LTI systems in terms of cyclic
statistics, unlike those in terms of autocorrelation
functions and power spectra, preserve phase in-
formation of the harmonic-response function H(f ).
Thus, cyclostationarity properties of the output
signal are suitable to be exploited for recovering
both phase and magnitude of the system harmonic-
response function as first observed in [10.7].
Cyclostationarity properties are exploited for
blind identification (without measurements of the
system input) of linear systems and for blind
equalization techniques in [9.59,10.1,10.7,10.15,
10.16,10.19,10.21,10.22,10.25,10.26,10.28–10.33,
10.36–10.38,10.42–10.45,10.47,10.48,10.50–10.53].
10.4. Nonlinear-system identification
Let y(t) the output signal of a Volterra system
excited by the input signal x(t):
y(t) =

÷o
n=1
_
R
n
k
n
(t
1
; . . . ; t
n
)x(t ÷ t
1
) · · ·
x(t ÷ t
n
) dt
1
· · · dt
n
. (10:11)
Accounting for the results of Sections 3.3 and 13,
the input lag-product waveform can be decom-
posed into the sum of an almost-periodic compo-
nent, referred to as the temporal moment function,
and a residual term not containing any finite-
strength additive sinewave component (see (13.3)):
x(t ÷ t
1
) · · · x(t ÷ t
n
) =

acA
x
R
a
x
(s)e
j2pat
÷‘
x
(t; s).
(10.12)
Thus, identification and equalization techniques
for Volterra systems excited by ACS signals make
use of higher-order cyclostationarity properties. In
fact, there are potentially substantial advantages
to using cyclostationary input signals, relative to
stationary input signals, for purposes of Volterra
system modelling and identification as first ob-
served in [10.13].
Both time-invariant and almost-periodically
time-variant nonlinear systems are treated in
[10.4,10.8,10.13,10.23,10.35,10.41,10.46,13.16].
11. Signal detection and classification, and source
separation
Signal detection techniques designed for cyclos-
tationary signals take account of the periodicity or
almost periodicity of the signal autocorrelation
function [11.1–11.39]. Single-cycle and multicycle
detectors exploit one or multiple cycle frequencies,
respectively. The detection problem for additive
Gaussian noise is addressed in [11.2,11.5,11.7,
11.9–11.11,11.15,11.19,11.21,11.26,11.27,11.32],
and for non-Gaussian noise, in [11.16,11.18,
11.24,11.25]. The problem of signal detection in
cyclostationary noise is treated in [11.2,11.8,
11.12,11.17]. Tests for the presence of cyclostatio-
narity are proposed in [11.14,11.20,11.31,12.31] by
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 665
exploiting the asymptotic properties of the cyclic
correlogram and in [11.6,11.13] by exploiting the
properties of the support of the spectral correla-
tion function. Modulation classification techni-
ques are proposed in [11.23,11.28–11.30]; see also
[13.22]. The problem of cyclostationary source
separation is considered in [11.34,11.35,11.37,
11.39].
On this subject see the general treatments
[2.5,2.11,2.13], and also see [3.60,7.72,7.74,9.13,
9.14,9.19,11.11,13.30,13.31].
Patents on detection and signal recognition
exploiting cyclostationarity are [11.22,11.36,11.38].
See also the URL http://www.sspi-tech.
com for information on general purpose, auto-
matic, communication-signal classification software
systems.
12. Periodic AR and ARMA modelling and
prediction
Periodic autoregressive (AR) and autoregressive
moving average (ARMA) (discrete-time) systems
are characterized by input/output relationships
described by difference equations with periodically
time-varying coefficients and system orders
[12.36,12.37]:

P(n)
k=0
a
k
(n)y(n ÷k) =

Q(n)
m=0
b
m
(n)x(n ÷m), (12.1)
where x(n) and y(n) are the input and output
signals, respectively, and the coefficients a
k
(n) and
b
m
(n) and the orders P(n) and Q(n) are periodic
functions with the same period N
0
. Thus, periodic
ARMA systems are a special case of discrete-time
periodically time-varying systems. When they are
excited by a stationary or cyclostationary input
signal x(n), they give rise to a cyclostationary
output signal y(n). When they are excited by an
almost-cyclostationary input signal, they give rise
to an almost-cyclostationary output signal. The
problem of fitting an AR model to data y(n) is
equivalent to the problem of solving for a linear
predictor for y(n), where x(n) is the model-fitting-
error time series.
Periodic AR and ARMA systems are treated in
[12.1–12.53]. The modelling and prediction pro-
blem is treated in [12.1–12.8,12.12–12.16,12.19,
12.21,12.23–12.26,12.28–12.30,12.32,12.34–12.37,
12.41,12.43,12.45,12.46,12.50,12.52]. The para-
meter estimation problem is addressed in [12.9,
12.11,12.17,12.22,12.27,12.31,12.36,12.38–12.40,
12.47–12.49,12.51].
On the subject of periodic AR and ARMA
modelling and prediction, see the general treat-
ments [2.5,2.8,2.11,2.13], and also see [3.30,3.69,
14.23,15.3] for the prediction problem; [4.3,4.5,
4.12,4.27,4.29] for the parameter estimation pro-
blem; [6.2,6.9,6.13,6.16] for modelling of atmo-
spheric and hydrologic signals; [16.1,16.2,16.5,
16.7] for applications to econometrics; and [21.4]
for application to modelling helicopter noise.
13. Higher-order statistics
13.1. Introduction
As first defined in [13.4], a signal x(t) is said to
exhibit higher-order cyclostationarity (HOCS) if
there exists a homogeneous non-linear transfor-
mation of x(t) of order greater than two such that
the output of this transformation contains finite-
strength additive sinewave components. Motiva-
tions to study HOCS properties of signals include
the following:
(1) Signals not exhibiting second-order cyclosta-
tionarity can exhibit HOCS [13.13].
(2) Narrow-band filtering can destroy second-
order (wide-sense) cyclostationarity. In fact,
let us consider the input/output relationship
for LTI systems in terms of cyclic spectra
(10.9). If the bandwidth of H(f ) is smaller than
the smallest nonzero second-order cycle fre-
quency of the input signal x(t), then the output
signal y(t) does not exhibit second-order wide-
sense cyclostationarity. The signal y(t), how-
ever, can exhibit HOCS (see also [3.13]).
(3) The exploitation of HOCS can be useful for
signal classification [13.22]. Specifically, differ-
ent communication signals, even if they
exhibit the same second-order cyclostationarity
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 666
properties, can exhibit different cyclic features
of higher order. Moreover, different behaviors
can be obtained for different conjugation
configurations [13.9,13.14,13.17].
(4) Exploitation of HOCS can be useful for many
estimation problems, as outlined below.
On the subject of higher-order cyclostationarity
and its applications see [13.1–13.31]; in addition,
see [3.81] for the wavelet decomposition; [4.56] for
estimation issues; [5.23] for the cyclic higher-order
properties of CPM signals; [7.74] for blind
adaptive detection; [8.8] for the spectral analysis
of PAM signals; [9.55,9.61,9.67,9.69–9.71,9.80,
9.85,9.93,9.99] for application to signal parameter
and waveform estimation; [10.13,10.23,10.24,
10.34,10.40,10.41,10.46] for applications to non-
linear system identification and equalization;
[11.20] for applications to signal detection;
[11.28–11.30] for applications to signal classifica-
tion; [11.34] for applications to source sepa-
ration; [15.18,15.21,15.23] for applications in
acoustics and mechanics; [21.9–21.11,21.13] for
the higher-order characterization of generalized
almost-cyclostationary signals.
13.2. Higher-order cyclic statistics
In this section, cyclic higher-order (joint) statis-
tics for both continuous-time and discrete-time
time series are presented in the FOT probability
framework as first introduced for continuous time
in [13.4,13.5] and developed in [13.9,13.13,13.14,
13.17], and, for discrete and continuous time, in
[13.20]. For treatments within the stochastic
framework, see [13.10,13.12,13.15,13.18,13.26] or
extend to higher-order statistics the link between
the two frameworks discussed in Section 3.4.
13.2.1. Continuous-time time series
Let us consider the column vector
x(t)9[x
(+)
1
1
(t); . . . ; x
(+)
N
N
(t)]
T
whose components
are N not necessarily distinct complex-valued
continuous-time time-series and (+)
k
represents
optional complex conjugation of the kth signal
x
k
(t). The N time-series exhibit joint Nth-order
wide-sense cyclostationarity with cycle frequency
aa0 if at least one of the Nth-order cyclic temporal
cross-moment functions (CTCMFs)
R
a
x
(s)9

N
k=1
x
(+)
k
k
(t ÷ t
k
)e
÷j2pat
_ _
t
, (13.1)
where s9[t
1
; . . . ; t
N
]
T
is not identically zero. Thus,
N time series exhibit wide-sense joint Nth-order
cyclostationarity with cycle frequency aa0 if, for
some s, the lag product waveform
L
x
(t; s)9

N
k=1
x
(+)
k
k
(t ÷t
k
) (13.2)
contains a finite-strength additive sinewave com-
ponent with frequency a, whose amplitude and
phase are the magnitude and phase of R
a
x
(s),
respectively.
The Nth-oder temporal cross-moment function
(TCMF) is defined by
R
x
(t; s)9E
{a]
{L
x
(t; s)]
=

acA
x
R
a
x
(s)e
j2pat
(13:3)
where A
x
is the countable set (not depending on s)
of the Nth-order cycle frequencies of the time
series x
(+)
1
1
(t ÷t
1
); . . . ; x
(+)
N
N
(t ÷ t
N
) (for the given
conjugation configuration).
The N-dimensional Fourier transform of the
CTCMF
S
a
x
(f )9
_
R
N
R
a
x
(s)e
÷j2pf
T
s
ds, (13.4)
where f 9[f
1
; . . . ; f
N
]
T
, is called the Nth-order
cyclic spectral cross-moment function (CSCMF)
and can be written as
S
a
x
(f ) = S
a
x
(f
/
)d(f
T
1 ÷ a), (13.5)
where 1 is the vector [1; . . . ; 1]
T
, and prime denotes
the operator that transforms a vector
u9[u
1
; . . . ; u
K
]
T
into the reduced-dimension ver-
sion u
/
9[u
1
; . . . ; u
K÷1
]
T
. The function S
a
x
(f
/
), re-
ferred to as the reduced-dimension CSCMF (RD-
CSCMF), can be expressed as
S
a
x
(f
/
) =
_
R
N÷1
R
a
x
(s
/
)e
÷j2pf
/
T
s
/
ds
/
, (13.6)
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W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 667
where
R
a
x
(s
/
)9R
a
x
(s)[
t
N
=0
(13.7)
is the reduced-dimension CTCMF (RD-CTCMF).
The RD-CSCMF can also be expressed as
S
a
x
(f
/
) = lim
T÷o
lim
Z÷o
1
Z
_
t÷Z=2
t÷Z=2
1
T
X
(+)
N
N;T
(u; (÷)
N
(a ÷ f
/
T
1))

N÷1
k=1
X
(+)
k
k;T
(u; (÷)
k
f
k
) du, (13:8)
where
X
k;T
(t; f
k
)9
_
t÷T=2
t÷T=2
x
k
(s)e
÷j2pf
k
s
ds (13.9)
and (÷)
k
denotes an optional minus sign that is
linked to the optional conjugation (+)
k
. Eq. (13.8)
reveals that N time-series exhibit joint Nth-order
wide-sense cyclostationarity with cycle frequency a
(i.e., R
a
x
(s)c0 or, equivalently, S
a
x
(f
/
)c0) if and
only if the Nth-order temporal cross-moment of
their spectral components at frequencies f
k
, whose
sum is equal to a, is nonzero. In fact, by using
h
B
(t)9Brect(Bt) (13.10)
with B91=T and rect(t) = 1 if [t[p
1
2
and rect(t) =
0 if [t[4
1
2
, Eq. (13.8) can be re-written as
S
a
x
(f
/
) = lim
B÷0
lim
Z÷o
1
Z
_
t÷Z=2
t÷Z=2
1
B
N÷1
[(x
(+)
N
N
(u)
e
÷j2p(a÷f
/
T
1)u
) Q h
B
(u)]

N÷1
k=1
[(x
(+)
k
k
(u)e
÷j2pf
k
u
) Q h
B
(u)] du (13:11)
which is the Nth-order temporal cross-moment of
low-pass-filtered versions of the frequency-shifted
signals x
(+)
k
k
(t)e
÷j2pf
k
t
when the sum of the fre-
quency shifts is equal to a and the bandwidth B
approaches zero. Such a property is the general-
ization to the order N42 of the spectral correla-
tion property of signals that exhibit second-order
cyclostationarity. Moreover, relation (13.4) be-
tween the Nth-order cyclic spectral moment
function (13.5), (13.8) and Nth-order cyclic tem-
poral moment (13.1) is, at first pointed out in
[13.4], the Nth-order generalization of the Cyclic
Wiener Relation.
Let us note that in general the function R
a
x
(s
/
) is
not absolutely integrable because it does not in
general decay as |s
/
| ÷ o, but rather it oscillates.
Thus, S
a
x
(f
/
) can contain impulses and, conse-
quently, S
a
x
(f ) can contain products of impulses.
In [13.13], it is shown that the RD-CSCMF S
b
x
(f
/
)
can contain impulsive terms if the vector f with
f
N
= b ÷

N÷1
k=1
f
k
lies on the b-submanifold; i.e.,
if there exists at least one partition {m
1
; . . . ; m
p
] of
{1; . . . ; N] with p41 such that each sum a
m
i
=

kcm
i
f
k
is a [m
i
[th-order cycle frequency of x(t),
where [m
i
[ is the number of elements in m
i
.
In the spectral-frequency domain, a well-be-
haved function can be introduced starting from the
Nth-order temporal cross-cumulant function
(TCCF):
C
x
(t; s)9cum{x
(+)
k
k
(t ÷t
k
); k = 1; . . . ; N]
= (÷j)
N
@
N
@o
1
· · · @o
N
log
e
E
{a]
exp j

N
k=1
o
k
x
(+)
k
k
(t ÷ t
k
)
_ _ _ _¸
¸
¸
¸
¸
x=0
=

P
(÷1)
p÷1
(p ÷ 1)!

p
i=1
R
x
m
i
(t; s
m
i
)
_ _
,
(13:12)
where x9[o
1
; . . . ; o
N
]
T
, P is the set of distinct
partitions of {1; . . . ; N], each constituted by the
subsets {m
i
; i = 1; . . . ; p], x
m
i
is the [m
i
[-dimen-
sional vector whose components are those of x
having indices in m
i
. In (13.12), the almost-periodic
component extraction operator E
{a]
{·] extracts the
frequencies of the 2N-variate fraction-of-time joint
probability density function of the real and
imaginary parts of the time-series x
k
(t) (k =
1; . . . ; N) according to
E
{a]
{g(x
(+)
1
1
(t ÷ t
1
); . . . ; x
(+)
N
N
(t ÷ t
N
))]
=
_
R
2N
g(x
(+)
1
1
; . . . ; x
(+)
N
N
)
f
{a]
x
1r
(t÷t
1
)x
1i
(t÷t
1
)···x
Nr
(t÷t
N
)x
Ni
(t÷t
N
)
(x
1r
; x
1i
; . . . ; x
Nr
; x
Ni
)
dx
1r
dx
1i
· · · dx
Nr
dx
Ni
, (13:13)
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 668
where x
kr
(t)9Re[x
k
(t)], x
ki
(t)9Im[x
k
(t)], x
kr
9
Re[x
k
], x
ki
9Im[x
k
], and
g(x
(+)
1
1
; . . . ; x
(+)
N
N
)9exp j

N
k=1
o
k
x
(+)
k
k
_ _
. (13.14)
In fact, by taking the N-dimensional Fourier
transform of the coefficient of the Fourier series
expansion of the almost-periodic function (13.12)
C
b
x
(s)9¸C
x
(t; s)e
÷j2pbt
)
t
(13.15)
which is referred to as the Nth-order cyclic
temporal cross-cumulant function (CTCCF), one
obtains the Nth-order cyclic spectral cross-cumu-
lant function (CSCCF) P
b
x
(f ). It can be written as
P
b
x
(f ) = P
b
x
(f
/
)d(f
T
1 ÷ b), (13.16)
where
P
b
x
(f
/
)9
_
R
N÷1
C
b
x
(s
/
)e
÷j2pf
/ T
s
/
ds
/
(13.17)
is the Nth-order cyclic cross-polyspectrum (CCP),
and
C
b
x
(s
/
)9C
b
x
(s)[
t
N
=0
(13.18)
is called the reduced-dimension CTCCF (RD-
CTCCF). The cyclic cross-polyspectrum is a well-
behaved function under the mild conditions that
the time-series x
N
(t) and x
k
(t ÷t
k
) (k =
1; . . . ; N ÷1) are asymptotically ([t
k
[ ÷ o) inde-
pendent (in the FOT probability sense) so that
C
b
x
(s
/
) ÷ 0 as |s
/
| ÷ o and, moreover, there
exists an 40 such that [C
b
x
(s
/
)[ = o(|s
/
|
÷N÷1÷
) as
|s
/
| ÷ o. Furthermore, except on a b-submani-
fold, the CCP P
b
x
(f
/
) is coincident with the RD-
CSCMF S
b
x
(f
/
).
The CCP can also be expressed as
P
b
x
(f
/
) = lim
T÷o
1
T
cum{X
(+)
N
N;T
(t; (÷)
N
(a ÷f
/
T
1)),
X
(+)
k
k;T
(t; (÷)
k
f
k
),
k = 1; . . . ; N ÷ 1], (13:19)
where, in the computation of the cumulant in
(13.19), the stationary FOT expectation operation
can be adopted as T ÷ o. Eq. (13.19) reveals that
the CCP of N time series is the Nth-order cross-
cumulant of their spectral components at frequen-
cies f
k
whose sum is equal to b. In fact, Eq. (13.19)
can be re-written as
P
b
x
(f
/
) = lim
B÷0
1
B
N÷1
cum{[(x
(+)
N
N
(t)e
÷j2p(a÷f
/
T
1)t
)
Q h
B
(t)]; [(x
(+)
k
k
(t)e
÷j2pf
k
t
) Q h
B
(t)],
k = 1; . . . ; N ÷ 1] (13:20)
which is the Nth-order temporal cross-cumulant of
low-pass filtered versions of the frequency-shifted
signals x
(+)
k
k
(t)e
÷j2pf
k
t
when the sum of the fre-
quency shifts is equal to b and the bandwidth B
approaches zero.
As first shown in [13.5] and then, in more detail,
in [13.9,13.13,13.15,13.17], the Nth-order temporal
cumulant function of a time series provides a
mathematical characterization of the notion of a
pure Nth-order sinewave. It is that part of the
sinewave present in the Nth-order lag product
waveform that remains after removal of all parts
that result from products of sinewaves in lower
order lag products obtained by factoring the Nth-
order product.
13.2.2. Discrete-time time series
In accordance with the definition for the
continuous-time case, N not necessarily distinct
discrete-time complex-valued time series x
k
(n),
n c Z, exhibit joint Nth-order wide-sense cyclos-
tationarity with cycle frequency ¯aa0 (¯a c [÷
1
2
;
1
2
[) if
at least one of the Nth-order CTCMF’s
¯
R
¯a
x
(m)9 lim
N÷o
1
2N ÷ 1

