Extraction of unknown signals in arbitrary noise

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Department of Mathematical Sciences; Department of Physics


We devise a general method to extract weak signals of unknown form, buried in noise of arbitrary distribution. Central to it is signal-noise decomposition in rank and time: only stationary white noise generates data with a jointly uniform rank-time probability distribution, U(1,N)×U(1,N), for N points in a data sequence. We show that rank, averaged across jointly indexed series of noisy data, tracks the underlying weak signal via a simple relation, for all noise distributions. We derive an exact analytic, distribution-independent form for the discrete covariance matrix of cumulative distributions for independent and identically distributed noise and employ its eigenfunctions to extract unknown signals from single time series.

Publication Title

Physical Review E