Robust coherent and incoherent statistics for detection of hidden periodicity in models with non-Gaussian additive noise

Abstract

We address the issue of detecting hidden periodicity when the signal exhibits periodic correlation, but is additionally affected by non-Gaussian noise with unknown characteristics. This scenario is common in various applications. The conventional approach for identifying periodically correlated (PC) behavior involves the frequency domain-based analysis. In our investigation, we also employ such an approach; however, we use a robust version of the discrete Fourier transform incorporating the Huber function-based M-estimation, unlike the classical algorithm. Building upon this approach, we propose robust coherent and incoherent statistics originally designed to identify hidden periodicity in pure PC models. The novelty of this paper lies in introducing robust coherent and incoherent statistics through the application of the robust discrete Fourier transform in classical algorithms and proposing a new technique for period estimation based on the proposed methodology. We explore two types of PC models and two types of additive noise, resulting in PC signals disturbed by non-Gaussian additive noise. Detecting hidden periodicity in such cases proves to be significantly more challenging than in classical scenarios. Through Monte Carlo simulations, we demonstrate the effectiveness of the proposed robust approaches and their superiority over classical. To further substantiate our findings, we analyze three datasets in which hidden periodicity had previously been confirmed in the literature. Among them, two datasets correspond to the condition monitoring area, being a main motivation of our research.