N
n=÷N

N
k=1
x
(+)
k
k
(n ÷ m
k
)e
÷j2p¯an
(13.21)
is not identically zero. In (13.21), x(n)9
[x
(+)
1
1
(n); . . . ; x
(+)
N
N
(n)]
T
and m9[m
1
; . . . ; m
N
]
T
.
The magnitude and phase of the CTCMF
(13.21) are the amplitude and phase of the
sinewave component with frequency ¯a contained
in the discrete-time lag product whose temporal
expected value is the discrete-time Nth-order
TCMF.
The N-fold discrete Fourier transform of the
CTCMF
¯
S
¯a
x
(m)9

mcZ
N
¯
R
¯a
x
(m)e
÷j2pm
T
m
, (13.22)
ARTICLE IN PRESS
W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 669
where m9[n
1
; . . . ; n
N
]
T
, is called the Nth-order
CSCMF and can be written as
¯
S
¯a
x
(m) =
¯
S
¯a
x
(m
/
)

÷o
r=÷o
d(¯a ÷ m
T
1 ÷ r), (13.23)
where the function
¯
S
¯a
x
(m
/
) is the Nth-order RD-
CSCMF, which can be expressed as the (N ÷1)-
fold discrete Fourier transform
¯
S
¯a
x
(m
/
) =

m
/
cZ
N÷1
¯
R
¯a
x
(m
/
)e
÷j2pm
/
T
m
/
(13.24)
of the Nth-order RD-CTCMF
¯
R
¯a
x
(m
/
)9
¯
R
¯a
x
(m)[
m
N
=0
. (13.25)
Once the Nth-order discrete-time TCCF
¯
C
x
(k; m)
is defined analogously to the continuous-time case,
the Nth-order CTCCF is given by
¯
C
¯
b
x
(m)9 lim
N÷o
1
2N ÷ 1

N
n=÷N
¯
C
x
(n; m)e
÷j2p
¯
bn
.
(13.26)
Its discrete Fourier transform, referred to as the
Nth-order CSCCF, is given by
¯
P
¯
b
x
(m) =
¯
P
¯
b
x
(m
/
)

÷o
r=÷o
d(
¯
b ÷ m
T
1 ÷r), (13.27)
where the function
¯
P
¯
b
x
(m
/
) is referred to as the Nth-
order CCP, which can be expressed as the (N ÷1)-
fold discrete Fourier transform of the Nth-order
RD-CTCCF
¯
C
¯
b
x
(m
/
)9
¯
C
¯
b
x
(m)[
m
N
=0
. (13.28)
Finally, it can be easily shown that the following
periodicity properties hold:
¯
R
¯a
x
(m) =
¯
R
¯a÷p
x
(m); p c Z, (13.29)
¯
S
¯a
x
(m) =
¯
S
¯a÷p
x
(m ÷ q); p c Z; q c Z
N
, (13.30)
¯
C
¯
b
x
(m) =
¯
C
¯
b÷p
x
(m); p c Z, (13.31)
¯
P
¯
b
x
(m) =
¯
P
¯
b÷p
x
(m ÷ q); p c Z; q c Z
N
. (13.32)
Analogous relations can be stated for the reduced-
dimension statistics.
14. Applications to circuits, systems, and control
Applications of cyclostationarity to circuits,
systems, and control are in [14.1–14.31]. In circuit
theory, cyclostationarity has been exploited in
modelling noise [14.1,14.2,14.12,14.17,14.19,14.20,
14.24,14.26,14.28]. In system theory, cyclostation-
ary or almost cyclostationary signals arise in
dealing with periodically or almost-periodically
time variant systems (see Section 3.6) [14.4–14.8,
14.13,14.14,14.23,14.25]. In control theory, cyclos-
tationarity has been exploited in [14.3,14.10,14.16,
14.18,14.21,14.22].
On this subject, also see [9.4,9.59,10.5,10.24,
13.15,13.28,15.1,16.3].
Patents on applications of cyclostationarity to
system and circuit analysis and design are
[14.27,14.29,14.31].
15. Applications to acoustics and mechanics
Applications of cyclostationarity to acoustics
and mechanics are in [15.1–15.24]. Cyclostationar-
ity has been exploited in acoustics and mechanics
for modelling road traffic noise [15.2,15.3], for
analyzing music signals [15.6], and for describing
the vibration signals in mechanical systems. In
mechanical systems with moving parts, such as
engines, if some parameter such as speed, tem-
perature, and load torque can be assumed to be
constant, then the dynamic physical processes
generate vibrations that can be modelled as
originating from periodic mechanisms such as
rotation and reciprocation of gears, belts, chains,
shafts, propellers, pistons, and so on [2.5]. Conse-
quently, vibration signals exhibit periodic behavior
of one type or another with periods related to the
engine cycle. Often, the observed vibration signals
contain both an almost-periodic and an almost-
cyclostationary component [15.1,15.5,15.8,15.10,
15.14,15.18,15.23]. Even if the almost-cyclosta-
tionary component has a power smaller than the
power of the almost-periodic component, it can be
useful; for example it can be successfully exploited
in early diagnosis of gear faults [15.4,15.8,15.9,
15.11,15.13,15.14,15.16,15.19–15.21,15.24].
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Additional applications in the field of acoustics
and mechanics can be found in [4.33,4.43,4.49,
14.21,21.2].
Patents on applications of cyclostationarity to
engine diagnosis are [15.12,15.17].
16. Applications to econometrics
In high-frequency financial time series, such as
asset return, the repetitive patterns of openings
and closures of markets, the number of active
markets throughout the day, seasonally varying
preferences, and so forth, are sources of periodic
variations in financial-market volatility and other
statistical parameters. Autoregressive models with
periodically varying parameters provide appropri-
ate descriptions of seasonally varying economic
time series [16.1–16.13]. Furthermore, neglecting
the periodic behavior gives rise to a loss in forecast
efficiency [2.15,16.8,16.10].
On this subject see also [12.40].
17. Applications to biology
Applications of cyclostationarity to biology
are in [17.1–17.18]. Applications of the concept
of spectral redundancy (spectral correlation
or cyclostationarity) have been proposed in
medical image signal processing [17.6,17.8], and
nondestructive evaluation [17.2]. Methods of
averaging were developed for estimating the
generalized spectrum that allow for the meaningful
characterization of phase information when
classic assumptions of stationarity do not hold.
This has led to many significant performance
improvements in ultrasonic tissue characteriza-
tion, particularly for liver and breast tissues
[17.5,17.10–17.18].
A patent on the application of cyclostationarity
to cholesterol detection is [17.4].
18. Level crossings
Level crossings of cyclostationary signals have
been characterized in [18.1–18.10].
19. Queueing
Exploitation of cyclostationarity in queueing
theory in computer networks is treated in
[19.1–19.4,19.6]. Queueing theory in car traffic is
treated in [19.5].
On this subject, also see [14.8].
20. Cyclostationary random fields
A periodically correlated or cyclostationary
random field is a second-order random field whose
mean and correlation have periodic structure
[20.6,20.7]. Specifically, a random field x(n
1
; n
2
)
indexed on Z
2
is called strongly periodically
correlated with period (N
01
; N
02
) if and only if
there exists no smaller N
01
40 and N
02
40 for
which the mean and correlation satisfy
E{x(n
1
÷ N
01
; n
2
÷ N
02
)] = E{x(n
1
; n
2
)], (20.1)
E{x(n
1
÷ N
01
; n
2
÷ N
02
)x
+
(n
/
1
÷N
01
; n
/
2
÷N
02
)]
= E{x(n
1
; n
2
)x
+
(n
/
1
; n
/
2
)] (20:2)
for all n
1
, n
2
, n
/
1
, n
/
2
c Z. Cyclostationary random
fields are treated in [20.1–20.7].
21. Generalizations of cyclostationarity
21.1. General aspects
Generalizations of cyclostationary processes
and time series are treated in [21.1–21.17]. The
problem of statistical function estimation for
general nonstationary persistent signals is ad-
dressed in [21.1,21.5] and limitations of previously
proposed approaches are exposed. In
[21.2–21.4,21.8], the class of the correlation auto-
regressive processes is studied. Nonstationary
signals that are not ACS can arise from linear
time-variant, but not almost-periodically time-
variant, transformations of ACS signals. Such
transformations occur, for example, in mobile
communications when the product of transmitted-
signal bandwidth and observation interval is not
much smaller than the ratio between the pro-
pagation speed in the medium and the relative
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W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 671
radial speed between transmitter and receiver
[8.35,21.11]. Two models for the output sig-
nals of such transformations are the generalized
almost-cyclostationary signals [21.7,21.9–21.11,
21.13,21.15–21.17], and the spectrally correlated
signals [21.6,21.12,21.14]. Moreover, communica-
tions signals with parameters, such as the carrier
frequency and the baud rate, that vary slowly
with time cannot be modelled as ACS but,
rather, can be modelled as generalized almost-
cyclostationary if the observation interval is large
enough [21.9].
21.2. Generalized almost-cyclostationary signals
A continuous-time complex-valued time series
x(t) is said to be wide-sense generalized almost-
cyclostationary (GACS) if the almost-periodic
component of its second-order lag product admits
a (generalized) Fourier series expansion with both
coefficients and frequencies depending on the lag
parameter t [21.9,21.10]:
E
{a]
{x(t ÷t)x
+
(t)] =

ncI
R
(n)
xx
+ (t)e
j2pa
n
(t)t
. (21.1)
In (21.1), I is a countable set, the frequencies a
n
(t)
are referred to as lag-dependent cycle frequencies,
and the coefficients, referred to as generalized
cyclic autocorrelation functions, are given by
R
(n)
xx
+ (t)9¸x(t ÷ t)x
+
(t)e
÷j2pa
n
(t)t
)
t
. (21.2)
For GACS signals, the cyclic autocorrelation
function can be expressed in terms of the general-
ized cyclic autocorrelation functions by the follow-
ing relationship:
R
a
xx
+ (t) =

ncI
R
(n)
xx
+ (t)d
a÷a
n
(t)
. (21.3)
Moreover, it results that
A
t
9{a c R : R
a
xx
+ (t)a0]
=
_
ncI
{a c R : a = a
n
(t)]. (21:4)
That is, for GACS signals, the support in the (a; t)
plane of the cyclic autocorrelation function R
a
xx
+ (t)
consists of a countable set of curves described by
the equations a = a
n
(t), n c I. For the GACS
signals, the set
A9
_
tcR
A
t
(21.5)
is not necessarily countable.
The ACS signals are obtained as the special case
of GACS signals for which the functions a
n
(t) are
constant with respect to t and are equal to the
cycle frequencies. In such a case the support of the
cyclic autocorrelation function in the (a; t) plane
consists of lines parallel to the t axis and the
generalized cyclic autocorrelation functions are
coincident with the cyclic autocorrelation func-
tions. Moreover, the set A turns out to be
countable in this case (see (3.13)).
The higher-order characterization of the GACS
signals in the FOT probability framework is
provided in [21.9]. Linear filtering is addressed in
[21.10,21.11] where the concept of expectation of
the impulse-response function in the FOT prob-
ability framework is also introduced. The problem
of sampling a GACS signal is considered in [21.13]
where it is shown that the discrete-time signal
obtained by uniformly sampling a continuous-time
GACS signal is an ACS signal. The estimation of
the cyclic autocorrelation function for GACS
processes is addressed in [21.15,21.17] in the
stochastic process framework. In [21.16], a survey
of GACS signals is provided.
21.3. Spectrally correlated signals
A continuous-time complex-valued second-or-
der harmonizable stochastic process x(t) is said to
be spectrally correlated (SC) if its Loe`ve bifre-
quency spectrum can be expressed as [21.14]
S
xx
+ (f
1
; f
2
)9E{X(f
1
)X
+
(f
2
)]
=

ncI
S
(n)
xx
+ (f
1
)d(f
2
÷ C
n
(f
1
)), (21:6)
where I is a countable set, the curves
f
2
= C
n
(f
1
); n c I, describe the support of
S
xx
+ (f
1
; f
2
), and the functions S
(n)
xx
+ (f
1
), referred
to as the spectral correlation density functions,
describe the density of the Loe` ve bifrequency
spectrum on its support curves. The case of linear
support curves is considered in [21.6,21.12]. The
ACS processes are obtained as the special case of
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W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 672
SC processes for which the support curves are lines
with unity slope.
The bifrequency spectral correlation density
function
¯
S
xx
+ (f
1
; f
2
)9

ncI
S
(n)
xx
+ (f
1
)d
f
2
÷C
n
(f
1
)
(21.7)
is the density of the Loe` ve bifrequency spectrum
on its support curves f
2
= C
n
(f
1
). In [21.14] it is
shown that, if the location of the support curves is
unknown, the bifrequency spectral correlation
density function
¯
S
xx
+ (f
1
; f
2
) can be reliably
estimated by the time-smoothed cross-periodo-
gram only if the slope of the support curves is not
too far from unity.
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4.

5.

6. 7.

8. 9. 10.

11. 12. 13.

14. 15. 16. 17. 18. 19. 20. 21.

Time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3.1. Continuous-time time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3.2. Discrete-time time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.4. Link between the stochastic and fraction-of-time approaches . . . . . . . . . . . 3.5. Complex processes and time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.6. Linear filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.6.1. Structure of linear almost-periodically time-variant systems . . . . . . 3.6.2. Input/output relations in terms of cyclic statistics . . . . . . . . . . . . . 3.7. Product modulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.8. Supports of cyclic spectra of band limited signals . . . . . . . . . . . . . . . . . . . 3.9. Sampling and aliasing. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.10. Representations by stationary components . . . . . . . . . . . . . . . . . . . . . . . . 3.10.1. Continuous-time processes and time series . . . . . . . . . . . . . . . . . . 3.10.2. Discrete-time processes and time series. . . . . . . . . . . . . . . . . . . . . Ergodic properties and measurement of characteristics . . . . . . . . . . . . . . . . . . . . 4.1. Estimation of the cyclic autocorrelation function and the cyclic spectrum . . 4.2. Two alternative approaches to the analysis of measurements on time series . Manufactured signals: modelling and analysis . . . . . . . . . . . . . . . . . . . . . . . . . . 5.1. General aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.2. Examples of communication signals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.2.1. Double side-band amplitude-modulated signal . . . . . . . . . . . . . . . 5.2.2. Pulse-amplitude-modulated signal . . . . . . . . . . . . . . . . . . . . . . . . 5.2.3. Direct-sequence spread-spectrum signal . . . . . . . . . . . . . . . . . . . . Natural signals: modelling and analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Communications systems: analysis and design . . . . . . . . . . . . . . . . . . . . . . . . . . 7.1. General aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.2. Cyclic Wiener filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Synchronization. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.1. Spectral line generation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Signal parameter and waveform estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . Channel identification and equalization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.1. General aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.2. LTI-system identification with noisy-measurements . . . . . . . . . . . . . . . . . . 10.3. Blind LTI-system identification and equalization . . . . . . . . . . . . . . . . . . . . 10.4. Nonlinear-system identification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Signal detection and classification, and source separation . . . . . . . . . . . . . . . . . . Periodic AR and ARMA modelling and prediction. . . . . . . . . . . . . . . . . . . . . . . Higher-order statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13.1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13.2. Higher-order cyclic statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13.2.1. Continuous-time time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13.2.2. Discrete-time time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Applications to circuits, systems, and control . . . . . . . . . . . . . . . . . . . . . . . . . . . Applications to acoustics and mechanics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Applications to econometrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Applications to biology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Level crossings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Queueing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cyclostationary random fields. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Generalizations of cyclostationarity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21.1. General aspects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3.3.

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21.2. Generalized almost-cyclostationary signals 21.3. Spectrally correlated signals . . . . . . . . . . References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Further references . . . . . . . . . . . . . . . . . . . . . . . . .

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1. Introduction Many processes encountered in nature arise from periodic phenomena. These processes, although not periodic functions of time, give rise to random data whose statistical characteristics vary periodically with time and are called cyclostationary processes [2.5]. For example, in telecommunications, telemetry, radar, and sonar applications, periodicity is due to modulation, sampling, multiplexing, and coding operations. In mechanics it is due, for example, to gear rotation. In radio astronomy, periodicity results from revolution and rotation of planets and on pulsation of stars. In econometrics, it is due to seasonality; and in atmospheric science it is due to rotation and revolution of the earth. The relevance of the theory of cyclostationarity to all these fields of study and more was first proposed in [2.5]. Wide-sense cyclostationary stochastic processes have autocorrelation functions that vary periodically with time. This function, under mild regularity conditions, can be expanded in a Fourier series whose coefficients, referred to as cyclic autocorrelation functions, depend on the lag parameter; the frequencies, called cycle frequencies, are all multiples of the reciprocal of the period of cyclostationarity [2.5]. Cyclostationary processes have also been referred to as periodically correlated processes [2.18,3.5]. More generally, if the frequencies of the (generalized) Fourier series expansion of the autocorrelation function are not commensurate, that is, if the autocorrelation function is an almost-periodic function of time, then the process is said to be almost-cyclostationary [3.26] or, equivalently, almost-periodically correlated [3.5]. The almost-periodicity property of the autocorrelation function is manifested in the frequency domain as correlation among the spectral components of the process that are separated by amounts equal to the cycle frequencies. In contrast to this, wide-sense stationary processes have

autocorrelation functions that are independent of time, depending on only the lag parameter, and all distinct spectral components are uncorrelated. As an alternative, the presence of periodicity in the underlying data-generating mechanism of a phenomenon can be described without modelling the available data as a sample path of a stochastic process but, rather, by modelling it as a single function of time [4.31]. Within this nonstochastic framework, a time-series is said to exhibit secondorder cyclostationarity (in the wide sense), as first defined in [2.8], if there exists a stable quadratic time-invariant transformation of the time-series that gives rise to finite-strength additive sinewave components. In this paper, a concise survey of the literature (in all languages in which a substantial amount of research has been published) on cyclostationarity is presented and includes an extensive bibliography and list of issued patents. Citations are classified into 22 categories and listed, for each category, in chronological order. In Section 2, general treatments and tutorials on the theory of cyclostationarity are cited. General properties of processes and time-series are presented in Section 3. In Section 4, the problem of estimating statistical functions is addressed. Models for manufactured and natural signals are considered in Sections 5 and 6, respectively. Communications systems and related problems are treated in Sections 7–11. Specifically, the analysis and design of communications systems is addressed in Section 7, the problem of synchronization is addressed in Section 8, the estimation of signal parameters and waveforms is addressed in Section 9, the identification and equalization of channels is addressed in Section 10, and the signal detection and classification problems and the problem of source separation are addressed in Section 11. Periodic autoregressive (AR) and autoregressive movingaverage (ARMA) modelling and prediction are treated in Section 12. In Section 13, theory and

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applications of higher-order cyclostationarity are presented. We address applications to circuits, systems, and control in Section 14, to acoustics and mechanics in Section 15, to econometrics in Section 16, and to biology in Section 17. Applications to the problems of level crossing and queueing are addressed in Sections 18 and 19, respectively. Cyclostationary random fields are treated in Section 20. In Section 21, some classes of nonstationary signals that extend the class of almost-cyclostationary signals are considered. Finally, some miscellaneous references are listed [22.1–22.8]. Further references only indirectly related to cyclostationarity are [23.1–23.15]. To assist readers in ‘‘going to the source’’, seminal contributions—if known— are identified within the literature published in English. In some cases, identified sources may have been preceded in the literature of another language, most likely Russian. For the most part, the subject of this survey developed independently in the literature published in English.

[13.4,13.5], and treated in depth in [13.9,13.13, 13.14,13.17]. An analogous treatment for stochastic processes is given in [13.10].

