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Exact Distribution and High-Dimensional Asymptotics for Improperness Test of Complex Signals Florent Chatelain, Nicolas Le Bihan

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Exact Distribution and High-Dimensional Asymptotics for Improperness Test of Complex Signals Florent Chatelain, Nicolas Le Bihan Exact Distribution and High-dimensional Asymptotics for Improperness Test of Complex Signals Florent Chatelain, Nicolas Le Bihan To cite this version: Florent Chatelain, Nicolas Le Bihan. Exact Distribution and High-dimensional Asymptotics for Improperness Test of Complex Signals. ICASSP 2019 - IEEE International Conference on Acoustics, Speech and Signal Processing, May 2019, Brighton, United Kingdom. pp.8509-8513, 10.1109/ICASSP.2019.8683518. hal-02148428 HAL Id: hal-02148428 https://hal.archives-ouvertes.fr/hal-02148428 Submitted on 5 Jun 2019 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. EXACT DISTRIBUTION AND HIGH-DIMENSIONAL ASYMPTOTICS FOR IMPROPERNESS TEST OF COMPLEX SIGNALS Florent Chatelain and Nicolas Le Bihan Univ. Grenoble Alpes, CNRS, Grenoble INPy, GIPSA-Lab, 38000 Grenoble, France. y: Institute of Engineering Univ. Grenoble Alpes ABSTRACT representation to study the Generalized Likelihood Ratio Test (GLRT). In the scalar case, the notion of proper/improper ran- Improperness testing for complex-valued vectors and pro- dom variable can be phrased as follows: A complex random cesses has been of interest lately due to the potential ap- variable is called proper if it is uncorrelated with its complex plications of complex-valued time series analysis in several conjugate. Note that properness is a less general notion than research areas. This paper provides exact distribution charac- circularity which qualifies a complex random variable whose terization of the GLRT (Generalized Likelihood Ratio Test) pdf is invariant by rotation in the complex plane. In the Gaus- statistics for Gaussian complex-valued signals under the null sian setting where the variable distribution depends only on hypothesis of properness. This distribution is a special case second-order statistics, these two properties become equiva- of the Wilks’s lambda distribution, as are the distributions lent. In terms of real and imaginary parts of the complex vari- of the GLRT statistics in multivariate analysis of variance able, properness means that both real and imaginary have the (MANOVA) procedures. In the high dimensional setting, same variance and that their cross-covariance vanishes. The i.e. when the size of the vectors grows at the same rate as concept of properness extends to complex-valued vectors in a the number of samples, a closed form expression is obtained straight manner (see [6, 7]). for the asymptotic distribution of the GLRT statistics. This We consider N-dimensional complex-valued centered is, to our knowledge, the first exact characterization for the random vectors z = u + iv, i.e. u and v are N-dimensional GLRT-based improperness testing. real vectors with zero mean. In short, we have z 2 CN , Index Terms— Complex signals, improperness, GLRT, u 2 RN and v 2 RN . The real vector representation of high-dimensional statistics, Wilks’s Lambda distribution N T T T 2N z 2 C consists in using x = u ; v 2 R . The second order statistics of z 2 CN are thus contained in the 1. INTRODUCTION real-valued covariance matrix C 2 R2N×2N of x given by: C C Complex-valued time series and vectors have attracted atten- C = uu uv (1) tion lately for their ability to model signals from a broad range Cvu Cvv of applications including digital communications [1], seis- N×N where Cab 2 R denotes the real-valued (cross)covariance mology [2], oceanography [3] or gravitational-waves physics T matrix between real vectors a and b, with Cba = Cab. [4] to name just a few. Among the specific features of com- A complex-valued Gaussian vector is called proper iff the plex datasets, the notion of properness (or second order cir- following two conditions hold: cularity [5]), in the Gaussian case, is of major importance as it relates invariance of the probability density function to the T Cuu = Cvv and Cuv = −Cuv (2) correlation coefficients of complex vectors. The consequence of properness/circularity on complex random vectors and sig- If these conditions are not fulfilled, then z is called improper. nals statistics was studied at large extent in [6, 7]. Testing Testing for improperness of a complex Gaussian vector for improperness of complex vectors/signals was investigated was studied in the seminal work of Andersson [10] where by several authors [8, 9] in the signal processing community. authors