Universal analytic properties of noise. Introducing the J-Matrix formalism

Details Universal analytic properties of noise. Introducing the J-Matrix formalism Universal analytic properties of noise. Introducing the J-Matrix formalism

2008-07-19

arxiv.org/abs/0807.3101v2

Physics

Data Analysis, Statistics and Probability

14 pages, 8 figures

Scientific paper

We propose a new method in the spectral analysis of noisy time-series data for damped oscillators. From the Jacobi three terms recursive relation for the denominators of the Pad\'e Approximations built on the well-known Z-transform of an infinite time-series, we build an Hilbert space operator, a J-Operator, where each bound state (inside the unit circle in the complex plane) is simply associated to one damped oscillator while the continuous spectrum of the J-Operator, which lies on the unit circle itself, is shown to represent the noise. Signal and noise are thus clearly separated in the complex plane. For a finite time series of length 2N, the J-operator is replaced by a finite order J-Matrix J_N, having N eigenvalues which are time reversal covariant. Different classes of input noise, such as blank (white and uniform), Gaussian and pink, are discussed in detail, the J-Matrix formalism allowing us to efficiently calculate hundreds of poles of the Z-transform. Evidence of a universal behaviour in the final statistical distribution of the associated poles and zeros of the Z-transform is shown. In particular the poles and zeros tend, when the length of the time series goes to infinity, to a uniform angular distribution on the unit circle. Therefore at finite order, the roots of unity in the complex plane appear to be noise attractors. We show that the Z-transform presents the exceptional feature of allowing lossless undersampling and how to make use of this property. A few basic examples are given to suggest the power of the proposed method.

Affiliated with

Also associated with

No associations

Rating

Universal analytic properties of noise. Introducing the J-Matrix formalism does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Universal analytic properties of noise. Introducing the J-Matrix formalism, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Universal analytic properties of noise. Introducing the J-Matrix formalism will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-390771