3. General properties and structure of stochastic processes and time-series 3.1. Introduction General properties of cyclostationary processes (see [3.1–3.91]) are derived in terms of the Fourier series expansion of the autocorrelation function. The frequencies, called cycle frequencies, are multiples of the reciprocal of the period of cyclostationarity and the coefficients, referred to as cyclic autocorrelation functions, are continuous functions of the lag parameter. Cyclostationary processes are characterized in the frequency domain by the cyclic spectra, which are the Fourier transforms of the cyclic autocorrelation functions. The cyclic spectrum at a given cycle frequency represents the density of correlation between two spectral components of the process that are separated by an amount equal to the cycle frequency. Almost-cyclostationary processes have autocorrelation functions that can be expressed in a (generalized) Fourier series whose frequencies are possibly incommensurate. The first contributions to the analysis of the general properties of cyclostationary stochastic processes are in the Russian literature [3.1–3.3, 3.5,3.7–3.9]. The problem of spectral analysis is mainly treated in [3.10,3.11,3.32,3.35,3.51,3.53, 3.61,3.68,3.69,3.80,3.88]. The stationarizing effects of random shifts are examined in [3.20,3.26,3.57] and the important impact of random shifts on cyclo-ergodic properties is exposed in [2.15]. The problem of filtering is considered in [3.9,3.13,3.67]. The mathematical link between the stochastic and nonstochastic approaches, which was first established in [2.5,2.12], is rigorously treated in [3.87]. Wavelet analysis of cyclostationary processes is addressed in [3.70,3.81]. For further-related references, see the general treatments in [2.1,2.2,2.4–2.8,2.11–2.13,2.15,2.18], and also [4.13,4.31,4.41,13.2,13.3,13.6,16.3,18.3, 21.9,21.14].

2. General treatments General treatments on cyclostationarity are in [2.1–2.18]. The first extensive treatments of the theory of cyclostationary processes can be found in the pioneering works of Hurd [2.1] and Gardner [2.2]. In [4.13,2.5,2.11], the theory of second-order cyclostationary processes is developed mainly with reference to continuous-time stochastic processes, but discrete-time is the focus in [4.13]. Discretetime processes are treated more generally in [2.17] in a manner largely analogous to that in [2.5]. The statistical characterization of cyclostationary timeseries in the nonstochastic framework is introduced and treated in depth [2.6,2.8,2.12,2.14] with reference to continuous-time signals and in [2.15] for both continuous- and discrete-time signals. The case of complex signals is introduced and treated in depth in [2.8,2.9]. Finally, a rigorous treatment of periodically correlated processes within the framework of harmonizable processes is given in [2.18]. The theory of higher-order cyclostationarity in the nonstochastic framework is introduced in

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W.A. Gardner et al. / Signal Processing 86 (2006) 639–697 643

3.2. Stochastic processes 3.2.1. Continuous-time processes Let us consider a continuous-time real-valued stochastic process fxðt; oÞ; t 2 R; o 2 Og, with abbreviated notation xðtÞ when this does not create ambiguity, defined on a probability space ðO; F; PÞ, where O is the sample space, equipped with the s-field F, and P is a probability measure defined on the elements of F. The process xðtÞ is said to be Nth-order cyclostationary in the strict sense [2.2,2.5] if its Nth-order distribution function F xðtþt1 ÞÁÁÁxðtþtNÀ1 ÞxðtÞ ðx1 ; . . . ; xNÀ1 ; xN Þ 9Pfxðt þ t1 Þpx1 ; . . . ; xðt þ tNÀ1 Þ pxNÀ1 ; xðtÞpxN g is periodic in t with some period, say T 0 : F xðtþt1 þT 0 ÞÁÁÁxðtþtNÀ1 þT 0 ÞxðtþT 0 Þ ðx1 ; . . . ; xNÀ1 ; xN Þ ¼ F xðtþt1 ÞÁÁÁxðtþtNÀ1 ÞxðtÞ ðx1 ; . . . ; xNÀ1 ; xN Þ 8t 2 R 8ðt1 ; . . . ; tNÀ1 Þ 2 RNÀ1 ð3:2Þ 8ðx1 ; . . . ; xN Þ 2 RN . ð3:1Þ

frequencies. Wide-sense cyclostationary processes have also been called periodically correlated processes (see e.g., [2.1,3.3,3.59]). As first shown in [3.23], xðtÞ and its frequency-shifted version xðtÞej2pnt=T 0 are correlated. The wide-sense stationary processes are the special case of cyclostationary processes for which Rn=T 0 ðtÞc0 only for x n ¼ 0. It can be shown that if xðtÞ is cyclostationary with period T 0 , then the stochastic process xðt þ yÞ, where y is a random variable that is uniformly distributed in ½0; T 0 Þ and is statistically independent of xðtÞ, is wide sense stationary [2.5,3.20,3.26,3.57]. A more general class of stochastic processes is obtained if the autocorrelation function Rx ðt; tÞ is almost periodic in t for each t. A function zðtÞ is said to be almost periodic if it is the limit of a uniformly convergent sequence of trigonometric polynomials in t [23.2,23.3,23.4, Paragraphs 24–25,23.6,23.7, Part 5, 23.11]: X zðtÞ ¼ za ej2pat , (3.8)
a2A

The process xðtÞ is said to be second-order cyclostationary in the wide sense [2.2,2.5] if its mean EfxðtÞg and autocorrelation function Rx ðt; tÞ9Efxðt þ tÞxðtÞg are periodic with some period, say T 0 : Efxðt þ T 0 Þg ¼ EfxðtÞg, Rx ðt þ T 0 ; tÞ ¼ Rx ðt; tÞ (3.4) (3.5) (3.3)

where A is a countable set, the frequencies a 2 A are possibly incommensurate, and the coefficients za are given by za 9hzðtÞeÀj2pat it Z 1 T=2 ¼ lim zðtÞeÀj2pat dt. T!1 T ÀT=2

ð3:9Þ

for all t and t. Therefore, by assuming that the Fourier series expansion of Rx ðt; tÞ is convergent to Rx ðt; tÞ, we can write Rx ðt; tÞ ¼
þ1 X n¼À1

Rn=T 0 ðtÞej2pðn=T 0 Þt , x

(3.6)

where the Fourier coefficients Z T 0 =2 1 n=T 0 Rx ðtÞ9 Rx ðt; tÞeÀj2pðn=T 0 Þt dt T 0 ÀT 0 =2

(3.7)

are referred to as cyclic autocorrelation functions and the frequencies fn=T 0 gn2Z are called cycle

Such functions are called almost-periodic in the sense of Bohr [23.3, Paragraphs 84–92] or, equivalently, uniformly almost periodic in t in the sense of Besicovitch [23.2, Chapter 1]. The process xðtÞ is said to be Nth-order almostcyclostationary in the strict sense [2.2,2.5] if its Nthorder distribution function (3.1) is almost-periodic in t. With reference to the autocorrelation properties, a continuous-time real-valued stochastic process xðtÞ is said to be almost-cyclostationary (ACS) in the wide sense [2.2,2.5,3.26] if its autocorrelation function Rx ðt; tÞ is an almost periodic function of t (with frequencies not depending on t). Thus, it is the limit of a uniformly convergent sequence of trigonometric polynomials in t: X Ra ðtÞej2pat , (3.10) Rx ðt; tÞ ¼ x
a2A

xðtÞ is said to be asymptotically almost cyclostationary [3. f À aÞg dt. for every t). at least in the sense of distributions (generalized functions) [23. Gardner et al. and Z tþZ=2 X Z ðt.26]. and Z a (3.5]. where the Fourier transform is assumed to exist. As first shown in [3. tÞeÀj2pat dt ÀT=2 (3.A. for an ACS process.1. The density of spectral correlation on this support is described by the cyclic spectra Sa ðf Þ.5. tÞ ¼ 0. with probability 1. Let At be the set At 9fa 2 R : Ra ðtÞa0g. (3) The time-averaged autocorrelation function R0 ðtÞ9hRx ðt. Wide-sense almost-cyclostationary processes have also been called almost-periodically correlated processes (see e. Let us now consider the second-order (widesense) characterization of ACS processes in the frequency domain. The support in theÈ 1 . tÞ. tÞit is continuous for t ¼ 0 x (and. f 2 Þ planeÉ the ðf of spectral correlation function E X ðf 1 ÞX à ðf 2 Þ consists of parallel lines with unity slope. f Þ Df !0 T!1 T ÀT=2 ÂX à ðt. Let Z X ðf Þ9 xðtÞeÀj2pft dt (3.59]).10). it is shown that the ACS processes are characterized by the following conditions: (1) The set [ A9 At t2R In the special case where limjtj!1 rx ðt. then the process xðtÞ and its frequency-shifted version xðtÞej2pat are correlated when a 2 A. 1=Df ð3:20Þ where the function X Ra ðtÞej2pat x a2A is not necessarily continuous in t and the term rx ðt.16) is the cyclic autocorrelation function at cycle frequency a. hence. if xðtÞ is an ACS process. [2. tÞ is uniformly continuous in t and t.13) (3.11) hrx ðt. (3. correlation exists between spectral components that are separated by amounts equal to the cycle frequencies.14) More generally. which can be x expressed as [2. tÞ does not contain any finite-strength addi- where the order of the two limits cannot be reversed. x a2A (3.. f Þ9 xðsÞeÀj2pfs ds. (2) The autocorrelation function Rx ðt.18) where dðÁÞ is the Dirac delta.17) R be the stochastic process obtained from Fourier transformation of the ACS process xðtÞ. tÞeÀj2pat it ¼ 0 8a 2 R. superscript à is complex conjugation. x (3. a stochastic process xðtÞ is said to exhibit cyclostationarity at cycle frequency a if Ra ðtÞc0 [2. / Signal Processing 86 (2006) 639–697 where Ra ðtÞ9 lim x T!1 tive sinewave component: 1 T Z T=2 Rx ðt. that is sup Efjxðt þ tÞ À xðtÞj2 g ! 0 t2R as t ! 0.10]. (3. in the sense of distributions we obtain X EfX ðf 1 ÞX à ðf 2 Þg ¼ Sa ðf 1 Þdðf 2 À f 1 þ aÞ. By using (3. a 2 A. the autocorrelation x function can be expressed as X Rx ðt.26].19) Sx ðf Þ9 Ra ðtÞeÀj2pf t dt x R is countable.12) In [3.3.g.15) x a2A is referred to as the cyclic spectrum at cycle frequency a. tÞ ¼ Ra ðtÞej2pat þ rx ðt. (3. In such a case.59]. Therefore. The wide-sense cyclostationary processes are obtained as a special case of the ACS processes when A  fn=T 0 gn2Z for some T 0 .21) tÀZ=2 .ARTICLE IN PRESS 644 W.3. (4) The process is mean-square continuous.5] Z 1 T=2 a Sx ðf Þ ¼ lim lim EfDfX 1=Df ðt. (3.

Moreover.8. and wðf Þ is the indefinite integral of X ðf Þ or the integrated Fourier transform of xðtÞ [23. with abbreviated notation xðnÞ when this does not create ambiguity. for wide-sense stationary processes the autocorrelation function does not depend on t.4].2.5] it was dubbed the Cyclic Wiener–Khinchin Relation. f þ a=2Þ ÀT=2 A covariance (or autocorrelation) function Efxðt1 Þxà ðt2 Þg is said to be harmonizable if it can be expressed as Z Efxðt1 Þxà ðt2 Þg ¼ ej2pðf 1 t1 Àf 2 t2 Þ dgðf 1 .32) . They are linked to the asymmetric definitions (3. 1Þ : Rx ðmÞc0g 2 2 (3.18. It represents the time-averaged statistical correlation (with zero lag) of two spectral components at frequencies f and f À a. mÞ9Efxðn þ mÞxðnÞg (3.31) is the cyclic autocorrelation function at cycle frequency e and a a e a ee A9fe 2 ½À1. If a stochastic process is harmonizable.1. as the bandwidth approaches zero. e. dgðf 1 . it is shown that a necessary condition for a stochastic process to be harmonizable is that it be second-order continuous. 1=Df x respectively. the cyclic spectrum reduces to the power spectrum or spectral density function S0 ðf Þ x and (3.2. then it follows that [2.23) Df EfX 1=Df ðt. (3. mÞeÀj2pe 2N þ 1 n¼ÀN N!1 (3.22) ACS. Consequently. equivalently. In [23. Efxðt þ tÞxðtÞg ¼ R0 ðtÞ x (3.59] X Sa ðf 1 Þdðf 2 À f 1 þ aÞ df 1 df 2 . Thus. x (3. The stochastic process xðnÞ is said to be second-order almost-cyclostationary in the wide sense [2. Therefore. when (3. mÞ ¼ (3. ð3:28Þ where gðf 1 . f 2 Þ ¼ x a2A (3.11]).5. the cyclic spectrum Sa ðf Þ is also called x the spectral correlation density function. f 2 Þ is a covariance of bounded variation on R  R and the integral is a Fourier– Stieltjes transform [23. n 2 Z.3.26) Finally. Gardner et al.2. f À a=2Þg dt ¼ Sa ðf þ a=2Þ.5.29) with probability one. no correlation exists between distinct spectral components. Moreover. it is shown that a stochastic process is harmonizable if and only if its covariance is harmonizable. Discrete-time processes Let us consider a discrete-time real-valued stochastic process fxðn. [2. For a ¼ 0. f 2 Þ of bounded variation on R  R such that Z xðtÞ ¼ ej2pft dwðf Þ (3.20) was discovered in [2.25) R 3.ARTICLE IN PRESS W. we have dwðf Þ ¼ X ðf Þ df and dgðf 1 .2.11) and (3. it can be expressed as X e an e ea Rx ðn. a secondorder stochastic process xðtÞ is said to be harmonizable if there exists a second-order stochastic process wðf Þ with covariance function Efwðf 1 Þwà ðf 2 Þg ¼ gðf 1 .4.2. o 2 Og.24) R2 ÂX à ðt. / Signal Processing 86 (2006) 639–697 645 Therefore. in the sense of distributions [23.5].10].2. if the stochastic process is harmonizable and is an almost-periodic function of the discrete-time parameter n. e e2A a where a ee Rx ðmÞ9 lim N X 1 an e Rx ðn.A.30) Rx ðmÞej2pe . f 2 Þ ¼ Efdwðf 1 Þ dwà ðf 2 Þg ¼ EfX ðf 1 ÞX à ðf 2 Þg df 1 df 2 . f 2 Þ. note that symmetric definitions of cyclic autocorrelation function and cyclic spectrum have been widely used (see.g.5].2. In contrast. EfX ðf 1 ÞX à ðf 2 Þg ¼ S0 ðf 1 Þdðf 2 À f 1 Þ..13] if its autocorrelation function e Rx ðn.20) by the relationships Z 1 T=2 lim Efxðt þ t=2Þxðt À t=2Þg T!1 T ÀT=2 ÂeÀj2pat dt ¼ Ra ðtÞeÀjpat x and 1 lim lim Df !0 T!1 T Z T=2 ð3:27Þ and.19) reduces to the Wiener–Khinchin Relation. oÞ.19) and (3.

38) Let xðtÞ.36) where xap ðtÞ is an almost-periodic function and xr ðtÞ a residual term not containing finite-strength additive sinewave components.12]. By using (3. Gardner et al. a (possibly time varying) probability distribution function can be constructed and this leads to an expectation operation and all the associated familiar probabilistic concepts and parameters. etc. starting from this single time series. the autocorrelation function e Rx ðn. such as stationarity. Such a model can be unnecessarily abstract when there is only a single time series at hand.33) n2Z be the stochastic process obtained from Fourier transformation (in a generalized sense) of the ACS process xðnÞ.1.41]. a e f In general. probabilistic parameters are defined through infinite-time averages of a single time series (and functions of this time series) rather than through expected values or ensemble averages of a stochastic process. the stochastic process. nonstationarity. (3. (3. cyclostationarity.8. Note that the cyclic autocorrea ee a lation function Rx ðmÞ is periodic in e with period 1. independence. treated more in depth in [2.A.ARTICLE IN PRESS 646 W. mÞ is periodic in n with period N 0 and the process xðnÞ is said to be cyclostationary in the wide sense. Specifically. t 2 R. that is. Time series 3.12]. the set A (or A1 ) contains possibly incommensurate cycle frequencies e. In the FOT probability approach. In [3. This ap- proach turns out to be more appropriate when an ensemble of realizations does not exist and would have to be artificially introduced just to create a mathematical model.5. Let X e X ðnÞ9 xðnÞeÀj2pnn (3. cumulants.3. variance. Moreover. in the sense of distributions it can be shown that [3. 3.35) is the cyclic spectrum at cycle frequency e. Continuous-time time series A statistical analysis framework for time series that is an alternative to the classical stochasticprocess framework is the fraction-of-time (FOT) probability framework first introduced for ACS time series in [2.4. . Starting from such a decomposition.12.30).3.30) can be equivalently a e ee extended to the set A1 9fe 2 ½0. In the FOT probability framework. see also [2. the sum in (3.37) The almost-periodic component extraction operator Efag fÁg is defined to be the operator that extracts all the finite-strength additive sinewave components of its argument. The extension of the Wold isomorphism to cyclostationary sequences was first introduced in [2. Efag fxðtÞg9xap ðtÞ. For comprehensive treatments of the FOT probability framework see [2. mean. The a e a e a cyclic spectrum Sx ðnÞ is periodic in both n and e with period 1. / Signal Processing 86 (2006) 639–697 is a countable set. .2.8. . (3. In the special a e case where A1  f0. see [23.87]. 1=N 0 . 1Þ : Rx ðmÞc0g.2. let us consider the decomposition xðtÞ9xap ðtÞ þ xr ðtÞ. that is. be a real-valued continuous-time time series (a single function of time) and let us . moments.2. a Sx ðn1 Þ ¼ ‘2Z e eA a2 where X e a ea ee Rx ðmÞeÀj2pnm Sx ðnÞ9 m2Z Ã ð3:34Þ (3. the expectation operator is defined. Thus.3. If N 0 ¼ 1 then xðnÞ is wide-sense stationary.15]. The time-variant FOT probability framework is based on the decomposition of functions of a time series into their (possibly zero) almost-periodic components and residual terms.15] and. for more mathematical rigor on foundations and existence proofs.5].59] e e EfX ðn1 ÞX ðn2 Þg X X e ea dðn2 À n1 þ e À ‘Þ. signals are modelled as single functions of time (time series) rather than sample paths of stochastic processes. hxr ðtÞeÀj2pat it  0 8a 2 R.2. it is shown that discrete-time cyclostationary processes are harmonizable.15]. that is. ðN 0 À 1Þ=N 0 g for some integer N 0 . and finally— with mathematical rigor—in [3. for any finite-average-power time series xðtÞ. .

