A Probabilistic Spectral Analysis of Multivariate Real-Valued Nonstationary Signals
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A class of multivariate spectral representations for real-valued nonstationary random variables is introduced, which is characterised by a general complex Gaussian distribution. In this way, the temporal signal properties – harmonicity, wide-sense stationarity and cyclostationarity – are designated respectively by the mean, Hermitian variance and pseudo-variance of the associated time-frequency representation (TFR). For rigour, the estimators of the TFR distribution parameters are derived within a maximum likelihood framework and are shown to be statistically consistent, owing to the statistical identifiability of the proposed distribution parametrization. By virtue of the assumed probabilistic model, a generalised likelihood ratio test (GLRT) for nonstationarity detection is also proposed. Intuitive examples demonstrate the utility of the derived probabilistic framework for spectral analysis in low-SNR environments.
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