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9, SEPTEMBER 2013

857

in Time Series via Negentropy

Jean-Philippe Montillet, Member, IEEE, Simon McClusky, and Kegen Yu, Senior Member, IEEE

Global Positioning System coordinate time series, chaotic time

series, human brain imaging), the noise is generally modeled

as a sum of a power-law noise and white noise. Some existing

softwares estimate the amplitude of the noise components using

convex optimization (e.g., Levenberg-Marquadt) applied to a

log-likelihood cost function. This work studies a novel cost function based on an approximation of the negentropy. Restricting the

study to simulated time series with flicker noise plus white noise,

we demonstrate that this cost function is convex. Then, we show

thanks to numerical approximations that it is possible to obtain

an accurate estimate of the amplitude of the colored noise for

various lengths of the time series as long as the ratio between the

colored noise amplitude and the white noise is smaller than 0.6.

The results demonstrate that with our proposed cost function we

can improve the accuracy by around 5% when compared with the

log-likelihood ones with simulated time series shorter than 1400

samples.

Index TermsColored noise, convex optimization, LevenbergMarquadt, negentropy, time series.

I. INTRODUCTION

N the last decade, there has been a concerted effort to develop methods to estimate the statistics of colored noise

from time series in various research fields. [8] show the importance of modelling biological data set (e.g., functional magnetic

resonance imaging) with a power-law model in order to characterize the underlying dynamical behaviour of the time series. In

the study of dynamical systems [2] and [6] show the relationship

between colored random noise and deterministic chaos (strange

attractor). In signal processing, the colored noise needs to be

modelled to analyse received signals for some specific applications [13], [18]. Furthermore, modelling the colored noise is

also important in the study of geodetic time series [9], [14], [16].

For instance, current research focuses on investigating different

models to best fit the noise on GPS receivers coordinates in

order to monitor accurately geodetic phenomena such as earthquakes or tectonic movements. The general method is to fit a

linear trend to the GPS coordinates time series and then model

the residual (colored noise) following a power-law with a spectral index

[16] such as:

(1)

With this definition, flicker noise corresponds to equal to 1,

the random-walk to equal to 2, and white noise is related to

equal to 0. The flicker noise and random-walk are classified as

long-term dependency phenomena [9]. An extensive scientific

literature is available on this model [10], [14], [19].

In [11], the authors used a Monte Carlo Markov Chain to estimate the statistics of colored noise in GPS time series. [16] and

[19] have extensively investigated how to use a maximum likelihood cost function combined with a simplex downhill algorithm to accurately estimate the amplitude of the colored noise

in geodetic time series.

The study in [10] indicates that it is possible to accurately

estimate the white noise statistics in the colored noise model.

Using this information and applying negentropy theory to a

time series, we demonstrate that it is possible to calculate the

ratio between the power-law noise and white noise. Specifically,

a negentropy-based cost function is developed first. The ratio

estimate is then produced by minimizing this nonlinear cost

function using a nonlinear optimization or minimization method

such as the Broyden-Fletcher-Goldfarb-Shanno (BFGS) family

of algorithms [15]. Once the ratio estimate is obtained and the

white noise amplitude is preliminarily estimated (e.g., [10]), the

power-law noise amplitude can be determined.

The following section describes the data model and the

derivation of the new cost function based on negentropy. The

third part analyses the convexity of this new cost function fixing

the power-law equal to the flicker noise. The fourth section discusses on the results when comparing the performance of this

new cost function with the log-likelihood cost function. It also

underlines the limit of validity of the numerical approximations

in deriving the new cost function.

II. DATA MODEL AND THE NEW COST-FUNCTION

Manuscript received January 09, 2013; revised April 07, 2013; accepted June

20, 2013. Date of publication June 26, 2013; date of current version June 28,

2013. This work was supported by the Australian Research Council under Grant

DP0877381. The associate editor coordinating the review of this manuscript and

approving it for publication was Prof. Alireza Seyedi.

J.-P. Montillet and S. McClusky are with the Research School of Earth

Sciences, The Australian National University, Canberra, ACT 0200, Australia

(e-mail: j.p.montillet@anu.edu.au; simon.mcclusky@anu.edu.au).

K. Yu is with the Satellite Navigation and Positioning Laboratory, School of

Surveying and Spatial Information Systems, The University of New South of

Wales, Sydney, NSW 2052, Australia (e-mail: kegen.yu@unsw.edu.au).