Finally. Specifically. the time series is said to be widesense almost cyclostationary. when an ensemble of realizations or sample paths exists. Moreover. ð3:45Þ x a2A where A is a countable set and Ra ðtÞ9hxðt þ tÞxðtÞeÀj2pat it x (3. where ( 1. the second-order derivative. 1Š.12] it is shown that the function of x F fag ðxÞ9Efag f1fxðtÞpxg g xðtÞ (3.44) which reveals that Efag fÁg is the expectation operator with respect to the distribution function F fag ðxÞ for the time series xðtÞ. F fag ðÀ1Þ ¼ 0. Moreover. The classification of the kind of nonstationarity of a time series is made on the basis of the elements contained in the set A. is referred to as the fundamental theorem of temporal expectation. In [2. first introduced in [2. All the other signals are the random signals. is a valid second-order joint probability density function [2. it can be shown that the function Rx ðt. Analogously. Efag fxðtÞg ¼ xðtÞ. for any well-behaved function gðÁÞ. / Signal Processing 86 (2006) 639–697 647 assume that the set G1 of frequencies (for every x) of the almost-periodic component of the function of t 1fxðtÞpxg is countable. denoted by f xðtþtÞxðtÞ ðx1 . as usual.ARTICLE IN PRESS W. In general. (3. whereas the adjective random is used in reference to a single function of time. it has values in ½0.42) That is. x2 Þ. t : xðtÞ4x is the indicator function of the set ft 2 R : xðtÞpxg.40) let us assume that the set G2 of frequencies (for every x1 .41) xðtÞ R is a valid second-order joint cumulative distribution function for every fixed t and t. is non decreasing. the function of x1 and x2 F fag xðtþtÞxðtÞ ðx1 . by analogy with the corresponding fundamental theorem of expectation from probability theory.12]. tÞ9Efag fxðt þ tÞxðtÞg (3.39) 1fxðtÞpxg 9 0. and xðtÞ F fag ðþ1Þ ¼ 1. x2 and t) of the almost-periodic component of the function of t 1fxðtþtÞpx1 g 1fxðtÞpx2 g is countable. t : xðtÞpx. fag of F fag xðtþtÞxðtÞ ðx1 . we have xðtÞ  xap ðtÞ and. For an almost-periodic signal xðtÞ. In fact.41). the almost-periodic functions are the deterministic signals in the FOT probability framework. (3. Gardner et al. tÞ ¼ x1 x2 f fag xðtþtÞxðtÞ ðx1 . x2 Þ dx1 dx2 R2 X ¼ Ra ðtÞej2pat . the set A can contain incommensurate cycle frequencies a and. a second-order characterization for the real-valued time series xðtÞ can be obtained by using the almost-periodic component extraction operator as the expectation operator. x2 Þ 9Efag f1fxðtþtÞpx1 g 1fxðtÞpx2 g g ð3:43Þ for any t is a valid cumulative distribution function except for the right-continuity property (in the discontinuity points). Furthermore. is a valid autocorrelation function and can be characterized by Z Rx ðt. the adjective stochastic is adopted. That is.46) is the (nonstochastic) cyclic autocorrelation function at cycle frequency a ða 2 RÞ.A. except for the right-continuity property (in the discontinuity points) with respect to x1 and x2 . it follows that Z fag E fgðxðtÞÞg ¼ gðxÞf fag ðxÞ dx (3. its derivative with resxðtÞ pect to x. denoted by f fag ðxÞ. is a valid probability xðtÞ density function and. then the time series xðtÞ is said to be wide-sense stationary. Note that the term ‘‘random’’ here is not intended to be synonymous with ‘‘stochastic’’. x2 Þ. note that the periodic component with period T 0 of an almost-periodic time series (or lag product time series) zðtÞ can be extracted by exploiting the synchronized averaging identity . If the set A contains only the element a ¼ 0.8]. in such a case. hence. In the special case where A  fk=T 0 gk2Z the time series xðtÞ is said to be wide-sense cyclostationary. The xðtÞ result (3. with respect to x1 and x2 . Then.

f Þ is defined according to (3. In (3. which was first dubbed the Wiener Relation in [2.5. n 2 Z. as in the stochastic framework. That is.9).3. Discrete-time time series The characterization of discrete-time time series (sequences) is similar to that of continuous-time time series. 1=Df ð3:48Þ is a valid second-order joint probability density function [2. In the special case ð3:50Þ is a valid second-order joint cumulative distribution function for every fixed n and m. a Obviously.52) can be a e a equivalently extended to the set A1 9fe 2 ½0. which is defined analogously to its continuous-time counterpart. the function of x1 and x2 fe ag F xðnþmÞxðnÞ ðx1 . / Signal Processing 86 (2006) 639–697 introduced in [2.8] Z a S x ðf Þ ¼ Ra ðtÞeÀj2pf t dt (3.51) where X 1=Df ðt. 3. xðnþmÞxðnÞ 1 2 xðnþmÞxðnÞ 1 2 where the Fourier coefficients zk=T 0 are defined according to (3.50). The second-order derivative with respect to x1 and x2 a ag of F feg ðx .8]: þ1 X k¼À1 zk=T 0 ej2pðk=T 0 Þt N X 1 zðt À nT 0 Þ. Moreover. in general. Thus.ARTICLE IN PRESS 648 W. f À aÞ dt. We consider here only the wide-sense second-order characterization. Let xðnÞ. x Þ.19). 2N þ 1 n¼ÀN ¼ lim N!1 ð3:47Þ the right-continuity property (in the discontinuity ag points) with respect to x1 and x2 . x Þ. The Cyclic Wiener Relation introduced in [2. 1Þ : Rx ðmÞc0g 2 2 R2 ð3:52Þ links the cyclic autocorrelation function to the cyclic spectrum. be a real-valued discrete-time e time series.2. ¼ e2A a e where a e a ee A9fe 2 ½À1. x2 and m) of the almostperiodic component of the function of n 1fxðnþmÞpx1 g 1fxðnÞpx2 g is countable. which is frequently called the Wiener– Khinchin Relation. x2 Þ ag 9Efe f1fxðnþmÞpx1 g 1fxðnÞpx2 g g (3. f ÞX à ðt. as in the continuous-time case. Gardner et al. mÞ ¼ x1 x2 f xðnþmÞxðnÞ ðx1 . the a ee cyclic autocorrelation function Rx ðmÞ is periodic in e with period 1. except for .12].21) and the order of the two limits cannot be reversed.49) x R is a valid autocorrelation function and can be characterized by Z fe ag e Rx ðn. e can contain incommensurate cycle frequencies set A e and. Let us assume that the set G2 of frequencies (for every x1 . Then.53) is a countable set and a ee Rx ðmÞ9 lim N X 1 an xðn þ mÞxðnÞeÀj2pe 2N þ 1 n¼ÀN N!1 (3. it can be shown that the function a e Rx ðn.2. x2 Þ dx1 dx2 X e an ea Rx ðmÞej2pe .5] to distinguish it from the Khinchin Relation (3. ACS time series are characterized in the spectral domain by the (nonstochastic) cyclic spectrum or spectral correlation density function at cycle frequency a: Z 1 T=2 S a ðf Þ9 lim lim Df x Df !0 T!1 T ÀT=2 ÂX 1=Df ðt.A. This relation generalizes that for a ¼ 0. denoted by f fe ðx . in such a case. the classification of the kind of nonstationarity of discrete-time time series is made on the basis of e the elements contained in set A. the time series is said to be a wide-sense almost cyclostationary. the sum in (3. Furthermore. mÞ9Efeg fxðn þ mÞxðnÞg (3. Efe fÁg denotes the discrete-time almost-periodic component extraction operator. 1Þ : e a e Rx ðmÞc0g.54) is the (nonstochastic) discrete-time cyclic autocorrelation function at cycle frequency e.

5] X e a ee ea Rx ðmÞeÀj2pnm S x ðnÞ ¼ m2Z (3. The Fourier coefficients Ra à ðtÞ9hxðt þ tÞxà ðtÞeÀj2pat it .4. t 2 R. 3.13. in place of the almostperiodic component extraction operator Efag fÁg.59) Dn!0 N!1 1 2N þ 1 N X n¼ÀN Dn (3.2.31. results derived in the FOT probability approach for time series can be interpreted in the classical stochastic process framework by substituting. . Link between the stochastic and fraction-oftime approaches In the time-variant nonstochastic framework (for ACS time series). hence.87. 23. xx Rb ðtÞ9hxðt þ tÞxðtÞeÀj2pbt it xx (3.64) .56) Analogous equivalences hold in the discrete-time case. tÞ9Efag fxðt þ tÞxà ðtÞg X ¼ Ra à ðtÞej2pat . . the statistical expectation operator EfÁg. x x Sa ðf Þ ¼ S a ðf Þ.2. xx a2Axxà and bÁc denotes the closest odd integer.8. . Rx ðt.2.13.ARTICLE IN PRESS W.14.13. Complex processes and time series The case of complex-valued processes and time series. x x (3. . is extensively treated in [2.15. Therefore. the time series xðnÞ is said to be widee sense cyclostationary.4. The link between the two approaches is treated in depth in [2. tÞ ð3:58Þ and. most results are presented in the FOT probability framework.57) links the cyclic autocorrelation function to the cyclic spectrum. The Cyclic Wiener relation [2. respectively. If the set A contains only the element e ¼ 0. the stochastic and FOT autocorrelation functions are identical for almost all sample paths xðtÞ.2. / Signal Processing 86 (2006) 639–697 649 e where A1  f0. nÞX à b1=Dnc ðn. In fact. 1=N 0 .9]. tÞ9Efag fxðt þ tÞxðtÞg X Rb ðtÞej2pbt ¼ xx b2Axx ð3:62Þ which are called the autocorrelation function and conjugate autocorrelation function.2. then the time series xðnÞ is said to be a wide-sense stationary.25].3. and the expectation operator is the almost-periodic component extraction operator.5. so too are their cyclic components and frequency-domain counterparts.2. nÞ9 nþM X k¼nÀM xðkÞeÀj2pnk (3. ðN 0 À 1Þ=N 0 g for some integer N 0 . first treated in depth in [2. In the following.63) (3.15]. tÞ9Efxðt þ tÞxðtÞg ¼ Efag fxðt þ tÞxðtÞg9Rx ðt.8.5. by assuming that fxðt.A. in the case of processes exhibiting suitable ergodicity properties.60) À eÞ. Let xðtÞ be a zero-mean complex-valued continuous-time time series. a ð3:55Þ ÂX b1=Dnc ðn. 3.12.20. o 2 Og is a stochastic process satisfying appropriate ergodicity proper- ð3:61Þ Rxx ðt. n where X 2Mþ1 ðn.11. oÞ. Its wide-sense characterization can be made in terms of the two secondorder moments Rxxà ðt. Discrete-time ACS time series are characterized in the spectral domain by the (nonstochastic) cyclic spectrum or spectral correlation density function at cycle frequency e: a a ee S x ðnÞ9 lim lim ties (see Section 4). the almost-periodic functions play the same role as that played by the deterministic functions in the stochastic-process framework. Gardner et al.43.6. Ra ðtÞ ¼ Ra ðtÞ.3.13.13. Several results with reference to higher-order statistics are reported in Section 13.9.

2.6.70) into (3. Gardner et al.72) From (3. and input–output relation Z yðtÞ ¼ hðt. is also considered in follow-on work in [7.68) xx xx R is said to be linear almost-periodically time-variant (LAPTV) if the impulse-response function admits the Fourier series expansion X hðt. 3.2. Properties of linear periodically time-varying systems are analyzed in [23. for example.64) are simultaneously represented by   Ra ðÃÞ ðtÞ9 xðt þ tÞxðÃÞ ðtÞeÀj2pat t .23.23. If G contains only the element s ¼ 0. In the following.71b) It should be noted that.65) xx xx R More general time-variant linear filtering is addressed in [21. xx (3. i ¼ 1.11].A. a 2 AxxðÃÞ .8.2. then the system is linear time-invariant (LTI). (3. (3.31].6.71a) it follows that a LAPTV systems performs a linear time-invariant filtering of frequency-shifted version of the input signal. t 2 R. uÞxðuÞ du (3.20] as well as the early Russian work in [3. impulse-response function hðt. tÞ ¼ Efag fxðt þ t=2Þxà ðt À t=2Þg and Rxxà ðt. (3.13. respectively.69) we see that the output yðtÞ can be expressed in the two equivalent forms [2.51]: X yðtÞ ¼ hs ðtÞ  ½xðtÞej2pst Š (3. By substituting (3. In the special case for which G  fk=T 0 gk2Z for some period T 0 .69) R S b ðf Þ9 xx Z R Rb ðf ÞeÀj2pf t dt xx (3. an analogous notation is adopted in these references and others for the (conjugate) cyclic autocorrelation function and the (conjugate) cyclic spectrum.66) are simultaneously represented by Z S a ðÃÞ ðf Þ9 Ra ðÃÞ ðtÞeÀj2pf t dt. Equivalently. Rxx ðt. from (3.21.1.66) are called the cyclic spectrum and the conjugate cyclic spectrum.8.65) and (3. output yðtÞ.6.2. For this reason LAPTV filtering is also referred to as frequency-shift (FRESH) filtering [7. gs ðtÞ9hs ðtÞeÀj2pst .5] for cyclostationary processes and generalized in [2. in [2. be two possiblycomplex ACS continuous-time time series with . the system is said to be linear periodically time-variant (LPTV). Moreover. Structure of linear almost-periodically timevariant systems A linear time-variant system with input xðtÞ.12. when it does not create ambiguity. both functions defined in (3.9] to ACS signals. Linear filtering The linear almost-periodically time-variant filtering of ACS signals introduced in [2.9. Input/output relations in terms of cyclic statistics Let xi ðtÞ.60.14]. tÞ ¼ Efag fxðt þ t=2Þxðt À t=2Þg.51.14.2. a different conjugation notation in the subscripts is adopted to denote the autocorrelation and the conjugate autocorrelation function. (3.9.9].71a) s2G ¼ where X s2G ½gs ðtÞ  xðtފej2pst . both functions defined in (3. uÞ ¼ hs ðt À uÞej2psu .70) s2G where G is a countable set. respectively.ARTICLE IN PRESS 650 W. 3. 3.10.71b) it follows that a LAPTV systems performs a frequency shift of linear time-invariant filtered versions of the input.6.9. Specifically.13. uÞ. 13. / Signal Processing 86 (2006) 639–697 are referred to as the cyclic autocorrelation function at cycle frequency a and the conjugate cyclic autocorrelation function at conjugate cycle frequency b.67) Analogously.8.8. (3. Let us denote by the superscript ðÃÞ an optional complex conjugation.23.63) and (3. The Fourier transforms of the cyclic autocorrelation function and conjugate cyclic autocorrelation function Z S a à ðf Þ9 Ra à ðtÞeÀj2pf t dt.2] and followed by [2.13.9].

then we obtain the input–output relations for LAPTV systems in terms of cyclic autocorrelation functions and cyclic spectra: X X bÀs þs Rb à ðtÞ ¼ ½Rxxà 1 2 ðtÞej2ps1 t Š yy s1 2G s2 2G  rb ðtÞ.81). If the set A12 contains at least one nonzero element. where t denotes convolution with respect to t.75) is a countable set. cc (3. ð3:78Þ 3.A. and ðÃÞ is conjugation. 12 t ð3:83Þ S xxà 1 bÀs þs2 Sb à ðf Þ ¼ yy X X s1 2G s2 2G ðf À s1 Þ ð3:84Þ The (conjugate) cross-correlation of the outputs Z yi ðtÞ ¼ hi ðt. Gardner et al. in general. Note that. then their joint probability density function factors into the product of the . tÞ ¼ Rax ðÃÞ ðtÞej2pax t . y1 ¼ y2 ¼ y. only those s1 2 G 1 and s2 2 G 2 such that b À s1 À ðÀÞs2 2 A12 give nonzero contribution. Rb y1 y2 ðÃÞ ðtÞ9hy1 ðt þ tÞyðÃÞ ðtÞeÀj2pbt it 2 X X bÀs ÀðÀÞs 1 2 ¼ ½R ðÃÞ ðtÞej2ps1 t Š s1 2G 1 s2 2G2 x1 x2 RccðÃÞ ðt.76) si 2G i and. s2 hsi ðtÞeÀj2pf t dt ð3:81Þ where Ra ðÃÞ x1 x2 ðtÞ9hx1 ðt þ tÞxðÃÞ ðtÞeÀj2pat it 2 (3. and Z rg 1 s2 ðÃÞ ðtÞ9 hs1 ðt þ sÞhðÃÞ ðsÞeÀj2pgs ds. Let us consider now two linear LAPTV systems whose impulse-response functions admit the Fourier series expansions X hi ðt.80) and (3. tÞ9Efag fy1 ðt þ tÞyðÃÞ ðtÞg 2 X X X ½Ra ¼ a2A12 s1 2G 1 s2 2G2 hs1 ðt þ sÞhÃ2 ðsÞeÀj2pbs ds. Eqs. see Sections 7 and 10. (3. (3.74) H si ðf Þ9 (3.ARTICLE IN PRESS W.81) can be specialized to several cases of interest. in the sums in (3.85) x1 x2 ðÃÞ ðtÞej2ps1 t Š For further examples and applications. uÞ ¼ hsi ðt À uÞej2psi u . (3.86) xx ax 2AxxðÃÞ  rs1 s21ðÃÞ t aþs þðÀÞs2 ðtÞej2pðaþs1 þðÀÞs2 Þt . tÞ9Efag fx1 ðt þ tÞxðÃÞ ðtÞg 2 X a ¼ R ðÃÞ ðtÞej2pat . / Signal Processing 86 (2006) 639–697 651 second-order (conjugate) cross-correlation function Rx ðÃÞ 1 x2 Sb y1 y2 ðÃÞ ðf Þ9 ðt.87)  t rb1 s2 ðÃÞ ðtÞ.75)).77) R ÂH s1 ðf ÞH Ã2 ðf À bÞ. For example. i ¼ 1. s where rb ðtÞ9 12 Z R is given by Ry ðÃÞ 1 y2 ðt. a2A12 x1 x2 Rb ðÃÞ ðtÞeÀj2pf t dt y1 y2 X X bÀs ÀðÀÞs 1 2 ¼ S ðÃÞ ðf À s1 Þ R s1 2G1 s2 2G2 x1 x2 Z ð3:73Þ where Z ÂH s1 ðf ÞH ðÃÞ ððÀÞðb À f ÞÞ. ðÀÞ is an optional minus sign that is linked to ðÃÞ.80) and (3. set A12 depends on whether ðÃÞ is conjugation or not and can be different from the sets A11 and A22 (both defined according to (3.79) s2 s R Thus. 2. s (3. h1 ¼ h2 ¼ h. s ð3:80Þ If xðtÞ and cðtÞ are statistically independent in the FOT probability sense. tÞ ¼ X ac 2AccðÃÞ RacðÃÞ ðtÞej2pac t . if x1 ¼ x2 ¼ x. uÞxi ðuÞ du. then the time series x1 ðtÞ and x2 ðtÞ are said to be jointly ACS. Product modulation Let xðtÞ and cðtÞ be two ACS signals with (conjugate) autocorrelation functions X RxxðÃÞ ðt. 2 (3.82) is the (conjugate) cyclic cross-correlation between x1 and x2 at cycle frequency a and A12 9fa 2 R : Ra x1 x2 ðÃÞ R ðtÞc0g (3.7. i ¼ 1. (3.

we obtain S a ðÃÞ ðf Þ ¼ S a ðÃÞ ðf ÞHðf ÞH ðÃÞ ððÀÞða À f ÞÞ. jf jpB. (3.89) (3. (3. f Þ 2 R  R : Hðf Þ ÂH ðÃÞ ððÀÞða À f ÞÞa0g.9. we have (see Fig. xðtÞ  xðtÞ  hLPF ðtÞ.91) where. S0 à ðf Þ  0 xx for f eðÀB.5. jf j4B: 2B Accounting for (3.A.97). f Þ 2 R  R : Sa ðÃÞ ðf Þa0g yy yy  fða.96) it follows that the support in the ða.2. then RccðÃÞ ðt.90) yy xx ccðÃÞ ax 2AxxðÃÞ Let xðtÞ be a strictly band-limited low-pass signal with monolateral bandwidth B. tÞRxxðÃÞ ðt.92) g2G where hLPF ðtÞ is the impulse-response function of the ideal low-pass filter with harmonic-response function:   ( 1. f Þ plane of the (conjugate) cyclic spectrum of yðtÞ is such that supp½Sa ðÃÞ ðf ފ9fða. (3. Observe that. Cyclic-spectrum support of a low-pass signal.95) −B B f 3. . ðÀÞðaÀgÞ e ð3:93Þ (3. tÞ ¼ cðt þ tÞcðÃÞ ðtÞ X X cg1 cðÃÞ eðÀÞj2pg2 t ¼ g2 g1 2G g2 2G 2B Âej2pðg1 þðÀÞg2 Þt and Ra ðÃÞ ðtÞ ¼ cc S a ðÃÞ ðf Þ ¼ cc X g2G j2pðaÀgÞt cg cðÃÞ .88) From (3. (3. BÞ. / Signal Processing 86 (2006) 639–697 marginal probability densities [2. 1.94) X g2G cg cðÃÞ ðÀÞðaÀgÞ dðf þ g À aÞ. and y1 ¼ y2 ¼ y.96) −2B Fig.81) to the case x1 ¼ x2 ¼ x. only those (conjugate) cycle frequencies ax such that a À ax 2 AccðÃÞ give nonzero contribution.12] and the (conjugate) autocorrelation functions of the product waveform yðtÞ ¼ cðtÞxðtÞ also factor. if cðtÞ is an almost-periodic function X cðtÞ ¼ cg ej2pgt . xx ccðÃÞ (3. 1) supp½Sa ðÃÞ ðf ފ  fða.99) 0. ð3:97Þ Therefore.2. tÞ ¼ RccðÃÞ ðt. tÞ. Then. Gardner et al.98) S a ðÃÞ ðf Þ ¼ yy X ax 2AxxðÃÞ Z R S ax ðÃÞ ðlÞSaÀax ðf À lÞ dl.8]: X Ra ðÃÞ ðtÞ ¼ Rax ðÃÞ ðtÞRaÀax ðtÞ. the (conjugate) cyclic autocorrelation function and the (conjugate) cyclic spectrum of yðtÞ are [2. f Þ 2 R  R : H LPF ðf Þ xx ÂH LPF ðf À aÞa0g. f H LPF ðf Þ ¼ rect 9 (3.8. (3.8. Supports of cyclic spectra of band limited signals By specializing (3.2. in the sums.ARTICLE IN PRESS 652 W. RyyðÃÞ ðt. ð3:100Þ where the fact that rectðf Þ is real and even is used. yy xx (3. h1 ¼ h2 ¼ h (LTI). that is.

