Understanding and Using the Statistics of Communication Signals

The Spectral Coherence Function

In this post I introduce the spectral coherence function, or just coherence. It deserves its own post because the coherence is a useful detection statistic for blindly determining significant cycle frequencies of arbitrary data records.

Let’s start with reviewing the standard correlation coefficient defined for two random variables and as

where and are the mean values of and , and and are the standard deviations of and . That is,

So the correlation coefficient is the covariance between and divided by the geometric mean of the variances of and .

where the expectation operator can be either a time average or the ensemble average used in a stochastic-process formulation. For each finite , we can consider the quantity

which is the correlation between the two random variables and . To form the correlation coefficient, we need the variances for these two random variables,

and

Here we are assuming that the two variables have zero means, which is true when there is no additive sine-wave component in the data with frequency .

For finite , then, we can form the correlation coefficient

Now, as , the numerator of converges to the spectral correlation function and

and

If the limit of the quotient exists, then the correlation coefficient is given by

We call this function the spectral coherence. A similar argument holds for the conjugate spectral coherence,

Since the coherence is a valid correlation coefficient, its magnitude will be less than or equal to one, and since the involved random variables are complex-valued, in general, so is the spectral correlation function and the coherence. Therefore, the coherence lies in the closed unit disk in the complex plane.

The data-block length is samples and the frequency resolution (width of in the FSM) is set to (one percent of the sampling rate, which here is ) for both the numerator spectral correlation function and the denominator PSDs.

In practice, of course, the numerator and denominator of the coherence are estimates corresponding to finite-duration data blocks. The tricky part of estimating the coherence involves good selection of the estimator for the denominator PSDs . If the PSDs are not well resolved, or contain zeros, the coherence quotient can be numerically unstable or erroneous.

I'm a signal processing researcher specializing in cyclostationary signal processing (CSP) for communication signals. I hope to use this blog to help others with their cyclo-projects and to learn more about how CSP is being used and extended worldwide.
View all posts by Chad Spooner

2 thoughts on “The Spectral Coherence Function”

I cannot help asking you how to estiamte the denominator PSDs? I supposed that the FAM or SSCA based SCF estimates are obtained. Then I think FFT algorithm is a must to avoid computational complexity when estimating PSDs. I have tried a lot but I cannot present a detail solution to estimate PSDs furthermore.
So could you please give some advice?

Did you look at the discussion of coherence and PSD estimates in the FAM post? Also be sure to look through the comments of that post and the SSCA post; there is relevant material there too.

I cannot help asking you how to estiamte the denominator PSDs? I supposed that the FAM or SSCA based SCF estimates are obtained. Then I think FFT algorithm is a must to avoid computational complexity when estimating PSDs. I have tried a lot but I cannot present a detail solution to estimate PSDs furthermore.

So could you please give some advice?

Did you look at the discussion of coherence and PSD estimates in the FAM post? Also be sure to look through the comments of that post and the SSCA post; there is relevant material there too.