90 IEEE TRANSACTIONS ON ACOUSTICS,SPEECH, AND SIGNAL PROCESSING, FEBRUARY 1911

automatic
signature
verification,” IEEE Trans. Syst., Man, of WaIsh Functions, pp.
230-237; also Nat.
Tech.
Inform.
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Cybern.,vol.
SMC-4,pp. 121-126, Jan. 1974.
vice,
Springfield,
Order
VA, AD 707 431.
[32] M. T. Clark, J. E. Swanson, and J. A. Sanders, “Word recognition [34] A. G. Tescher and H. C. Andrews,“Therole of adaptivephase
bymeans of Walsh transforms,”in 1972 Conf: Speech Com- codingintwo-andthree-dimensionalFourierand Walsh image
municationandProcessing, Con5 Rec., Apr.24-26, 1972, pp. compression,”presented at the 1974Symp.Applicationsof
156-161. Walsh FunctionsTheory,
and SequencyPress -1EEE Cat.
[33] S . J. Campanellaand G. S. Robinson,“Digital
sequency
de-
74 CH 0861-5 EMC, IEEE Service
Center,
445Hoes
Lane,
composition of voicesignals,” in Proc. I970 Symp. Applications Piscataway, NJ 08854.

Correspondence

Receiver Operating Characteristics for a Linearly THEORY

Thresholded Coherence Estimation Detector Thecomplexcoherencebetweentwojointlystationary
random processes x ( t ) and y ( t ) is defined in [ 21 as
G. CLIFFORD CARTER

Abstract--A method is presented for establishing a threshold so that

in the absence of a coherent source only a specified percentage of co- where G,,(f) is the cross-spectral density at frequency f and
herence estimates exceedsthe threshold. Also presented is an algorithm G,,(f) and G,(f) are the autospectral densities. The magni-
for computing t$e probability that a coherence estimate exceeds the tude-squaredcoherence (MSC), morecommonlyreferred to
established threeold for a given coherent source level. simply as coherence, is

INTRODUCTION
The coherence can be estimated as in[ 3 ] by
An algorithm for computing the receiver operating charac-
teristics (ROC) or the probability of detection, PD,versus the
probability of false alarm, P F , for a linearly thresholded co-
herence estimation detector is presented together with an ex-
ample of anROCtable.Arecentarticle [ 11 presentsnew
resultsonusinglinearlythresholdedcoherenceestimatesto
detect
biomedical phenomena. The
desire
to
establish
a
threshold below which coherence estimates are not presented
to a human decision maker is an important issue incertain where * denotescomplexconjugation, N is thenumber of
areas, such as brain wave analysis and sonar, where the volume data segments employed, and X,(f) and Y , ( f ) are the (dis-
of sensor data is large. For a fixed amount of averaging and a crete)Fouriertransforms of thenthdatasegme2tsof x(t)
fixed threshold value E in the absence ofa coherent source, < <
and y ( t ) . It can be shown that 0 C 1 and 0 C < < 1 . The
there is still a certain probability PF that an estimated valueof probability iensity
function
and
cumulative
distribution
coherence will exceed the threshold. Moreover, although the functionof C havebeendetermined [ 3 ] under the assump-
false alarm rate can be reduced by increasing E , t o d o so de- tions that 1) the data are jointly stationary Gaussian random
creases PD when a coherent source is present. How much it processes, 2) the N data segments are independent, 3) the data
decreases PD will depend on thestrength of thecoherent segments have been multiplied by a smooth weighting function
source, that is, the true or underlying coherence that is being to reduce sidelobe leakage, and 4) each data segment is suf-
estimated.Thiscorrespondenceitempresentsanalgorithm ficiently large t o ensure adequate spectral resolution. The re-
for computing PD versus PF for a specified amount of averag- sultsarerelativelyinsensitive totheGaussianassumption
ing and underlying coherence. (see [4] o r [ 5 ,pp. 55-56]). However, we suspect the results
may be verysensitive to nonstationarities depending on the
Manuscript received February 6,1976; revised June 2, 1976. exact nature of the nonstationarities. Violation of 3) and 4)
The author is with the Naval Underwater Systems Center, New Lon- is empiricallyinvestigatedin [ 6 ] . AUnder theseassumptions
don Laboratory, New London, CT 06320. the probability density function of C , when C = 0, is obtained
CORRESPONDENCE 91

C = 0.25

0
0
PF

Fig. 1. ROC curves for C = 0 . 2 5 , N = 4,8,16.

from [ 7 , eq. (2)l. where

p(&y c = 0 )= ( N - 1)(1 - W - 2 ) . (4)
Hence, the probability of false alarm is
r(z + k)
Pochhammer’s symbol ( z ) k [8, p. 2561 = -. (10)
r(z)
and where the Gamma function is given by Hankel’s contour
integral [ 8 , p. 2551.
However, (7) can be computed without resort to complex
that is, for a specifiedPF we establish a threshold according to integration methods by noting for k an integer that Pochham-
(6).Nowthecomputationallymorecomplexquestionis: mer’s symbol
Whatprobability of detection isachieved forthisthreshold
value E? The answer is
1

P D = l p(?IN,C)dC^=l -P(C^<E)N,C) is the product of K incrementallyincreasingterms.Nowin

(9) when 2 = EC # 0, the first term To = 1 and the ratio of
<
where P(2 E IN,C ) is the cumulative distribution function. the kth to the( k - 1)st term is
The CDF is given by [ 3, eq. (Id)] as
T k = (k -1-l)(k-l+l-N)z
Tk- 1 k2
Now each term in the sum can be computed from the previous
term in a simple fashion. Indeed, the actual computations can
where be implemented in Basic on the Hewlett-Packard 9830A desk-
top calculator in less than 30 lines of code (more specifically,
Z = EC; in less than 250 sixteen bit words of memory). The computer

R= [E]“: program listing is available in [ 51 .