Cyclic-spectrum support of a high-pass signal.101) where hHPF ðtÞ is the impulse-response function of the ideal high-pass filter with harmonic-response function   f H HPF ðf Þ ¼ 1 À rect . Gardner et al. S0 à ðf Þ  0 for f 2 ðÀb. f Þ 2 R  R : H HPF ðf Þ ÂH HPF ðf À aÞa0g.107) The (conjugate) autocorrelation function of the discrete-time signal xðnÞ can be shown to be the sampled version of the (conjugate) autocorrelation function of the continuous-time signal xa ðtÞ: ag Efe fxðn þ mÞxðÃÞ ðnÞg Fig.8]. (3.6. S 0 à ðf Þ  0 for f eðÀB. (3. let xðtÞ be a strictly band-limited bandpass signal. BÞ. we have (see Fig.97).A.102) 2b From (3.9. respectively.97). ð3:108Þ . Therefore. that is.2.t¼mT s . 2. ð3:103Þ Finally. Cyclic-spectrum support of a band-pass signal. ð3:106Þ It is noted that supports for symmetric definitions of cyclic spectra (3. that is. we have (see Fig. (3. the continuoustime signal xa ðtÞ: xðnÞ9xa ðtÞjt¼nT s .105) for (3. xðtÞ  xðtÞ  hBPF ðtÞ. 3. Sampling and aliasing where H LPF ðf Þ and H HPF ðf Þ are given by (3. f Þ 2 R  R : H LPF ðf ÞH LPF ðf À aÞa0g \ fða. f Þ 2 R  R : H BPF ðf ÞH BPF ðf À aÞa0g ¼ fða.99) and (3.28) are reported in [2. xx xðtÞ  xðtÞ  hHPF ðtÞ. ÀbÞ[ xx ðb.104) −B −b 2B 2b b −2b B f −2B Fig. (3. accounting 2b −b b −2b f Let xðnÞ be the sequence obtained by uniformly sampling. ¼ Efag fxa ðt þ tÞxa ðtÞgjt¼nT s . (3.ARTICLE IN PRESS W. / Signal Processing 86 (2006) 639–697 653 Let xðtÞ be a strictly band-limited high-pass signal. 3) supp½Sa ðÃÞ ðf ފ xx  fða. 2) supp½S a ðÃÞ ðf ފ  fða. f Þ 2 R  R : H HPF ðf Þ xx ÂH HPF ðf À aÞa0g. Then. where hBPF ðtÞ is the impulse-response function of the ideal band-pass filter with harmonic-response function H BPF ðf Þ ¼ H LPF ðf ÞH HPF ðf Þ. bÞ. 3.102). with period T s ¼ 1=f s . where 0oboB. Then.

only the replica with p ¼ 0 gives nonzero contribution in the base support region in (3. Representations by stationary components 3.A. (3. T 0 ¼ KT s þ . then the discrete-time signal is almost-cyclostationary [13. / Signal Processing 86 (2006) 639–697 However.a¼ef .22.112) In such a case. the (conjugate) cyclic autocorrelation functions and the (conjugate) cyclic spectra of xðnÞ can be expressed in terms of the (conjugate) cyclic autocorrelation functions and the (conjugate) cyclic spectra of xa ðtÞ by the relations [2.and/or time. ð3:113Þ Sa xa xa ðf Þ 8 < T Se ðnÞj ea . if T 0 is the period of cyclostationarity.e a¼a=f s ¼ : 0 ðÃÞ jajp f2s .23. Continuous-time processes and time series A continuous-time wide-sense cyclostationary signal (process or time-series) xðtÞ can be expressed in terms of singularly and jointly widesense stationary signals with non-overlapping spectral bands [2. the (conjugate) cyclic autocorrelation functions of xðnÞ are not sampled versions of the (conjugate) cyclic autocorrelation functions of xa ðtÞ because of the presence of aliasing in the cycle-frequency domain. ja À f jpBg  fða. it follows that supp½S a ðÃÞ ðf ފ xx  fða. jajp2Bg.23]. with period T s .116) . the (conjugate) cyclic autocorrelation functions and the cyclic spectra of the continuous-time signal xa ðtÞ are amplitude. From (3. xx e a¼a=f s a R ðÃÞ ðtÞjt¼mT s ¼ xa xa > :0 jajp fs . the support of each replica in (3. Gardner et al.2. If.77. In [3. f Þ 2 R  R : jf jpB.10. f Þ 2 R  R : jf jpB.ARTICLE IN PRESS 654 W. Consequently.5. Specifically. for the (conjugate) cyclic spectra.44]. consequently.109) and (3. K integer.13.a¼af s signal xðnÞ [13.20.110) Let xðtÞ be a strictly band-limited low-pass signal with monolateral bandwidth B. is a discrete-time cyclostationary signal with cyclostationarity period K. f Þ 2 R  R : jf À qf s jpB.109) The discrete-time signal obtained by sampling. (3. otherwise: ð3:114Þ e . jf jp f2s .8. and we define e xk ðtÞ9½xðtÞeÀj2pðk=T 0 Þt Š  h0 ðtÞ.3.5. a cyclostationary continuous-time signal with cyclostationarity period T 0 ¼ KT s .23]: X aÀpf a s ee RxxðÃÞ ðmÞ ¼ R ðÃÞ ðtÞjt¼mT p2Z xa xa s . (3. 2 otherwise. 3.or frequency-scaled versions of the (conjugate) cyclic autocorrelation functions and cyclic spectra of the discrete-time where h0 ðtÞ9ð1=T 0 Þ sincðt=T 0 Þ is the impulseresponse function of an ideal low-pass filter with monolateral bandwidth 1=ð2 T 0 Þ.13.3. ja À pf s jp2Bg and. with 0ooT s and  incommensurate with T s .110) is contained in the set fða. however.20]: 8 > ee < Ra ðÃÞ ðmÞj . aliasing in both the spectral-frequency and cycle-frequency domains occurs. That is. a sufficient condition for assuring that the replicas in (3. ð3:111Þ Thus. common pitfalls arising in the application of the stationary signal theory to time sampled cyclostationary signals are examined. s xxðÃÞ n¼f =f s .4. Thus.41].10.100). a s s T s p2Z q2Z xa xðÃÞ a (3.110) do not overlap is f s X4B.3.1. (3.110).115) a 1 X X aÀpf s ee S xxðÃÞ ðnÞ ¼ S ðf À qf s Þjf ¼nf . then xðtÞ can be expressed by the harmonic series representation: xðtÞ ¼ þ1 X k¼À1 e xk ðtÞej2pðk=T 0 Þt .

.10. . The signal xðnÞ is widesense cyclostationary with period N 0 if and only if the set of sub-sampled xi ðnÞ are jointly wide-sense stationary [3.65]. . i ¼ 0. It follows that a continuous-time wide-sense cyclostationary scalar signal xðtÞ is equivalent to the infinite-dimensional vector-valued wide-sense stationary signal e e e e e ½.121) Therefore.23]. The sub-sampled (or decimated) time-series: xi ðnÞ9xðnN 0 þ iÞ. (3. . In this case.120) which is independent of t.A.2. N 0 À 1. .12. Another representation of a cyclostationary signal by stationary components is the translation series representation in terms of any complete orthonormal set of basis functions [3. That is. ð3:117Þ 3. . a discrete-time wide-sense cyclostationary scalar signal xðnÞ is equivalent to the N 0 dimensional vector-valued wide-sense stationary signal e e ½e0 ðnÞ. .1.2. . A harmonic series representation can also be obtained for an ACS process xðtÞ.2. / Signal Processing 86 (2006) 639–697 655 where Efag fek ðt þ tÞeà ðtÞg x xh  Z 1=ð2 T 0 Þ ðhÀkÞ=T 0 Sxxà f ¼ À1=ð2 T 0 Þ  k j2pf t þ df e T0 with stationary components has been demonstrated to exist for ACS processes. . xN 0 À1 ðnފ. if N 0 is the period of cyclostationarity.3. . 0 0 k e Xk f À ¼ T0 0 otherwise. . x0 ðtÞ.123) where the frequencies lk are possibly incommene surate and the processes xk ðtÞ are singularly and jointly wide-sense stationary but not necessarily band limited. Given the set of time series xi ðnÞ. .17. x1 ðtÞ. . Let xðnÞ be a discrete-time real-valued wide-sense cyclostationary time-series with period N 0 . i ¼ 0. No translation series representation where dg is the Kronecker delta (dg ¼ 1 for g ¼ 0 and dg ¼ 0 for ga0). . . . One example uses ` the Karhunen–Loeve expansion of the cyclostationary signal xðtÞ on the intervals t 2 ½nT 0 . jf À k=T jp1=ð2 T Þ.12. .4. N 0 À 1 (3.119) xi ð‘ÞdnÀiÀ‘N 0 .ARTICLE IN PRESS W. . the original signal xðnÞ can be reconstructed by using the synthesis formula: xðnÞ ¼ N 0 À1 X i¼0 X ‘2Z e xk ðtÞej2plk t . (3. provided that it belongs to the sub-class of the almost-periodically unitary processes [3. since only spectral components of xðtÞ with frequencies separated by an integer multiple of 1=T 0 can be correlated. . . x1 ðnÞ. . . then xðnÞ can be expressed by the harmonic series representation: xðnÞ ¼ N 0 À1 X k¼0 e xk ðnÞej2pðk=N 0 Þn . In fact.Š.122) constitute what is called the polyphase decomposition of xðnÞ. where T 0 is the period of cyclostationarity. then the only pairs of e e spectral components in xk ðtÞ and xh ðtÞ that can be correlated are those with the same frequency f. due to the .30].41. xðtÞ ¼ þ1 X k¼À1 where h0 ðnÞ9ð1=N 0 Þ sincðn=N 0 Þ is the ideal lowpass filter with monolateral bandwidth 1=ð2N 0 Þ.3]. xÀk ðtÞ.5. xk ðtÞ. there is no spectral cross-correlation at e e distinct frequencies in xk ðtÞ and xh ðtÞ. ðn þ 1ÞT 0 Þ for all integers n. xÀ1 ðtÞ. Thus. Gardner et al. . Discrete-time processes and time series A discrete-time wide-sense cyclostationary signal (process or time-series) xðnÞ can be expressed in terms of a finite number of singularly and jointly e wide-sense stationary signals xk ðnÞ with non overlapping bands [2. (3. . . This result reflects the e fact that the Fourier transforms X k ðf Þ of the e signals xk ðtÞ have non-overlapping support of width 1=T 0   ( X ðf Þ. (3. x A further decomposition of a discrete-time cyclostationary signal can be obtained in terms of subsampled components. . and we define e xk ðnÞ9½xðnÞeÀj2pðk=N 0 Þn Š  h0 ðnÞ. ð3:118Þ therefore.

The problem of cyclic leakage in the estimate of a cyclic statistic at cycle frequency a arising from cyclic statistics at cycle frequencies different from a. In the frequency domain.8.3. Consistency for estimators of the cyclic spectrum has been addressed in [2. / Signal Processing 86 (2006) 639–697 cyclostationarity of xðnÞ: E fxi ðn þ mÞxk ðnÞg ¼ Efag fxððn þ mÞN 0 þ iÞxðnN 0 þ kÞg ¼ Efag fxðmN 0 þ iÞxðkÞg.4.5.2) is a consistent estimator of the cyclic spectrum Sa ðf Þ.and fourth-order cumulants.4.11)). Such a property is generally expressed in terms of mixing conditions or summability of second. Df ! 0.4.30. first observed in [2. Under such mixing conditions.13. t0 . TÞ9 xðt þ tÞxðtÞeÀj2pat dt (4.A. f ÞDf x Z f þDf =2 1 1 X T ðt0 . x Df !0 T!1 ð4:5Þ where X T ðt.55.9.36.ARTICLE IN PRESS 656 W.4.61].18].4.2.13. 4.4.4.19) x and (3. Gardner et al. the cyclic periodogram I a ðt. The first treatment for ACS processes is in [4. f ÞDf À Sa ðf ފ x is an asymptotically (T ! 1. the cyclic correlogram Z 1 t0 þT=2 Ra ðt. In [2. f À aÞ.1. with T Df ! 1) zero-mean complex normal random variable for each f and t0 .3. . is addressed in [2. Ergodic properties and measurement of characteristics 4.17].13].13.4. 4.35.4. f ÞDf x ¼ lim lim Sa 1=Df ðt.2. ð3:124Þ fag cyclic periodogram Sa T ðt0 .17].4. Consistency for estimators of the cyclic autocorrelation function for cyclostationary and/or ACS processes has been addressed in [2.4. is an asymptotically unbiased but not consistent estimator of the cyclic spectrum Sa ðf Þ (see (3.8].43.1) x T t0 ÀT=2 is a consistent estimator of the cyclic autocorrelation function Ra ðtÞ (see (3. lÞ is defined according to (3. f ÞX à ðt. Moreover. Estimation of the cyclic autocorrelation function and the cyclic spectrum Ergodic properties and measurements of characteristics are treated in [4. f À aÞ ds 1=Df ð4:4Þ is asymptotically equivalent to the frequency smoothed cyclic periodogram in the sense that Df !0 T!1 lim lim S a T ðt.20)). l À aÞ dl 9 T Df f ÀDf =2 T ð4:3Þ 4. the frequency-smoothed where the order of the two limits on each side cannot be reversed.17].1.1.12]. T T (4. under the above-mentioned mixing conditions. Note that both the timesmoothed and frequency-smoothed cyclic periodograms exhibit spectral frequency resolution on the order of Df and a cycle frequency resolution on the order of 1=T [4.44.42. However. f ÞT .4. TÞ À Ra ðtފ x is an asymptotically (T ! 1) zero-mean complex normal random variable for each t and t0 .20.23.4.24.8. x pffiffiffiffi a T ½Rx ðt.1. Moreover.59. which is independent of n. x pffiffiffiffiffiffiffiffiffiffiffi a T Df ½S xT ðt. The first detailed study of the variance of estimators of the cyclic spectrum is given in [2. In particular.14. it is shown that the timesmoothed cyclic periodogram: Z 1 tþT=2 a Sx1=Df ðt.8] and is based on the FOT framework. it is shown that a strong stationary spectrally overlapping noise component added to a cyclostationary signal degrades the performance (bias and variance) of the estimators of cyclic statistics at nonzero cycle frequencies because of the leakage from the zero cycle frequency. Consistent estimates of second-order statistical functions of an ACS stochastic process can be obtained provided that the stochastic process has finite or ‘‘effectively finite’’ memory.4. f ÞT 9 Df T tÀT=2 ÂX 1=Df ðs.15. t0 . f ÞX à ðs. lÞX à ðt0 .4. f Þ9 x 1 X T ðt.21).1–4.