Color versions of one or more of the figures in this paper are available online

at http://ieeexplore.ieee.org.

Digital Object Identifier 10.1109/LSP.2013.2271241

A. Data Model

which is a -vector

Consider the time series

). If

is a time series of the coordinates of a GPS receiver, then we can model it as:

(2)

where is the sum of white noise and power-law noise at the

is the sum of signals such as geodetic signals

-th epoch.

such as the velocity rate and the seasonal variations in GPS

858

time series [16] or sinusoidal signals in noise [1]. From the previous works of [16], [19], the variance-covariance matrix of the

white noise is equal to

( is the identity matrix), whereas

the power-law variance-covariance matrix is equal to

.

With the transpose operator, the spectral index, and

the

variance of the colored noise. is a lower triangular matrix defined for each coefficient such as:

if

if

(4)

and

are

-by-

[4]:

(8)

(3)

equal to:

Note that

(7)

matrices.

is converging. Moreover,

is

a sum of covariance matrices, thus positive definite. It implies

that its eigenvalues are ordered such as

. Remembering that by eigen decomposition of a

square matrix, one can write:

In information theory, the entropy is an important concept,

especially its maximality property for Gaussian random variable [3]. This property states that a Gaussian random variable

of unit variance has the largest entropy [3]. Thus, the negentropy

is the differential entropy and it is a measure of

non-Gaussianity. It is equal to zero for a Gaussian random variable and always positive. Furthermore it has been shown in [5]

that the negentropy can be approximated by cumulants, but [3]

warns about the validity of such approximation as it suffers from

the non robustness encountered with high-order cumulants (e.g.,

kurtosis) and the authors propose the approximation:

(9)

,

is the eigen vector associated

with

with the eigen value . Thus,

is diverging if

. One possibility is to scale

with its highest eigen values

.

Property 01:

is a

converging series ( is in

).

Proof: According to (9) and the linearity property of the

operator, one can write:

(5)

is the expectation operator,

and

are respectively

equal to 7.413 and 33.699.

is the function entropy as defined in [3]. Although this expression is more robust than the

one with higher-order cumulants, the accuracy of this expression is relatively sensitive to the stochastic property of the time

series

(e.g., Gaussian distributed, unit variance ) [3].

One can apply the above equations to the special case

an -vector of the residual of the GPS time series

of one coordinate after removing the linear trend following (2).

Based on the definition of the negentropy, a zero-mean normal

distributed random variable with a standard deviation equal to

1 has a null negentropy [3]. Let us apply the negentropy to

which is supposed to be zero-mean distributed.

(10)

The equation is then equal to:

(11)

The series above on the left-hand side is an harmonic series and

convergent by definition [7].

Equation (7) becomes a polynomial of -th degree, such as:

(6)

with defined in (4). Moreover, it is possible to factorize the

determinant of as it is a non-singular matrix [4]. In addition

if the standard deviation of the white noise

is known (e.g.,

[10]), one can normalize the time series

with the standard

deviation of the white noise. One can write then:

(12)

The resolution of (12) will depend on the degree of . Note

that

is defined relatively to the standard deviation of

the white noise. In the remainder, the covariance matrix of the

power-law noise

is normalized by the highest eigenvalue

MONTILLET et al.: EXTRACTING COLORED NOISE STATISTICS IN TIME SERIES VIA NEGENTROPY

and is

equal to 2 in (12).

Finally, we define of GPS receiver coordinates normalized

such as in (7) (e.g.,

, and overlapping sub-vectors

of , with the length of equal to .

One can define the cost function based on (12):

859

TABLE I

NUMERICAL ESTIMATION OF THE HESSIAN MATRIX (LEFT SIDE),

APPLIED TO THE

TOGETHER WITH THE GLOBAL MINIMIZER

GRADIENT MATRIX AND THE MINORS

AND

( AND

VARYING RESPECTIVELY IN [0,10] AND [0,100])

(13)

. The length of the sub-vector is an

with equal to

important parameter and it can increase the processing time, but

the estimated amplitude can be biased when using short subtime series (i.e.

samples). That is why the value of

is chosen to be close to . is an additional parameter which is

introduced to compensate the non-robustness of the negentropy

approximation underlined in (5). Note that is a -by- matrix

in (13).

III. CONVEX COST-FUNCTION AND THE RESOLUTION

VIA OPTIMIZATION ALGORITHM

With the cost function defined in the previous part, we use the

Davidson Fletcher Powell (DFP) optimization algorithm (see

[15]) in order to calculate the amplitude of the power-law noise.