EXAMPLE
2F1= hypergeometric function. For models of the form
The hypergeometric function is, in general, an infinite series; x ( t ) = 21 0 ) + n l ( t ) (134
however, for negative integers, it is given by [ 8, eq. (15.4.1)]
as Y ( t ) = 22 ( t )+ n2 0) (13b)
where q ( t ) is the output of a linear filter Hi(f) excited by
s ( t ) , i = 1, 2 and the noises are mutually uncorrelated and un-
correlated with the signal, then it can be shown that
92 IEEE TRANSACTIONS ON ACOUSTICS,SPEECH, AND SIGNAL PROCESSING, FEBRUARY 1977

N=8

I
1
PF

Fig.2. ROCcurvesforN=8,C=0.1,0.2,0.3

REFERENCES
that is, the coherence between two receivers is the product of [ l ] A. S. Gevins, C. L. Yeager, S . L. Diamond, J. P.Spire, G. M.
the coherence between the source and each of the individual Zeitlin, and A. H. Gevins,“Automatedanalysis of the electrical
activityof the humanbrain(EEG): A progress report,” Proc.
receivers for the model (18). Substituting from [ 3 J for the IEEE,vol. 63, pp. 1382-1399,Oct. 1975.
model in (13) results in [2] N.Wiener, “Generalizedharmonicanalysis,” ActaMath. vol.
5 5 , pp. 117-258, 1930.
[3] G. C. Carter,C. H. Knapp,and A. H. Nuttall,“Estimationof
themagnitude-squaredcoherence function via overlapped fast
Fourier transform processing,” IEEE Trans. Audio Electroacoust.,
Now if C,,(f) = C s y ( f )= [C,,(f)] I/’, then it follows that V O AU-21,
~. pp. 337-344, Aug. 1973.
[4] V. A. Benignus, “Estimation of coherence spectrum of non gaus-
sian time series populations,” IEEE Trans. Audio Electroacoustic.,
vol. AU-17, pp. 198-201, Sept. 1969.
[5] G. C. Carter,“Timedelayestimation,”Ph.D.dissertation,Univ.
Hence, for models of the form of (1 3) if we want to look at Connecticut, Storrs, 1976; also NUSC Rep. 5335.
the 0 dB (or equalsignal to noise) case, we must select [6] G. C. Carter and C. H. Knapp, “Coherence and its estimation via
the partitioned modified chirpZ transform,” ZEEE Trans. Acoust.,
Speech, Signal Processing, vol. ASSP-23, pp. 257-264, June 1975.
[7] G. C. Carter and A. H. Nuttall, “Statistics of the estimate of co-
herence,”Proc. IEEE, vol. 60, pp. 465-466, Apr. 1972.
whichimplies C = 0.25. The ROC curves for C = 0.25 and [8] M. Abramowitz and 1. A. Stegun, ed., HandbookofMathematical
N = 4, 8, and 16 independent data segments aregiven in Fig. 1. Functions With Formulas, Graphs, and Mathematical Tables, US.
(Each of the three curves was computed at 25 abscissa values; Government Printing Office, Washington,DC, 1964.
191 R.Trueblood, MultipleCoherence, NUC TechnicalPublication
the computation time for the N = 8 curve was approximately (Draft), May 1976.
6 5 s on the HP9830A and four times as long for N twice as
large.) As seen in Fig. 1, performance can be improved by in-
creasing N , if a sufficient amount of stationary data exists; if / f 7 7 - =’ . :; 3 d ” p
not, N can only be increased at the expense of degrading the
frequency resolution with its inherent difficulties [ 6 J . If N is Comments on “On the Stability of the Least Mean-Square
fixed, performance is determined by the underlying coherence Inverse Process in Two-Dimensional Digital Filters”
or, equivalently, the signal t o noise ratio ( 1 7) (see e.g., Fig. 2).
For many particular problems, the performance will be desired Y. GENIN AND Y. KAMP
for different values of N and C. Because of the large number
of possible choices for these parameters, we will not present
an exhaustive series of results. More extensive plots and con- Abstract-Simple counterexamples show that the main result in the
clusions are available in [ 91 and related independent work. above paper’ is false.
ACKNOWLEDGMENT
Manuscript received March 15, 1975;revised June 22,1976.
The idea for computing ROC curves for threshold coherence The authors are with MBLE Research Laboratory, Brussels, Belgium.
estimates was suggested to the author by R. Trueblood, Naval J. B. Bednar, IEEE Trans. Acoust., Speech, Signal Processing, vol.
Undersea Center, San Diego, CA. ASSP-23, pp. 583-585, Dec. 1975.