J. M. Lilly

J. M. Lilly
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J. M. Lilly
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Statistics - Methodology (14)
 
Physics - Atmospheric and Oceanic Physics (8)
 
Statistics - Applications (6)
 
Statistics - Theory (4)
 
Mathematics - Statistics (4)
 
Physics - Fluid Dynamics (3)
 
Physics - Data Analysis; Statistics and Probability (2)
 
Statistics - Computation (2)
 
Statistics - Machine Learning (2)
 
Mathematics - Functional Analysis (1)
 
Mathematics - Mathematical Physics (1)
 
Mathematical Physics (1)

Publications Authored By J. M. Lilly

A method is derived for the quantitative analysis of signals that are composed of superpositions of isolated, time-localized "events". Here these events are taken to be well represented as rescaled and phase-rotated versions of generalized Morse wavelets, a broad family of continuous analytic functions. Analyzing a signal composed of replicates of such a function using another Morse wavelet allows one to directly estimate the properties of events from the values of the wavelet transform at its own maxima. Read More

We propose a new class of univariate nonstationary time series models, using the framework of modulated time series, which is appropriate for the analysis of rapidly-evolving time series as well as time series observations with missing data. We extend our techniques to a class of bivariate time series that are isotropic. Exact inference is often not computationally viable for time series analysis, and so we propose an estimation method based on the Whittle-likelihood, a commonly adopted pseudo-likelihood. Read More

The Whittle likelihood is a computationally efficient pseudo-maximum likelihood inference procedure which is known to produce biased parameter estimates for large classes of time series models. We propose a method for de-biasing Whittle likelihood parameter estimates for second-order stationary stochastic processes. We demonstrate how to compute the de-biased Whittle likelihood in the same $\mathcal{O}(n\log n)$ computational efficiency as standard Whittle likelihood. Read More

Stochastic process exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm). In particular, the spectral slope at high frequencies is associated with the degree of small-scale roughness or fractal dimension. However, a broad class of real-world signals have a high-frequency slope, like fBm, but a plateau in the vicinity of zero frequency. Read More

We propose a simple stochastic process for modeling improper or noncircular complex-valued signals. The process is a natural extension of a complex-valued autoregressive process, extended to include a widely linear autoregressive term. This process can then capture elliptical, as opposed to circular, stochastic oscillations in a bivariate signal. Read More

We propose a novel algorithm for testing the hypothesis of nonstationarity in complex-valued signals. The implementation uses both the bootstrap and the Fast Fourier Transform such that the algorithm can be efficiently implemented in O(NlogN) time, where N is the length of the observed signal. The test procedure examines the second-order structure and contrasts the observed power variance - i. Read More

This paper proposes stochastic models for the analysis of ocean surface trajectories obtained from freely-drifting satellite-tracked instruments. The proposed time series models are used to summarise large multivariate datasets and infer important physical parameters of inertial oscillations and other ocean processes. Nonstationary time series methods are employed to account for the spatiotemporal variability of each trajectory. Read More

There are three equivalent ways of representing two jointly observed real-valued signals: as a bivariate vector signal, as a single complex-valued signal, or as two analytic signals known as the rotary components. Each representation has unique advantages depending on the system of interest and the application goals. In this paper we provide a joint framework for all three representations in the context of frequency-domain stochastic modeling. Read More

The generalized Morse wavelets are shown to constitute a superfamily that essentially encompasses all other commonly used analytic wavelets, subsuming eight apparently distinct types of analysis filters into a single common form. This superfamily of analytic wavelets provides a framework for systematically investigating wavelet suitability for various applications. In addition to a parameter controlling the time-domain duration or Fourier-domain bandwidth, the wavelet {\em shape} with fixed bandwidth may be modified by varying a second parameter, called $\gamma$. Read More

A modulated oscillation in two or three dimensions can be represented as the trajectory traced out in space by a particle orbiting an ellipse, the properties of which vary as a function of time. Generalizing ideas from signal analysis, the signal variability can be described in terms of kinematic quantities, the instantaneous moments, that formalize our intuitive notions of time-varying frequency and amplitude. On the other hand, if we observed an ellipse evolving in space we would seek to describe it in terms of its physical moments, such as angular momentum, moment of inertia, etc. Read More

A method for extracting time-varying oscillatory motions from time series records is applied to Lagrangian trajectories from a numerical model of eddies generated by an unstable equivalent barotropic jet on a beta plane. An oscillation in a Lagrangian trajectory is represented mathematically as the signal traced out as a particle orbits a time-varying ellipse, a model which captures wavelike motions as well as the displacement signal of a particle trapped in an evolving vortex. Such oscillatory features can be separated from the turbulent background flow through an analysis founded upon a complex-valued wavelet transform of the trajectory. Read More

Subsurface float and moored observations are presented to show for the first time the formation and propagation of anticyclonic submesoscale coherent vortices that transport relatively cold, fresh subpolar water to the interior subtropical North Atlantic. Acoustically tracked RAFOS floats released in the southward-flowing Western Boundary Current at the exit of the Labrador Sea reveal the formation of three of these eddies at the southern tip of the Grand Banks (42 N, 50 W). Using a recently developed method to detect eddies in float trajectories and estimate their kinematic properties, it was found that the eddies had average rotation periods of 5--7 days at radii of 1025 km, with mean rotation speeds of up to 0. Read More

The analysis of the fully three-dimensional and time-varying polarization characteristics of a modulated trivariate, or three-component, oscillation is addressed. The use of the analytic operator enables the instantaneous three-dimensional polarization state of any square-integrable trivariate signal to be uniquely defined. Straightforward expressions are given which permit the ellipse parameters to be recovered from data. Read More

The concept of a common modulated oscillation spanning multiple time series is formalized, a method for the recovery of such a signal from potentially noisy observations is proposed, and the time-varying bias properties of the recovery method are derived. The method, an extension of wavelet ridge analysis to the multivariate case, identifies the common oscillation by seeking, at each point in time, a frequency for which a bandpassed version of the signal obtains a local maximum in power. The lowest-order bias is shown to involve a quantity, termed the instantaneous curvature, which measures the strength of local quadratic modulation of the signal after demodulation by the common oscillation frequency. Read More

The generalizations of instantaneous frequency and instantaneous bandwidth to a bivariate signal are derived. These are uniquely defined whether the signal is represented as a pair of real-valued signals, or as one analytic and one anti-analytic signal. A nonstationary but oscillatory bivariate signal has a natural representation as an ellipse whose properties evolve in time, and this representation provides a simple geometric interpretation for the bivariate instantaneous moments. Read More

The influence of higher-order wavelet properties on the analytic wavelet transform behavior is investigated, and wavelet functions offering advantageous performance are identified. This is accomplished through detailed investigation of the generalized Morse wavelets, a two-parameter family of exactly analytic continuous wavelets. The degree of time/frequency localization, the existence of a mapping between scale and frequency, and the bias involved in estimating properties of modulated oscillatory signals, are proposed as important considerations. Read More

An exact and general expression for the analytic wavelet transform of a real-valued signal is constructed, resolving the time-dependent effects of non-negligible amplitude and frequency modulation. The analytic signal is first locally represented as a modulated oscillation, demodulated by its own instantaneous frequency, and then Taylor-expanded at each point in time. The terms in this expansion, called the instantaneous modulation functions, are time-varying functions which quantify, at increasingly higher orders, the local departures of the signal from a uniform sinusoidal oscillation. Read More