51].4.14.10. the kind of convergence of the estimators to be considered as the data-record length approaches infinity is the convergence of the function sequence of the finite-time averages (indexed by the data-record length).1.20.13.12.).15].39.2. the convergence in the FOT probability framework must be considered ‘‘pointwise’’.4.2. Given a . 13.9.12.59.4.3.17] and also in [4.2.32.21. Two alternative approaches to the analysis of measurements on time series In the FOT probability approach.5.51].9].9.50.13.14. passing such frequencyshifted versions through two low-pass filters hDf ðtÞ with bandwidth Df and unity pass-band height. Spectral correlation analyzer.22.41].9.1].3. Cyclostationary feature measurements in the nonstochastic approach are treated in considerable depth in [4.4.26] or ‘‘almost sure sense’’ [4. For measurements of cyclic higher-order statistics see [4. see the general treatments [2.7. Problems arising from the presence of jitter in measurements are addressed in [4.11.11. Estimators of the FOT probabilistic parameters are obtained by considering finite-time averages of the same quantities involved in the infinite-time averages. Reliable spectral estimates with reduced computational requirements can be obtained by using nonlinear transformations of the data [4. Measurements on cyclostationary random fields are treated in [20.3.13.25. and then correlating the output signals (see Fig.11.29]. the infinitetime averages exist).A.s. The problem of measurement of statistical functions for more general classes of nonstationary signals is considered in [21.s. without the necessity of requiring ergodicity properties as in the stochastic process framework.1. were first treated in depth in [4.38.11.21. in the FOT probability framework. Therefore.17].56.12.8. in the ‘‘temporal meansquare sense’’ [2. Thus. probabilistic parameters are defined through infinite-time averages of functions of a single time series (such as products of time.8.18.20.31].8. for example.4. A survey of estimation problems is given in [4.f )T Fig.and frequency-shifted versions of the time series) rather than through expected values or ensemble averages of a stochastic process.48].5.15.3.2.18.3.9.45.2. A spectral correlation analyzer can be realized by frequency shifting the signal xðtÞ by two amounts differing by a.4. Strict-sense ergodic properties of ACS processes. let us consider the convergence of time series in the temporal mean-square sense (t.31].23. in this order [4. 4.2.2. 12. / Signal Processing 86 (2006) 639–697 657 e−j2πft × x (t) × e−j2π( f− )t h∆f (t) × h∆f (t) (⋅)* 〈⋅〉T ∆f Sx1/∆ f (t.m. their asymptotic estimators converge by definition to the true values. For further references.21.5]. in the ‘‘stochastic mean-square sense’’ [3.ARTICLE IN PRESS W.13. unlike the stochastic process framework where convergence must be defined.13.72.2. 4).57. referred to as cycloergodicity in the strict sense.13. Computationally efficient digital implementations of cyclic spectrum analyzers are developed and analyzed in [4.2.18] and also see [3.56] or ‘‘in distribution’’.21. see also [2.49.15]. By following the guidelines in [2. 4. and taking the limit as the correlation time T ! 1 and the bandwidth Df ! 0.2. 4. assuming the above-mentioned limits exist (that is.2. or in the ‘‘sense of generalized functions (distributions)’’ [23.4. Gardner et al.2.13]. which are exactly the infinite-time averages. Therefore.4.35.53.4.61].41.13.39. The spectral correlation density function S a ðf Þ is x obtained by normalizing the output by Df .35.59.13.

t þ T=2Šg.e.. In such a case. u 2 ½t À T=2.10] for nonstochastic time series. Thus. The analytical cyclic spectral analysis of mathematical models of analog and digitally modulated signals was first carried out in [2.ARTICLE IN PRESS 658 W.1.23]..8.7.11).19. On this general subject.10) is just the almost-periodic component contained in the time series zðtÞ.23].7) ÀT=2 and we assume that T!1 lim zb ðtÞT ¼ zb ðt:m:s:s:Þ 8b 2 R.21]. Manufactured signals: modelling and analysis 5. scanning. biasfzb ðtÞT g9Efag fzb ðtÞT g À zb ’ hzb ðtÞT it À zb . the series P 2 b2B jzb j is summable [2.9] and.12) it follows that hjzb ðtÞT À zb j2 it ’ varfzb ðtÞT g þ jbiasfzb ðtÞT gj2 ð4:13Þ and this approximation become exact as T ! 1. It is worthwhile to emphasize that. such as modulation.8.9). Moreover.22].17.5.2.5. Therefore. unlike the stochastic process framework where the variance accounts for fluctuations of the estimates over the ensemble of sample paths.18.2.13]. probabilistic functions are defined in terms of the almost-periodic component extraction operation.5. and also see [2.1–5. (4.2.5] for stochastic processes and in [5. The effects of timing jitter on the cyclostationarity properties of communications signals are addressed in [2. see the general treatments [2. which plays the same role as that played by the statistical expectation operation in the stochastic process framework [2. / Signal Processing 86 (2006) 639–697 time series zðtÞ (such as a lag product of another time series).8) that is. ð4:11Þ .8. estimates obtained by using different time segments asymptotically do not depend on the central point of the segment. and (4. accounting for (4. Therefore. The function zb ðtÞT is an estimator of zb based on the observation fzðuÞ.10) The magnitude and phase of zb are the amplitude and phase of the finite-strength additive complex sinewave with frequency b contained in the time series zðtÞ. In fact. in the FOT probability framework the variance accounts for the fluctuations of the estimates in the time parameter t.5. the central point of the finite-length time series segment adopted for the estimation. It can be shown that.12. (4.15. T!1 lim hjzb ðtÞT À zb j2 it ¼ 0 8b 2 R. varfzb ðtÞT g9Efag fjzb ðtÞT À Efag fzb ðtÞT gj2 g ’ hjzb ðtÞT À hzb ðtÞT it j2 it . ð4:12Þ 5.9) where the approximation becomes exact equality in the limit as T ! 1.A.5. multiplexing and coding operations [5.11. viz.9. Gardner et al. the assumption that the estimator asymptotically approaches the true value (the infinite-time average) in the mean-square sense is equivalent to the statement that the estimator is mean-square consistent in the FOT probability sense. the right-hand side in (4.13]. 6. (4. from (4. sampling. lim T!1 b2B b2B (4. then the set B9fb 2 R : zb a0g is countable. The effects of multiplexing are considered in [5.6) zb ðtÞT 9 T tÀT=2 zb 9 lim 1 T Z þT=2 T!1 zðuÞeÀj2pbu du (4.15].2. it follows that X X zb ðtÞT ej2pbt ¼ zb ej2pbt ðt:m:s:s:Þ.11.5. if the time series zðtÞ has finite-average-power (i. General aspects Cyclostationarity in manmade communications signals is due to signal processing operations used in the construction and/or subsequent processing of the signal.8). Continuous-phase frequency-modulated signals are treated in [5.9. in the FOT probability framework. (4. hjzðtÞj2 it o1). we define Z 1 tþT=2 zðuÞeÀj2pbu du.5.2.

1) with stationary modulating signal sðtÞ having triangular autocorrelation function.ARTICLE IN PRESS W. Then a third example of a more sophisticated communication signal is considered. as a function of a and t.A. 5(a) the magnitude of the cyclic autocorrelation function Ra ðtÞ. for the DSB-AM signal x (5. The (conjugate) cyclic autocorrelation function and (conjugate) cyclic spectrum of xðtÞ .5) S a ðf Þ x ¼ : Ç f 0 ÞeÆj2f0 . xðtÞ is cyclostationary with period 1=ð2 f 0 Þ. as a function of a and f.7. and (b) magnitude of the cyclic x spectrum Sa ðf Þ.1) The cyclic autocorrelation function and cyclic spectrum of xðtÞ are [5. 5(b) the magnitude of the cyclic spectrum S a ðf Þ. s ð5:3Þ and t. (5. s S a ðf Þ ¼ 1 fS a ðf À f 0 Þ þ S a ðf þ f 0 Þ x s s 4 þ S aþ2f 0 ðf þ f 0 ÞeÀj2f0 s þ S aÀ2f 0 ðf À f 0 Þej2f0 g. / Signal Processing 86 (2006) 639–697 659 5.2. In Fig. (5. The derivations of the cyclic statistics can be accomplished by using the results of Sections 3.6 and 3. Gardner et al. otherwise: (5. respectively. two fundamental examples of cyclostationary communication signals are considered and their wide-sense cyclic statistics are described. 5. < a 1 0 Æj2pf 0 t Æj2f0 Rx ðtÞ ¼ 4 Rs ðtÞe e .4) 81 0 0 > 4 fSs ðf À f 0 Þ þ S s ðf þ f 0 Þg.2.21]. a ¼ Æ2f 0 . as a function of a and f. 5. is an ACS sequence whose cyclostationarity is possibly induced by framing.2. ak 2 C.2. 5.1.6) k2Z ð5:2Þ Fig. (a) Magnitude of the cyclic autocorrelation function Ra ðtÞ. Examples of communication signals In this section. as a function of a x where qðtÞ is a complex-valued square integrable pulse and fak gk2Z . If sðtÞ is a wide-sense stationary signal then Ra ðtÞ ¼ R0 ðtÞda and s s 81 0 a ¼ 0. are x reported for the DSB-AM signal (5. (5. < 1 0 S ðf >4 s a ¼ 0. Pulse-amplitude-modulated signal Let xðtÞ be the complex-valued pulse-amplitude modulated (PAM) signal: X xðtÞ9 ak qðt À kT 0 Þ. > 2 Rs ðtÞ cosð2pf 0 tÞ. 0 Thus.1). multiplexing. or coding [13. > : 0 otherwise. and in Fig.9]: Ra ðtÞ ¼ 1 Ra ðtÞ cos ð2pf 0 tÞ x 2 s þ 1 fRaþ2f 0 ðtÞeÀj2pf 0 t eÀj2f0 s 4 þ RaÀ2f 0 ðtÞej2pf 0 t ej2f0 g. Double side-band amplitude-modulated signal Let xðtÞ be the (real-valued) double side-band amplitude-modulated (DSB-AM) signal: xðtÞ9sðtÞ cosð2pf 0 t þ f0 Þ. a ¼ Æ2f 0 .

10) are the (conjugate) cyclic autocorrelation function and the (conjugate) cyclic spectrum. (5.14) In Fig.6). as a function of a and f.e¼aT 0 0a T 0 aa ðÃÞ ÂQðf ÞQ ððÀÞða À f ÞÞ. .17) k2Z S a à ðf Þ xx e0 Raaà ð0Þ ¼ dðaT 0 mod 1Þ Qðf ÞQà ðf À aÞ.2. where a ee RaaðÃÞ ðmÞ9 lim N X 1 ak akþm aðÃÞ eÀj2pe . the cyclic autocorrelation function and the cyclic spectrum of xðtÞ become Ra à ðtÞ ¼ xx e0 Raaà ð0Þ dðaT 0 mod 1Þ ra à ðtÞ. / Signal Processing 86 (2006) 639–697 are [5. a (5. as a function of a and t.11) R and ra ðÃÞ ðtÞ9qðtÞ  ½qðÃÞ ðÀtÞej2pat Š qq Z ¼ qðt þ tÞqðÃÞ ðtÞeÀj2pat dt. ð5:12Þ If the sequence fak gk2Z is wide-sense stationary and white. k 2N þ 1 k¼ÀN N!1 (5. Thus. (5.10]: Ra ðÃÞ ðtÞ ¼ xx a 1 X ee ½R ðÃÞ ðmފe¼aT a 0 T 0 m2Z aa Âra ðÃÞ ðt À mT 0 Þ. In this case. ð5:7Þ ð5:8Þ respectively.3. 6(a) the magnitude of the cyclic autocorrelation function Ra ðtÞ. In this case. 6. and rectangular pulse qðtÞ9rectððt À T 0 =2Þ=T 0 Þ.ARTICLE IN PRESS 660 W. 6(b) the magnitude of the cyclic spectrum S a ðf Þ. k 2 Z. for the PAM signal x (5. qq T0 (5. and (b) magnitude of the cyclic x spectrum Sa ðf Þ. Gardner et al. qq S a ðÃÞ ðf Þ ¼ xx a 1 ee ½S ðÃÞ ðnފn¼fT .13) where mod denotes the modulo operation.12) reduces to   t ra ðtÞ ¼ eÀjpaðT 0 ÀtÞ rect qq 2T 0   jtj  1À ð5:16Þ T 0 sincðaðT 0 À jtjÞÞ.9) X e a ee ea RaaðÃÞ ðmÞeÀj2pnm S aaðÃÞ ðnÞ9 m2Z (5. as a function of a and f. R Fig. of the sequence fak gk2Z . xðtÞ is cyclostationary with period T 0 .9. Direct-sequence spread-spectrum signal Let xðtÞ be the direct-sequence spread-spectrum (DS-SS) baseband PAM signal X xðtÞ9 ak qðt À kT 0 Þ. respectively.15) respectively.5. T0 (5. are x reported for the PAM signal (5. as a function of a x and t. xðtÞ exhibits cyclostationarity with cycle frequencies a ¼ k=T 0 .6) with stationary modulating sequence fak gk2Z .A. Z Qðf Þ9 qðtÞeÀj2pft dt (5. T0 5. (a) Magnitude of the cyclic autocorrelation function Ra ðtÞ. and in Fig. then a ee e0 Raaà ðmÞ ¼ Raaà ð0Þdðe mod 1Þ dm . that is.

Cyclic Wiener filtering À mT 0 Þ  ga ðÃÞ ðtÞ.1–7. leading to the linear-conjugate-linear (LCL) structure [2. and qðtÞ9 N c À1 X n¼0 cn pðt À nT c Þ (5.18).22) with CðnÞ9 N c À1 X n¼0 cn eÀj2pnn .3. General aspects Cyclostationarity properties of modulated signals can be suitably exploited in the analysis and design of communications systems (see [7.1].8.14.14. A patent on a speech recognition technique exploiting cyclostationarity is [6.98]. The problems of synchronization. / Signal Processing 86 (2006) 639–697 661 where fak gk2Z .5. c ca ð5:20Þ where ga ðÃÞ ðtÞ9 cc N c À1 N c À1 X X n1 ¼0 n2 ¼0 cn1 cðÃÞ eÀj2pan2 T c n2 ð5:21Þ Âdðt À ðn1 À n2 ÞT c Þ and a ee GccðÃÞ ðnÞ9CðnÞCðÃÞ ððÀÞðe À nÞÞ a (5.1.e¼aT 0 0a T 0 aa ðÃÞ ÂPðf ÞP ððÀÞða À f ÞÞ a ee ÂGccðÃÞ ðnÞjn¼fT .7. cyclostationarity is due to rotation and revolution of the earth [6.21–6.2. (5.16.47. Applications in hydrology are consid- The problem of optimum linear filtering consists of designing the linear transformation of the data xðtÞ that minimizes the mean-squared error of the filter output relative to a desired signal. for periodic ARMA modelling and the prediction problem in hydrology.24]: a 1 X ee Ra ðÃÞ ðtÞ ¼ ½RaaðÃÞ ðmފe xx a¼aT 0 T0 m2Z a ÂrppðÃÞ ðt ered in [6. channel identification and equalization. fc0 .2.11.11.5.26].6. . and T c is the chip period such that T 0 ¼ N cT c.6.18) is the spreading waveform. signal parameter and waveform estimation.7.6.5.e¼aT .20.7.5. 12. say dðtÞ.10.8. cN c À1 g is the N c -length spreading sequence (code) with cn 2 C.24].9.21. the optimum filter is obtained by processing both xðtÞ and xà ðtÞ.6.A. On the analysis and design of communications systems.13.13]. The cyclostationary nature of interference in communications systems is characterized in [7.19.47. The problem of optimum filtering (cyclic Wiener filtering) of ACS signals is addressed in Section 7. see [12.27]. .7. and also see [3.2.18.12. Communications systems: analysis and design 7.23) 6. The (conjugate) cyclic autocorrelation function and (conjugate) cyclic spectrum of xðtÞ are [2. 2.7.8. Gardner et al. see the general treatments [2. If dðtÞ and xðtÞ are jointly ACS signals. 10. cc ð5:19Þ S a ðÃÞ ðf Þ ¼ xx a 1 ee ½S ðÃÞ ðnފn¼fT .7.5.2.12.3.1. 7.6.25.12.8. ak 2 C.6. for the modelling of ocean waves as a two-dimensional cyclostationary random field see [20.7. 7.6.1–6.25.8].6.9. In the case of complex data. In climatology and atmospheric science.8.101]) since the signals involved are typically ACS (see Section 5).2.23]. .27].6. Natural signals: modelling and analysis Cyclostationarity occurs in data arising from a variety of natural (not man-made) phenomena due to the presence of periodic mechanisms in the phenomena [6.ARTICLE IN PRESS W.22. FRESH filtering consists of periodically or almost-periodically time-variant filtering of xðtÞ and xà ðtÞ and .16. and signal detection and classification are treated in Sections 8–11. In (5.6.6. is an ACS sequence. T 0 is the symbol period. the optimum filtering is referred to (as first suggested in [7.7. .17.31]) as cyclic Wiener filtering (and also frequency-shift (FRESH) filtering).9].23.9.2. 6.6.

5) ¼ S g ðf Þ 8g 2 F dx . the sums are extended to all frequency shifts s 2 G and Z 2 Gc such that g À s 2 Axxà and Z À g 2 Axx .6) s2G hc ðt.14.8b). adaptive demodulators.76.79–7. in terms of cyclic autocorrelations and cyclic spectra in [2. uÞxà ðuÞ du R R filter design [7.7. the sums are extended to all frequency shifts s 2 G and Z 2 G c such that g À s 2 Axx and Z À g 2 Axxà .8]. for each x xx g 2 F dxà .7.24.98].75.56.7.5]).7.57.69. xðtÞ ¼ dðtÞ þ nðtÞ where nðtÞ is the interference) [7. Eqs.31].31.21. for each g 2 F dx .A. 7. dx then it follows that the optimum filters are LAPTV: X hðt.19. uÞ ¼ hs ðt À uÞej2psu . Z Applications of FRESH filtering to interference suppression have been considered in [7.5.7.2. (7.6). b Efag f½dðt þ tÞ À dðt þ tފxà ðtÞg ¼ 0 8t 2 R 8t 2 R.7) By substituting (7.19. cycle frequencies of the signal of interest and interference. in (7.23.30. dx Rbà xà ðtÞ x RÀb ðtÞà xx ð7:8bÞ be the LCL estimate of the desired signal dðtÞ obtained from the data xðtÞ. Let b dðtÞ9yðtÞ þ yc ðtÞ Z Z ¼ hðt. and (7.2. uÞxðuÞ du þ hc ðt. respectively.7.3a) and (7.7.7. b Efag f½dðt þ tÞ À dðt þ tފxðtÞg ¼ 0 8t 2 R 8t 2 R. / Signal Processing 86 (2006) 639–697 adding the results.73.7.9. where the frequency shifts are chosen in accordance with the cycle frequencies of xðtÞ and dðtÞ (e.g. Adaptive FRESH filtering is addressed in [7. in (7.46. .81]. Gardner et al.27.7.7.7.23] and. dx X s2G ð7:8aÞ ej2pst ½RgÀs ðtÞ  hs ðtފ xx X Z2Gc ZÀg ej2pZt ½Rxxà ðtÞà  hc ðtފ Z þ ð7:1Þ ¼ Rg ðtÞ 8g 2 F dx .11. To minimize the mean-squared error b Efag fjdðtÞ À dðtÞj2 g (7. (7. Z (7.81.8a). dx (7. Cyclic Wiener filtering or FRESH filtering can be recognized to be linked to FSE’s.1). RAKE filters.20. that is.7.7. (7. and LMMSE despreaders for recovery of baseband symbol data from PAM.7. and.7.7. ð7:9aÞ SgÀs ðf À sÞH s ðf À sÞ xx X Z2Gc þ S ZÀg ðZ À f Þà H c ðf À ZÞ Z xxà ð7:9bÞ E fdðt þ tÞx ðtÞg ¼ fag ðÃÞ X g2F dxðÃÞ Rg ðÃÞ ðtÞej2pgt . ð7:3bÞ If xðtÞ and dðtÞ are singularly and jointly ACS. 7.3.7.21.85.7. uÞ ¼ X Z2Gc hc ðt À uÞej2pZu . we obtain the system of simultaneous where H s ðf Þ and H c ðf Þ are the Fourier transforms Z of hs ðtÞ and hc ðtÞ. The problem of optimum LPTV and LAPTV filtering was first addressed in [2.8a) and (7.7.74.ARTICLE IN PRESS 662 W.3b).51]: X ej2pst ½RgÀs ðtÞ  hs ðtފ xxà s2G þ X Z2Gc ZÀg ej2pZt ½Rxx ðtÞà  hc ðtފ Z ¼ Rg à ðtÞ 8g 2 F dxà ..58.7) into (7.4) Efag fxðt þ tÞxðÃÞ ðtÞg ¼ xx a2AxxðÃÞ where the fact that ¼ and Ra à x ðtÞ ¼ RÀaà ðtÞà is used and.8b) can be re-expressed in the frequency domain: X gÀs Sxxà ðf À sÞH s ðf À sÞ s2G ð7:3aÞ þ X Z2Gc ZÀg S xx ðZ À f Þà H c ðf À ZÞ Z ¼ S g à ðf Þ dx X s2G 8g 2 F dxà .77.7. X Ra ðÃÞ ðtÞej2pat .68.7. (7.94.2) a necessary and sufficient condition is that the error signal be orthogonal to the data (orthogonality condition [2. 7.