used the 2N-dimensional real-valued representation However, it was indeed considered a long time ago by statis- of complex N-dimensional vectors. They derived the maxi- ticians [10]. In the signal processing literature, authors have mal invariant statistics for complex vectors and characterized mainly used the augmented complex representation - a twice the joint distribution of those statistics together with using bigger vector made of the concatenation of the complex vec- them for improperness testing. In [8, 1], authors proposed tor and its conjugate - while an equivalent real-valued repre- a GLRT test based on the augmented complex representation, sentation using real and imaginary parts was preferably used and highlighted its connection with canonical correlation co- by statisticians. In the sequel, we will make use of this latter efficients. Results showing the equivalence of the maximal in- variant statistics approach (derived from the 2N-dimensional Lemma 2.1. Any matrix C 2 S can be written as: real-valued representation) with the canonical correlation co- I + D 0 efficients derived from the complex structure were obtained C = G N λ GT ; in [9], together with a numerical study of the GLRT Barlett 0 IN − Dλ asymptotic distribution (in the large sample size case with where G 2 G, I is the N × N identity matrix and D = small or fixed dimension of the complex vector z). N λ diag(λ ; : : : ; λ ) is an N ×N diagonal matrix. The diagonal The original contribution of the presented work is twofold. 1 N entries of D denoted as λ for 1 ≤ i ≤ N, are the non- It consists 1) in the identification of the exact distribution of λ i negative eigenvalues of the following 2N×2N real symmetric GLRT statistics under the null hypothesis of properness, matrix which reduces to a special case of Wilks’s lambda distribu- tion, and 2) in the derivation of the asymptotic distribution − 1 − 1 Γ(C) = C_ 2 C¨ C_ 2 : for the GLRT statistics in the high dimensional case (vector and sample sizes growing at the same rate). They satisfy the following properties: 1) λi and −λi, for 1 ≤ i ≤ N, form the set of eigenvalues of the 2N × 2N matrix 2. TESTING FOR IMPROPERNESS Γ(C), and 2) λi 2 [0; 1] with, by convention, the following ordering 1 ≥ λ1 ≥ ::: ≥ λN ≥ 0. 2.1. Testing problem Proof. See [10, lemma 5.1 and 5.2]. In several applications, it is common use to model the sig- Lemma 2.1 shows that any invariant parameterization of nal/vector of interest, denoted z, as being improper and cor- the covariance matrix C for the group action of G depends rupted by proper noise. Consequently, statistical tests have only on the N (positive) eigenvalues 1 ≥ λ1 ≥ ::: ≥ λN ≥ been proposed to investigate the properness/improperness of 0. Thus these eigenvalues are termed as maximal invariant a signal given a sample, from which one will decide: parameters [11, Chapter 6]. Moreover under the null hypoth- ¨ ( esis H0, it comes that λ1 = ::: = λN = 0 as C reduces to H : z is proper if condition (2) holds 0 (3) the zero matrix according to (2). Within the invariant param- H1 : z is improper otherwise eterization, the testing problem in (3) becomes ( H : λ = 0; for 1 ≤ i ≤ N; 2.2. Invariant parameters 0 i (4) H1 : λi ≥ 0; for 1 ≤ i ≤ N: Let G be the set of nonsingular matrices G 2 R2N×2N s.t. Note that the invariance property ensures that the test does not G −G depend on the (common) representation basis of the real and G = 1 2 ; G2 G1 imaginary parts of z, i.e. vectors u and v. N×N where G1; G2 2 R . Let S be the set of all 2N × 2N 2.3. Invariant statistics real symmetric definite positive matrices. According to the Consider we have a sample of size M, denoted X = fx gM , test formulation (3) and condition (2), the null hypothesis H0 m m=1 T T T is equivalent to C 2 T = S\G. where xm = [um; vm] are 2N-dimensional i.i.d. Gaussian As explained in [10], G is a group (isomorphic to the real vectors with zero mean and covariance matrix C. In the Gaussian framework, a sufficient statistics is given by the group GLN (C) of nonsingular N × N complex matrices un- 2N × 2N sample covariance matrix der the mapping G $ G1 + iG2). Moreover G acts transi- tively on T under the action (G; T) 2 G × T 7! GTGT 2 S S T . Thus, a parametric characterization of H should be in- S = uu uv 0 S S variant to this group action: the value of the parameters to be vu vv T tested should be the same for C and GCG for any G 2 G. N×N with Sab 2 R the real-valued sample (cross)covariance We introduce the following decomposition C = C_ + C¨ for M M matrix of real vectors famgm=1 and fbmgm=1 such that any C 2 S where 1 PM T Sab = M m=1 ambm.
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