Modelling of complex signals using gaussian processes

In complex-valued signal processing, estimation algorithms require complete knowledge (or accurate estimation) of the second order statistics, this makes Gaussian processes (GP) well suited for modelling complex signals, as they are designed in terms of covariance functions. Dealing with bivariate signals using GPs require four covariance matrices, or equivalently, two complex matrices. We propose a GP-based approach for modelling complex signals, whereby the second-order statistics are learnt through maximum likelihood; in particular, the complex GP approach allows for circularity coefficient estimation in a robust manner when the observed signal is corrupted by (circular) white noise.

The proposed model is validated using climate signals, for both circular and non circular cases. The results obtained open new possibilities for collaboration between the complex signal processing and Gaussian processes communities towards an appealing representation and statistical description of bi variate signals.