101]. on blind and nonblind adaptive demodulation of PAM signals and LMMSE blind despreading of short-code DSSS/CDMA signals using FSE’s and RAKE filtering structures.8. if the desired and interfering signals have different cyclic parameters such as carrier frequency or baud rate.100].15].7.42.7. Cyclostationarity properties are exploited for synchronization in [8. consisting of desired signal plus interfering signal.8. / Signal Processing 86 (2006) 639–697 663 GMSK/GFSK. In particular.1. 9. Spectral line generation Let xðtÞ be a real-valued second-order widesense ACS time series. if xðtÞ is the binary PAM signal defined in (5.6) with qðtÞ real and duration limited to an interval strictly less than T 0 .8.34]. More generally. at a cycle frequency exhibited by the desired signal but not by the interference.8. Patents of inventions for the analysis and design of communications systems exploiting cyclostationarity are [7.8.7. etc.28.2) For communications signals.4 and 13). (see Section 5). In fact. Phase-lock loops are analyzed in [8.7.96. Therefore.15–7.28–8.7. This signal selectivity by exploitation of cyclostationarity was first suggested in [4.7. tÞ not containing any finite-strength additive sinewave component (see (3.95. pulse rate.7.7. as well as multicarrier or direct frequency diversity spread spectrum systems for adaptive transmission and combining.36].45.99–7.17. quadratic or higher-order nonlinear time-invariant transformations of an ACS signal give rise to time series containing finite-strength additive sinewave components whose frequencies are the second or higher-order cycle frequencies of the original signal.A.1.3) 8.37.36].48. symbol rate. On direct frequency-diverse multicarrier transceivers. (8.2. 7.55. All synchronization schemes can be recognized to exploit the second. Patents of inventions exploiting the FRESH filtering are [7.29. frame rate. and DSSS signals.7.34.44.87.7.39.11.8.17. ACS signals enable spectral lines to be generated by passage through a stable nonlinear time-invariant transformation (see Sections 10.7. by definition. see [7. Therefore.7.27. then it .12.1–9.1–8.7.32–7.44) and (3. then they exhibit cyclostationarity at different cycle frequencies and.8.33.7].86.53.52]. and for separation of baseband symbol streams in overlapped signal environments.7.3.8]. Blind or non-data-aided synchronization algorithms are described in [8. 1g.38.93]. Parameters that can be estimated in the presence of interference and/or high noise include carrier frequency ð8:1Þ where h‘x ðt.1].61.1) leads to a signal suitable for synchronization purposes. 7. Gardner et al.70.7.5.ARTICLE IN PRESS W.8. Synchronization 8. The spectral analysis of timing waveforms with re-generated spectral lines is treated in [8.26. sampling frequency. See also [2. That is. the synchronization signal x2 ðtÞ is periodic with period T 0 .46)): xðt þ tÞxðtÞ ¼ Efag fxðt þ tÞxðtÞg þ ‘x ðt.8.7.65–7. the second-order lag product xðt þ tÞxðtÞ can be decomposed into the sum of its almost-periodic component and a residual term ‘x ðt. Signal parameter and waveform estimation Cyclostationarity properties can be exploited to design signal selective algorithms for signal parameter and waveform estimation [9. follows that X q2 ðt À kT 0 Þ x2 ðtÞ ¼ k2Z (8. tÞeÀj2pat it  0 8a 2 R.7. the extraction of the almostperiodic component in (8.35.13]. 0Þ ¼ 0.13–8. the cycle frequencies a 2 A are related to parameters such as sinewave carrier frequency.35.51.7.59.83.7.8.or higher-order cyclostationarity features of signals [8. According to the results of Section 3.36. For example.7.7.92. Patents on synchronization techniques exploiting cyclostationarity are [8. parameters of the desired signal can be extracted by estimating cyclic statistics of the received data.7. ¼ x a2A and ‘x ðt. tÞ X Ra ðtÞej2pat þ ‘x ðt.67]. and ak 2 fÀ1. consequently.5–8.20–8.7. see [7.7. tÞ.7.8.50.

and also see [3.9.9. 9.56]. On this subject see the general treatments [2.33. bandwidths.9. Patents of inventions on signal parameter and waveform estimation exploiting cyclostationarity are [9.56.38. Array processing problems.9.36–9.9.9.11.77).2.ARTICLE IN PRESS 664 W.80.57–9. have been considered.10. and also see [7.10.9.16.9.9.67. nðtÞ.2) on the basis of the observed noisy signals vðtÞ and zðtÞ vðtÞ ¼ xðtÞ þ nðtÞ.5.10.15.7) reveal the ability of cyclostationarity-based algorithms to be signal selective.9.12. / Signal Processing 86 (2006) 639–697 and phase.32.74.11]. 9.34.9.5) Therefore.7. and blind adaptation algorithms. Patents of inventions on blind system identification exploiting cyclostationarity are [10.11].1.39–9.9.75.94.5.10.65.9.9.60.23. equivalently.19.7.39.95.19.11.47–9. (3.9. there are difficulties in application of some of this work—difficulties associated with lack of ergodic properties of stochastic-process models adopted for polynomial-phase signals and signals with coupled harmonics.72.7.15.9.97.81) specializes to Sa à ðf Þ ¼ Sa à ðf ÞHðf Þ.93].A.9. 10. time.9. periodically and almost-periodically time-variant systems.14.9. pulse rate and phase. y1 ¼ y. But. (10.9. (10.3.3) (10.9.20–9.82. under the assumption that nðtÞ (10.54.96].4).99. By assuming x1 ¼ x2 ¼ x.8.9.9. and so on. Eqs. yx xx (10. direction of arrival.30.9. vv xx nn Sa à ðf Þ ¼ S a à ðf Þ þ Sa à ðf Þ zv yx mn ¼ S a à ðf ÞHðf Þ þ S a à ðf Þ xx mn ð10:7Þ provided that xðtÞ is uncorrelated with both nðtÞ and mðtÞ.9.8. provided that there is at least one cycle frequency of the desired signal that is not shared by the disturbance.79. In fact. are treated in [7. both time-difference-of-arrival and frequency-difference-of arrival are estimated.1) R of an LTI system with input/output relation yðtÞ ¼ hðtÞ  xðtÞ (10.9. signal power level. have been developed for LTI systems.90].86–9.50.24. from the model (10.5.8. the harmonic-response function: Z Hðf Þ9 hðtÞeÀj2pft dt (10.9.20.9.21.83].84.24.2.3) and (10.9.10.46. including spatial filtering and direction finding.71. On this subject see the general treatments [2. Harmonics in additive and multiplicative noise are considered in [9. and time-invariant.6) and (10.9.81. we obtain Sa à ðf Þ ¼ S a à ðf Þ þ S a à ðf Þ. 9.2.4) 10. where xðtÞ. In [9.73.9.2.3. LTI-system identification with noisymeasurements Cyclostationarity-based techniques can be exploited in channel identification and equalization problems in order to separate the desired and disturbance contributions in noisy input/output measurements. techniques for noisy input/output measurement. Gardner et al.9.45.8.78.7.52.9.70.59. 7.57].9.10. y2 ¼ x.91. modulation indices.6) .9.6.100].66.9.13. Linear and nonlinear systems.2.31. 9.9.2.18.9. zðtÞ ¼ yðtÞ þ mðtÞ.2.68.2.13.17.88.55.7. General aspects Cyclostationarity-based techniques have been exploited for channel identification and equalization [10.28.11].77].12.9.2.9. h1 ¼ h (LTI).9. The polynomial-phase signal parameter estimation is addressed in [9.26–9.1–10. and choosing ðÃÞ to be conjugation.9. Channel identification and equalization 10.7.76.and frequency-difference of arrival.10.7. 9. and mðtÞ are zero-mean time series.9.9.9.36. and h2 ¼ d in (3.69.25.2.6].9. Also.1.24. Signal selective time-difference-of-arrival estimation algorithms are considered in [9.1.2.21.11.9.22.53. Let us consider the problem of estimating the impulse-response function hðtÞ or.44.9.2. 10.9.9.

36. and source separation Signal detection techniques designed for cyclostationary signals take account of the periodicity or almost periodicity of the signal autocorrelation function [11.33.5. cyclostationarity properties of the output signal are suitable to be exploited for recovering both phase and magnitude of the system harmonicresponse function as first observed in [10.25].19.2).8.13].24.7.13. S a à ðf Þ  0). and for non-Gaussian noise.9. The detection problem for additive Gaussian noise is addressed in [11.55]. 10.10. Thus.11. identification and equalization techniques for Volterra systems excited by ACS signals make use of higher-order cyclostationarity properties.11. .21.9.13. Nonlinear-system identification Let yðtÞ the output signal of a Volterra system excited by the input signal xðtÞ: þ1 XZ kn ðt1 . relative to stationary input signals. the harmonicmn response function for the system is given by Hðf Þ ¼ Sa à ðf Þ yx Sa à ðf Þ xx ¼ S a à ðf Þ zv .35.e.16.7. S a à ðf Þ vv (10.10. . there are potentially substantial advantages to using cyclostationary input signals. Blind LTI-system identification and equalization By specializing (3. this identification method is highly tolerant to disturbances in practice. . Sa à ðf Þ  0) and nðtÞ and mðtÞ do nn not exhibit joint cyclostationarity with cycle frequency a (i.24. in [11.11. The problem of signal detection in cyclostationary noise is treated in [11.15. 11.8) provides a system identification formula that is intrinsically immune to the effects of noise and interference as first observed in [2.10.7].10.27.10.11.10. Thus. / Signal Processing 86 (2006) 639–697 665 does not exhibit cyclostationarity at cycle frequency a (i.18. referred to as the temporal moment function.11.9.11.5. tn Þxðt þ t1 Þ Á Á Á yðtÞ ¼ n¼1 Rn That is. for a ¼ 0.22.17]. yy xx (10.3)): X xðt þ t1 Þ Á Á Á xðt þ tn Þ ¼ Ra ðsÞej2pat þ ‘x ðt.10.10. The identification of LTI systems based on noisy input/output measurements is considered in [2.18.10.10. 10.10. (10. 10.11.10.28–10.1–11.10.11.1. .5].10..19.84) to the case of the LTI system (10.41.16.4.12.12) Thus.20.10.47.42–10.9) xðt þ tn Þ dt1 Á Á Á dtn .50–10.2. 11. ð10:11Þ Accounting for the results of Sections 3.45. Signal detection and classification. Gardner et al.14. x a2Ax (10. respectively.11.3 and 13. provided that a sufficiently long integration time is used for the cyclic spectral estimates.10. Single-cycle and multicycle detectors exploit one or multiple cycle frequencies.14.10.10.12.10.11.2.10. Hðf Þ can be expressed in terms of the cyclic spectra of the noisy input and output signals. which.10.9.9) and (10. the input lag-product waveform can be decomposed into the sum of an almost-periodic component. unlike those in terms of autocorrelation functions and power spectra.48.32].3.21.8.8.10. reduces to the input/output relationship in terms of power spectra: S 0 à ðf Þ ¼ S0 à ðf ÞjHðf Þj2 .23.9–11.12. Tests for the presence of cyclostationarity are proposed in [11. Therefore.4. for purposes of Volterra system modelling and identification as first observed in [10.31] by . 2.46.10. and a residual term not containing any finitestrength additive sinewave component (see (13.53]. 11. Both time-invariant and almost-periodically time-variant nonlinear systems are treated in [10.11.8. Cyclostationarity properties are exploited for blind identification (without measurements of the system input) of linear systems and for blind equalization techniques in [9.59. 11.25. sÞ.31.e.16].15.10.ARTICLE IN PRESS W.11.36–10.39].11.10.10) From (10.12. preserve phase information of the harmonic-response function Hðf Þ..8) 10.10) it follows that input/output relationships for LTI systems in terms of cyclic statistics.38. In fact.11.11.11. we get S a à ðf Þ ¼ Sa à ðf ÞHðf ÞH à ðf À aÞ yy xx (10.26.10.26.37.A. 10.20.5.

6.40.60.39]. Introduction As first defined in [13.6.12.12.2.52].13]. [16.37]: PðnÞ X k¼0 13.34.12.22.5.19.11.11.12.1) where xðnÞ and yðnÞ are the input and output signals.12.27.12–12.12.11.13] by exploiting the properties of the support of the spectral correlation function.36.9.22].45.30. even if they exhibit the same second-order cyclostationarity ak ðnÞyðn À kÞ ¼ QðnÞ X m¼0 bm ðnÞxðn À mÞ.2.2.11.11.13. The problem of fitting an AR model to data yðnÞ is equivalent to the problem of solving for a linear predictor for yðnÞ. If the bandwidth of Hðf Þ is smaller than the smallest nonzero second-order cycle frequency of the input signal xðtÞ. see also [13. Periodic AR and ARMA systems are treated in [12.16. Motivations to study HOCS properties of signals include the following: (1) Signals not exhibiting second-order cyclostationarity can exhibit HOCS [13. Patents on detection and signal recognition exploiting cyclostationarity are [11.7] for applications to econometrics.11.sspi-tech. 12.29] for the parameter estimation problem. see the general treatments [2.17.16. a signal xðtÞ is said to exhibit higher-order cyclostationarity (HOCS) if there exists a homogeneous non-linear transformation of xðtÞ of order greater than two such that the output of this transformation contains finitestrength additive sinewave components.46. 12.12.69.ARTICLE IN PRESS 666 W.38].13. and [21. 11. automatic. 12. Higher-order statistics 12.5.16] for modelling of atmospheric and hydrologic signals.4.74.13. (12.43.36.34–12.1–12.35. however. periodic ARMA systems are a special case of discrete-time periodically time-varying systems.12.1. On this subject see the general treatments [2.12.12. let us consider the input/output relationship for LTI systems in terms of cyclic spectra (10. Thus.27. The modelling and prediction problem is treated in [12.37.13]. [4.7.14. 4.23.6.4. [6. (3) The exploitation of HOCS can be useful for signal classification [13.12. See also the URL http://www.1.12.3.32.72.16. and the coefficients ak ðnÞ and bm ðnÞ and the orders PðnÞ and QðnÞ are periodic functions with the same period N 0 . and also see [3.21.22].51].2.11.12. respectively.4].31.3] for the prediction problem. When they are excited by an almost-cyclostationary input signal. When they are excited by a stationary or cyclostationary input signal xðnÞ. Gardner et al.22.9.28–12.4] for application to modelling helicopter noise.41.19. On the subject of periodic AR and ARMA modelling and prediction.36. communication-signal classification software systems.47–12. 14. (2) Narrow-band filtering can destroy secondorder (wide-sense) cyclostationarity.9).15. In fact.9.9.13.30.5. and also see [3. 9.2.11.28–11.23.12. they give rise to a cyclostationary output signal yðnÞ.5.31].12.2. different communication signals.30]. / Signal Processing 86 (2006) 639–697 exploiting the asymptotic properties of the cyclic correlogram and in [11.8.49. . The problem of cyclostationary source separation is considered in [11. The parameter estimation problem is addressed in [12.11.11.3.38–12.12.12. com for information on general purpose. Modulation classification techniques are proposed in [11. The signal yðtÞ.4.11.2. then the output signal yðtÞ does not exhibit second-order widesense cyclostationarity. 13.13]).30.7.12. Specifically.6.1–12.53].13].37.12. 12. Periodic AR and ARMA modelling and prediction Periodic autoregressive (AR) and autoregressive moving average (ARMA) (discrete-time) systems are characterized by input/output relationships described by difference equations with periodically time-varying coefficients and system orders [12. 16.26.8.23–12.12. can exhibit HOCS (see also [3.50. where xðnÞ is the model-fittingerror time series. they give rise to an almost-cyclostationary output signal.A.

. uKÀ1 ŠT .1–13.9.13. (13. . in addition. for some s. The function S a ðf 0 Þ.40.15.13. . 10.4.2. .20]. .41. [10. sÞ9Efag fLx ðt. as outlined below. [4. sÞ9 N Y k¼1 xk k ðt þ tk Þ ðÃÞ (13.1) where s9½t1 .34.67.10. . rex ferred to as the reduced-dimension CSCMF (RDCSCMF).13.18.8] for the spectral analysis of PAM signals.ARTICLE IN PRESS W.4) x RN where f 9½f 1 .9.6) x RNÀ1 . .9–21. Continuous-time time series Let us consider the column vector ðÃÞ ðÃÞ xðtÞ9½x1 1 ðtÞ.9. . in [13.2) contains a finite-strength additive sinewave component with frequency a.31].10.34] for applications to source separation.5] and developed in [13. f N ŠT . .46] for applications to nonlinear system identification and equalization.21. can be expressed as Z 0T 0 a 0 Sx ðf Þ ¼ Ra ðs0 ÞeÀj2pf s ds0 . xN N ðtފT whose components are N not necessarily distinct complex-valued continuous-time time-series and ðÃÞk represents optional complex conjugation of the kth signal xk ðtÞ.10.15.13.93. On the subject of higher-order cyclostationarity and its applications see [13.81] for the wavelet decomposition.9.28–11.30] for applications to signal classification. The N-dimensional Fourier transform of the CTCMF Z T a Sx ðf Þ9 Ra ðsÞeÀj2pf s ds. [11.24.71. 13. N time series exhibit wide-sense joint Nth-order cyclostationarity with cycle frequency aa0 if. . whose amplitude and phase are the magnitude and phase of Ra ðsÞ.9. xN N ðt þ tN Þ (for the given conjugation configuration).21. [11.13.10. 1ŠT . x respectively. [9. [7. . . . [21.5) where 1 is the vector ½1. . . . (13. Gardner et al. can exhibit different cyclic features of higher order. .13. .13] for the higher-order characterization of generalized almost-cyclostationary signals.10.61. tN ŠT is not identically zero. Rx ðsÞ9 k¼1 t (13. Thus. . [8.15. (4) Exploitation of HOCS can be useful for many estimation problems.23] for applications in acoustics and mechanics.23. For treatments within the stochastic framework.26] or extend to higher-order statistics the link between the two frameworks discussed in Section 3. .14.17]. The Nth-oder temporal cross-moment function (TCMF) is defined by Rx ðt. different behaviors can be obtained for different conjugation configurations [13. .11.1.80.74] for blind adaptive detection.9. see [3. is called the Nth-order cyclic spectral cross-moment function (CSCMF) and can be written as Sa ðf Þ ¼ S a ðf 0 Þdðf T 1 À aÞ.56] for estimation issues.13. 9. uK ŠT into the reduced-dimension version u0 9½u1 . .55.69–9.A.23] for the cyclic higher-order properties of CPM signals. [5. for discrete and continuous time. .9.13. the lag product waveform Lx ðt. The N time-series exhibit joint Nth-order wide-sense cyclostationarity with cycle frequency aa0 if at least one of the Nth-order cyclic temporal cross-moment functions (CTCMFs) * + N Y ðÃÞ a Àj2pat k xk ðt þ tk Þe .4.18.13.20] for applications to signal detection.2.85. 13.13. Moreover. .12. / Signal Processing 86 (2006) 639–697 667 properties. cyclic higher-order (joint) statistics for both continuous-time and discrete-time time series are presented in the FOT probability framework as first introduced for continuous time in [13. [11. Higher-order cyclic statistics In this section. and. 13.9. x x (13. and prime denotes the operator that transforms a vector u9½u1 .99] for application to signal parameter and waveform estimation.10. [15. . . sÞg X Ra ðsÞej2pat ¼ x a2Ax ð13:3Þ where Ax is the countable set (not depending on s) of the Nth-order cycle frequencies of the time ðÃÞ ðÃÞ series x1 1 ðt þ t1 Þ. .17].13. .14. see [13.