Note that the power-law noise is generally estimated using the

log-likelihood cost function [12], [17] such as:

(14)

where

is similar to the -vector , but without the normalization with the standard deviation of the white noise.

is the sum of covariance matrix as defined in (4). Note that

the log-likelihood cost function is a concave function and has

a unique global maximum (e.g. [12]). Before investigating the

performances of our new cost-function, one can look at the optimization performances defined in the following property.

Property 02: One can define the following open convex sets

,

subset of

. For in

,

in

, posses

a global minimizer (

) in the case of white noise plus

flicker noise.

Proof: We want to find an optimizer such as

. Let us do a numerical estimation of the

gradient and Hessian matrices, when restraining the subsets

to [0, 100] which span the ratio of the amplitude of the colored

noise between [0, 0.1]

with a white noise amplitude

between [0.001, 0.1] mm. The subset

span the interval [0,

100]. Note that for symmetric reasons, we also draw the figure

for the negative amplitude values when showing graphically

the cost function.

The results of numerically calculating the Hessian matrix are

shown on the left-hand side of Table I. From the results, we can

conclude that the Hessian matrix is positive and hence the cost

function

is a convex function on the selected intervals

and

[15]. Let

denote the global minimizer

which is a vector and

the global minimum of the cost

function . Also, and are located in the same intervals as

defined earlier. Then we calculate the gradient vector and the

for a time series of 700 samples

with two noises model with the amplitude of flicker noise equal to 3 mm and

the white noise amplitude equal to 5 mm.

minors

and the results are shown on the right-hand

side of Table I. It can be seen that the components of the gradient

vector at the point of the global minimizer approaches zero and

the minors of the Hessian matrix are non-negative. Fig. 1 shows

the numerically calculated cost function when the noise is the

sum of flicker noise and white noise.

IV. PROCESSING AND DISCUSSION

The proposed cost function is applied to the estimation of the

amplitude of colored noise in simulated geodetic time series,

which contain 3 different components: white Gaussian noise, a

sinusoidal signal, power-law noise as described in [16]. A sinusoidal signal, with small amplitude (typically 0.4 mm), models a

residual signal found for example in geodetic time series (at annual and semi-annual frequencies) [14], or when estimating the

parameters associated with sinusoidal signals in colored noise

[1]. Furthermore, the power-law noise in time series can be simulated using either the equation of the colored noise defined in

[16], [19], or the derivative method [10]. The results with our

cost-function are compared with the log-likelihood cost function (e.g., using the software CATS [17]). Before estimating the

amplitude of the colored noise, the algorithm studied in [10] is

used to get the amplitude of the white noise. All results are averaged over 50 simulated time series. Note that the number of

sub-vecor

is 3 and the approximation

is 5 when applying

(13).

We simulate some time series with a fixed amplitude of the

white noise equal to 5 mm/yr and varying the amplitude of the

flicker noise between 1 and 4

. The mean error between the estimated amplitude of the colored noise and the true

860

based cost function can be used to estimate the colored noise

amplitude for the case where the white noise amplitude is twice

larger than the colored noise amplitude. The results demonstrate

that on average the estimation based on our cost function is more

accurate than the existing method for time series shorter than

1400 samples.

ACKNOWLEDGMENT

The authors acknowledge the useful comments of the anonymous reviewers.

REFERENCES

Fig. 2. Mean error (in percentage) between the estimated and true amplitude

of the flicker noise varying the length of the simulated time series).

Fig. 3. Mean error (in percentage) when varying the amplitude of the flicker

noise over the white noise and fixing the length of the simulated time series to

1000 samples.

that our cost function performs on average 5% better for short

time series less than 1400 samples. But the improvement is marginal for longer ones. Note that the performances of the log-likelihood cost function are improving with longer and longer time

series, as it is asymptotic to the Cramer-rao bound [10]. However, [10] and [17] warn about the long processing time for time

series longer than 3000 samples (e.g., 10 years long GPS coordinate time series).

Now, let us vary the amplitude of the flicker noise with the

same fixed amplitude value of the white noise, and with a fixed

length of the simulated time series (equal to 1000 samples).

Fig. 3 displays the results. The error increases drastically with

the colored noise amplitude when the ratio is greater than 0.6.

This underlines that our cost function is sensitive to the amplitude of the colored noise. In other words, the approximation of

the negentropy in (5) holds as long as the measurements remain

Gaussian distributed.

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