. ð13:13Þ . . . . .9) tÀT=2 and ðÀÞk denotes an optional minus sign that is linked to the optional conjugation ðÃÞk . . Eq. . Moreover.. xN N ðt þ tN ÞÞg Z ðÃÞ ðÃÞ ¼ gðx1 1 . . xNi Þ Â dx1r dx1i Á Á Á dxNr dxNi . . Ra ðsÞc0 or. i ¼ 1. . ðÀÞN ða À f T 1ÞÞ ðÃÞ 0  where NÀ1 Y k¼1 X k. but rather it oscillates.1) is.. it is shown that the RD-CSCMF S b ðf 0 Þ x can contain impulsive terms if the vector f with P f N ¼ b À NÀ1 f k lies on the b-submanifold. f k Þ9 tþT=2 xk ðsÞeÀj2pf k s ds (13. relation (13. the Nth-order generalization of the Cyclic Wiener Relation.8) and Nth-order cyclic temporal moment (13. by using hB ðtÞ9B rectðBtÞ jtjp1 2 (13.7) is the reduced-dimension CTCMF (RD-CTCMF). sÞ9cumfxk k ðt þ tk Þ.ARTICLE IN PRESS 668 W. . . . equivalently. . Let us note that in general the function Ra ðs0 Þ is x not absolutely integrable because it does not in general decay as ks0 k ! 1. Ng with p41 such that each sum ami ¼ P k2mi f k is a jmi jth-order cycle frequency of xðtÞ. the almost-periodic component extraction operator Efag fÁg extracts the frequencies of the 2N-variate fraction-of-time joint probability density function of the real and imaginary parts of the time-series xk ðtÞ ðk ¼ 1.4) between the Nth-order cyclic spectral moment function (13. P i¼1 ðÃÞ with B91=T and rectðtÞ ¼ 1 if and rectðtÞ ¼ 0 if jtj41. Thus. .T ðu.Tk ðu. Gardner et al. k¼1 if there exists at least one partition fm1 .8) can be re-written as 2 Z 1 tþZ=2 1 ðÃÞ a 0 S x ðf Þ ¼ lim lim ½ðxN N ðuÞ B!0 Z!1 Z tÀZ=2 BNÀ1 ÂeÀj2pðaÀf  NÀ1 Y k¼1 0T ð13:12Þ where x9½o1 . smi Þ . . Such a property is the generalization to the order N42 of the spectral correlation property of signals that exhibit second-order cyclostationarity. where jmi j is the number of elements in mi . . .A. pg. . xN N Þ ðÃÞ ðÃÞ 1Þu Þ  hB ðuފ ½ðxk k ðuÞeÀj2pf k u Þ  hB ðuފ du ð13:11Þ ðÃÞ which is the Nth-order temporal cross-moment of low-pass-filtered versions of the frequency-shifted ðÃÞ signals xk k ðtÞeÀj2pf k t when the sum of the frequency shifts is equal to a and the bandwidth B approaches zero. S a ðf 0 Þ can contain impulses and.10) [13. .4]. consex quently. . .13]. x In [13. . is nonzero. S a ðf 0 Þc0) if and x x only if the Nth-order temporal cross-moment of their spectral components at frequencies f k .T ðt. whose sum is equal to a. (13. In fact. (13. . mp g of f1. x1i .12).5). . . . . In the spectral-frequency domain. Sa ðf Þ can contain products of impulses. The RD-CSCMF can also be expressed as Z 1 tþZ=2 1 a 0 S x ðf Þ ¼ lim lim T!1 Z!1 Z tÀZ=2 T N ÂX N. xNr . at first pointed out in R2N Âf fag ðtþt1 Þx1i ðtþt1 ÞÁÁÁxNr ðtþtN ÞxNi ðtþtN Þ x1r ðx1r . In (13. P is the set of distinct partitions of f1. ðÀÞk f k Þ du. Ng. i. . . . . . . . NÞ according to Efag fgðx1 1 ðt þ t1 Þ. Ng @N loge ¼ ðÀjÞN @o Á Á Á @oN ( 1 " #)  N X  ðÃÞk Efag exp j ok xk ðt þ tk Þ   k¼1 x¼0 " # p X Y pÀ1 ¼ ðÀ1Þ ðp À 1Þ! Rxmi ðt. each constituted by the subsets fmi .8) reveals that N time-series exhibit joint Nth-order wide-sense cyclostationarity with cycle frequency a (i. . . oN ŠT . / Signal Processing 86 (2006) 639–697 where Ra ðs0 Þ9Ra ðsÞjtN ¼0 x x (13. k ¼ 1.e. (13. ðÃÞ ð13:8Þ Z X k. xmi is the jmi j-dimensional vector whose components are those of x having indices in mi . Eq. a well-behaved function can be introduced starting from the Nth-order temporal cross-cumulant function (TCCF): Cx ðt. . . .e.

sÞeÀj2pbt it x (13. T!1 T ðÃÞ X k. . / Signal Processing 86 (2006) 639–697 669 where xkr ðtÞ9Re½xk ðtފ. k ¼ 1. . ðÀÞN ða À f T 1ÞÞ. The N-fold discrete Fourier transform of the CTCMF X e a T ee ea Sx ðmÞ9 Rx ðmÞeÀj2pm m . . . (13. . xN Þ9 exp j ok xk . . . the CCP Pb ðf 0 Þ is coincident with the RDx CSCMF S b ðf 0 Þ. 13. . and C b ðs0 Þ9Cb ðsÞjtN ¼0 x x (13.17) is the Nth-order cyclic cross-polyspectrum (CCP). .13.A. k ¼ 1. Discrete-time time series In accordance with the definition for the continuous-time case. Eq.13.18) is called the reduced-dimension CTCCF (RDCTCCF). there x exists an 40 such that jC b ðs0 Þj ¼ oðks0 kÀNþ1À Þ as x ks0 k ! 1. . N À 1g.ARTICLE IN PRESS W. xki 9Im½xk Š. . The cyclic cross-polyspectrum is a wellbehaved function under the mild conditions that the time-series xN ðtÞ and xk ðt þ tk Þ ðk ¼ 1. Gardner et al. xðnÞ9 ðÃÞ ðÃÞ ½x1 1 ðnÞ. moreover. and " # N X ðÃÞk ðÃÞN ðÃÞ1 gðx1 .13.17]. ðÀÞk f k Þ. . in [13. It can be written as x Pb ðf Þ ¼ Pb ðf 0 Þdðf T 1 À bÞ. 1½Þ if a a 2 2 at least one of the Nth-order CTCMF’s a ee Rx ðmÞ9 lim N N X Y ðÃÞ 1 a xk k ðn þ mk ÞeÀj2pen N!1 2N þ 1 n¼ÀN k¼1 In fact.19) (13. . xkr 9 Re½xk Š. N not necessarily distinct discrete-time complex-valued time series xk ðnÞ. .22) . . The magnitude and phase of the CTCMF (13. the stationary FOT expectation operation can be adopted as T ! 1. .16) C b ðs0 ÞeÀj2pf x ds0 (13.21) are the amplitude and phase of the sinewave component with frequency e contained a in the discrete-time lag product whose temporal expected value is the discrete-time Nth-order TCMF. N À 1g ð13:20Þ which is the Nth-order temporal cross-cumulant of low-pass filtered versions of the frequency-shifted ðÃÞ signals xk k ðtÞeÀj2pf k t when the sum of the frequency shifts is equal to b and the bandwidth B approaches zero. .Tk ðt. in the computation of the cumulant in (13. in more detail. . exhibit joint Nth-order wide-sense cyclostationarity with cycle frequency ea0 ðe 2 ½À1. x The CCP can also be expressed as Pb ðf 0 Þ ¼ lim x 1 0 ðÃÞN cumfX N. m2ZN where. n 2 Z. by taking the N-dimensional Fourier transform of the coefficient of the Fourier series expansion of the almost-periodic function (13. . Furthermore. In fact.5] and then.21). . Eq.T ðt. except on a b-submanifold.9. x x where Pb ðf 0 Þ9 x Z RNÀ1 0 T s0 (13. . .21) is not identically zero. ½ðxk k ðtÞeÀj2pf k t Þ  hB ðtފ. the Nth-order temporal cumulant function of a time series provides a mathematical characterization of the notion of a pure Nth-order sinewave.2. mN ŠT . ð13:19Þ (13.2. . one obtains the Nth-order cyclic spectral cross-cumulant function (CSCCF) Pb ðf Þ.14) k¼1 can be re-written as Pb ðf 0 Þ ¼ lim x 1 NÀ1 B!0 B cumf½ðxN N ðtÞeÀj2pðaÀf ðÃÞ ðÃÞ 0T 1Þt Þ  hB ðtފ. N À 1Þ are asymptotically (jtk j ! 1) independent (in the FOT probability sense) so that C b ðs0 Þ ! 0 as ks0 k ! 1 and. xki ðtÞ9Im½xk ðtފ. In (13.19).12) Cb ðsÞ9hCx ðt. It is that part of the sinewave present in the Nth-order lag product waveform that remains after removal of all parts that result from products of sinewaves in lower order lag products obtained by factoring the Nthorder product. (13. .15. As first shown in [13.15) which is referred to as the Nth-order cyclic temporal cross-cumulant function (CTCCF). (13. xN N ðnފT and m9½m1 .19) reveals that the CCP of N time series is the Nth-order crosscumulant of their spectral components at frequencies f k whose sum is equal to b.13.

14.14. nN ŠT .14.27.21. Analogous relations can be stated for the reduceddimension statistics.25) e Once the Nth-order discrete-time TCCF Cx ðk.14. and so on [2.14.8.2.3].17. (13. Cyclostationarity has been exploited in acoustics and mechanics for modelling road traffic noise [15. . Applications to acoustics and mechanics Applications of cyclostationarity to acoustics and mechanics are in [15. Consequently. pistons. mÞ is defined analogously to the continuous-time case.2.31].6]. it can be easily shown that the following periodicity properties hold: a aþp ee ee Rx ðmÞ ¼ Rx ðmÞ.14. In circuit theory. cyclostationarity has been exploited in modelling noise [14. . such as engines. In mechanical systems with moving parts. (13.25].59. for analyzing music signals [15. p 2 Z. is called the Nth-order CSCMF and can be written as þ1 X a a ee ee dðe À mT 1 À rÞ. propellers.4–14.10.16. if some parameter such as speed. is given by þ1 X e e eb eb Px ðmÞ ¼ Px ðm0 Þ dðe À mT 1 À rÞ.13.30) (13.19. and control are in [14.15.4.1. referred to as the Nth-order CSCCF.1. which can be expressed as the ðN À 1Þfold discrete Fourier transform X 0T 0 a a ee ee S x ðm0 Þ ¼ Rx ðm0 ÞeÀj2pm m (13.28) Finally. Even if the almost-cyclostationary component has a power smaller than the power of the almost-periodic component.24].10.24.14. Applications to circuits.14.26) Its discrete Fourier transform.5].15. which can be expressed as the ðN À 1Þfold discrete Fourier transform of the Nth-order RD-CTCCF e e eb eb C x ðm0 Þ9Cx ðmÞjmN ¼0 .14.13.31].10.15. cyclostationary or almost cyclostationary signals arise in dealing with periodically or almost-periodically time variant systems (see Section 3. In control theory.15.14. 14.5.A.6) [14. Often.18. 15.20.9. systems. .28.23) a ee where the function S x ðm 0 Þ is the Nth-order RDCSCMF. Gardner et al.26.14.1–15.24]. e e eb e bþp Cx ðmÞ ¼ Cx ðmÞ.1. / Signal Processing 86 (2006) 639–697 where m9½n1 .ARTICLE IN PRESS 670 W.15. systems.8.14.15.16.8. p 2 Z. q 2 ZN .14.10. mÞeÀj2pbn . cyclostationarity has been exploited in [14. 14.4. (13. 14.15. N!1 2N þ 1 n¼ÀN (13.1–14.14.19–15. and control Applications of cyclostationarity to circuits. (13. vibration signals exhibit periodic behavior of one type or another with periods related to the engine cycle. the Nth-order CTCCF is given by e eb Cx ðmÞ9 lim N X 1 e e Cx ðn.14. . p 2 Z. (13. In system theory. Patents on applications of cyclostationarity to system and circuit analysis and design are [14.23]. 15.28].12.5.14.23. then the dynamic physical processes generate vibrations that can be modelled as originating from periodic mechanisms such as rotation and reciprocation of gears.14.21. for example it can be successfully exploited in early diagnosis of gear faults [15. e e eb e bþp Px ðmÞ ¼ Px ðm þ qÞ. and for describing the vibration signals in mechanical systems.29) (13. On this subject.3.14.27) e eb where the function Px ðm0 Þ is referred to as the Nthorder CCP. the observed vibration signals contain both an almost-periodic and an almostcyclostationary component [15.29.15. also see [9.11. chains.18.14.32) a aþp ee ee Sx ðmÞ ¼ Sx ðm þ qÞ.15.31) (13.15.13. shafts.3].15. it can be useful. p 2 Z. . q 2 ZN .24) m0 2ZNÀ1 of the Nth-order RD-CTCMF a a ee ee Rx ðm0 Þ9Rx ðmÞjmN ¼0 .22]. belts.24.15.15.15.9. and load torque can be assumed to be constant. 13. temperature.16. b r¼À1 15. a Sx ðmÞ ¼ Sx ðm0 Þ r¼À1 14.15.

1. Methods of averaging were developed for estimating the generalized spectrum that allow for the meaningful characterization of phase information when classic assumptions of stationarity do not hold.4.A.1–20. Specifically.6.8].8]. n02 þ N 02 Þg ¼ Efxðn1 .40]. N 02 Þ if and only if there exists no smaller N 01 40 and N 02 40 for which the mean and correlation satisfy Efxðn1 þ N 01 . transformations of ACS signals.1–19.21. the repetitive patterns of openings and closures of markets. Cyclostationary random for all fields are treated in [20. in mobile communications when the product of transmittedsignal bandwidth and observation interval is not much smaller than the ratio between the propagation speed in the medium and the relative 18.1–18.2]. Applications of the concept of spectral redundancy (spectral correlation or cyclostationarity) have been proposed in medical image signal processing [17. are sources of periodic variations in financial-market volatility and other statistical parameters.1–21. n2 .1–17. Gardner et al.10].5] and limitations of previously proposed approaches are exposed.49.1) Efxðn1 þ N 01 . n1 . n02 17.1. This has led to many significant performance improvements in ultrasonic tissue characterization. but not almost-periodically timevariant. 21. (20. Furthermore.2].15.12.17.19.13].20. neglecting the periodic behavior gives rise to a loss in forecast efficiency [2. General aspects Generalizations of cyclostationary processes and time series are treated in [21. Nonstationary signals that are not ACS can arise from linear time-variant. n2 þ N 02 Þxà ðn01 þ N 01 .43. 16. Patents on applications of cyclostationarity to engine diagnosis are [15. In [21.7].18].18]. The problem of statistical function estimation for general nonstationary persistent signals is addressed in [21. Level crossings Level crossings of cyclostationary signals have been characterized in [18. On this subject.6]. for example.6. Queueing theory in car traffic is treated in [19. a random field xðn1 . 19. particularly for liver and breast tissues [17.15.17]. n2 Þxà ðn01 .2–21.4.10–17. 14.1–16. n2 þ N 02 Þg ¼ Efxðn1 . and nondestructive evaluation [17. also see [14.21. seasonally varying preferences. On this subject see also [12. A patent on the application of cyclostationarity to cholesterol detection is [17. n2 Þ indexed on Z2 is called strongly periodically correlated with period ðN 01 .8].8. the class of the correlation autoregressive processes is studied. Applications to biology Applications of cyclostationarity to biology are in [17.5].ARTICLE IN PRESS W. 20. Autoregressive models with periodically varying parameters provide appropriate descriptions of seasonally varying economic time series [16.7]. Cyclostationary random fields A periodically correlated or cyclostationary random field is a second-order random field whose mean and correlation have periodic structure [20.17.16.10]. the number of active markets throughout the day.21. Applications to econometrics In high-frequency financial time series. Generalizations of cyclostationarity 21.4. Queueing Exploitation of cyclostationarity in queueing theory in computer networks is treated in [19.21. Such transformations occur. such as asset return.17].33. n02 Þg ð20:2Þ 2 Z.16. and so forth. n2 Þg. n01 .4]. / Signal Processing 86 (2006) 639–697 671 Additional applications in the field of acoustics and mechanics can be found in [4.5.4. .

14].12. Moreover. The estimation of the cyclic autocorrelation function for GACS processes is addressed in [21.10. n 2 I.35. rather. and the spectrally correlated signals [21. the support in the ða.2) is not necessarily countable.7.2. and the coefficients. f 2 Þ9EfX ðf 1 ÞX à ðf 2 Þg X ðnÞ ¼ Sxxà ðf 1 Þdðf 2 À Cn ðf 1 ÞÞ. the set [ At A9 t2R (21. the set A turns out to be countable in this case (see (3.21. referred xx to as the spectral correlation density functions.10]: X ðnÞ Efag fxðt þ tÞxà ðtÞg ¼ Rxxà ðtÞej2pan ðtÞt .5) In (21.21.15–21.21.1) n2I signals.12]. that vary slowly with time cannot be modelled as ACS but. such as the carrier frequency and the baud rate. n2I For GACS signals. are given by RðnÞà ðtÞ9hxðt þ tÞxà ðtÞeÀj2pan ðtÞt it . the curves f 2 ¼ Cn ðf 1 Þ.21. (21.17] in the stochastic process framework. ¼ n2I ð21:4Þ That is.ARTICLE IN PRESS 672 W. I is a countable set. The problem of sampling a GACS signal is considered in [21.9]. / Signal Processing 86 (2006) 639–697 radial speed between transmitter and receiver [8.11. Gardner et al. Spectrally correlated signals A continuous-time complex-valued second-order harmonizable stochastic process xðtÞ is said to `ve be spectrally correlated (SC) if its Loe bifrequency spectrum can be expressed as [21. referred to as generalized cyclic autocorrelation functions.6. Linear filtering is addressed in [21. a survey of GACS signals is provided. In [21. The ACS signals are obtained as the special case of GACS signals for which the functions an ðtÞ are constant with respect to t and are equal to the cycle frequencies. it results that At 9fa 2 R : Ra à ðtÞa0g xx [ fa 2 R : a ¼ an ðtÞg.11] where the concept of expectation of the impulse-response function in the FOT probability framework is also introduced. tÞ plane consists of lines parallel to the t axis and the generalized cyclic autocorrelation functions are coincident with the cyclic autocorrelation functions. Generalized almost-cyclostationary signals A continuous-time complex-valued time series xðtÞ is said to be wide-sense generalized almostcyclostationary (GACS) if the almost-periodic component of its second-order lag product admits a (generalized) Fourier series expansion with both coefficients and frequencies depending on the lag parameter t [21. describe the support of Sxxà ðf 1 . for GACS signals.13)). communications signals with parameters. xx (21.21.13] where it is shown that the discrete-time signal obtained by uniformly sampling a continuous-time GACS signal is an ACS signal.9].21. The higher-order characterization of the GACS signals in the FOT probability framework is provided in [21.1).9–21.21.9. The case of linear support curves is considered in [21. Moreover.6. In such a case the support of the cyclic autocorrelation function in the ða.14] Sxxà ðf 1 .16].15.3) xx n2I ð21:6Þ Moreover. n 2 I.3. the cyclic autocorrelation function can be expressed in terms of the generalized cyclic autocorrelation functions by the following relationship: X ðnÞ Ra à ðtÞ ¼ Rxxà ðtÞdaÀan ðtÞ . can be modelled as generalized almostcyclostationary if the observation interval is large enough [21. (21. the frequencies an ðtÞ are referred to as lag-dependent cycle frequencies. 21. and the functions S ðnÞà ðf 1 Þ.13. For the GACS where I is a countable set. The ACS processes are obtained as the special case of . 21.A.21.17].21. Two models for the output signals of such transformations are the generalized almost-cyclostationary signals [21. f 2 Þ. 21. tÞ plane of the cyclic autocorrelation function Ra à ðtÞ xx consists of a countable set of curves described by the equations a ¼ an ðtÞ.11]. ` describe the density of the Loeve bifrequency spectrum on its support curves.

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