First Begin with Confidence intervals on Spectra

Two Ways
One is to put them on each frequency
Simply
2
, 2 /
yy
yy
2
, 2 / 1
yy
) f ( G
~
) f ( G
) f ( G
~

< <

where Gyy is the true spectrum an ~G is the estimate!

"ote that the e#rees of $reeom are epen on the winowin# as follows (% half
winow with, " len#th of time series)
Winow &O$
Truncate 'erioo#ram "/%
Trian#le ((artlett) )"/%
*annin# Winow +/)("/%)

The a,o-e confience inter-al are a function of frequency.an this is what the -arious
spectrum routines in %/T0/( will o! What confience limits on spectra are #oo for
is that it allows you to say that one pea1 is statistically ifferent than another pea1!
$or e2ample run matla, coe re!m which is (i thin1) an auto3re#ressi-e noise funtion
2(t4t)52(t) 4 ranom noise
sometimes shows remar1a,le oscillatory ,eha-ior
(ut spectrum is re.an shows no statistically si#nificant pea1s!
The a,o-e confience inter-al coul also ,e #raphe as a sin#le line in lo# space!
Ta1e the lo#16 of a,o-e an you #et
) lo#( )) f ( G
~
lo#( )) f ( G lo#( ) lo#( )) f ( G
~
lo#(
2
, 2 /
yy yy
2
, 2 / 1
yy

< <
Which can ,e written as7
) lo#( )) f ( G
~
lo#( )) f ( G lo#( ) lo#(
2
, 2 /
yy yy
2
, 2 / 1
< <
So simply the e#rees of freeom an the confience inter-al efine the confience limits
on a spectrum!
Wavelet Analysis:
A practical guide to Wavelet Analysis C. Torrence and . Co!po" Bulletin of the
A!erican #eteorological Society. $%%&.
http:''paos.colorado.edu'research'wavelets'
O,8ecti-e is to ecomposin# a time series into time3frequency space!
9l "ino:s a #oo e2ample of the nee to o this ,ecause the statistics of the ata chan#es!
%eanin# that, for e2ample, the frequency content of 9"SO urin# the late 1+66:s iffers
in a statistically si#nificant sense from 9"SO urin# say the 1;26:s!
Some of the earlier papers.such as 0au an Wen#.o not present ways to access
statistical si#nificance of wa-elet analysis! This seems to me to ,e the ,i##est challen#e
to con-incin#ly usin# wa-elets!
Windowed Fourier Transfor! represents on analysis tool for e2tractin# local frequency
information from a si#nal! The $ourier transform is performe on a sliin# se#ment of
len#th T an time step t! Se#ments can ,e winowe with ar,itrary functions such a
,o23car, cosine, Guassian etc!
(ut this is an inaccurate an inefficient metho of time3frequency locali<ation, ,ecause it
imposes a scale T into the analysis! This alias frequencies that o not fall into the
winow!
Wavelet Transfor!.
Time series 2
n
, n56,1,2,=,"31
/n a wa-elet function (for e2ample the %orlet wa-elet, consistin# of a plane wa-e
moulate ,y a Gaussian)
( ' ) ' $
(
* +
n i
o
e e
o

Where is a normali<e time
The continuous wa-elet transformation of a iscrete series 2
n
is efine as the
con-olution of 2
n
with a scale an translate -ersion of
* +
,

1
]
1

$
, -
* - +
.
$
* +
N
n
n n
s
t
x
N
s W

where s is the wa-elet scale! (y -aryin# the s an translatin# alon# the locali<e time
ine2 n one constructs a picture showin# ,oth the amplitue of any feature -erses the
scale an how this amplitue -aries with time!
While this a,o-e equation can ,e use to calculate the wa-elet transformation it is much
faster to o it in the frequency omain ($ourier Space)!
To appro2imate the continuous wa-elet transformation the a,o-e con-olution woul ,e
one " times for each scale, where " is the num,er of ata points in the recor!
>>(y choosin# " points the con-olution theorem allows us to o all " con-olutions
simultaneously in $ourier space usin# a iscrete transformation

$
,
' (
/
N
n
N ikn
n k
e x x

Thus ,y the con-olution theorem the wa-elet transformation is the in-erse $ourier
transform of the prouct (note that the $ourier transform of a function
* + * ' + sw s t
t n iw
k
N
k
k n
k
e s x s W

* + / * +
$
,

'

>

(
:
(
(
:
(
N
k
t N
k
N
k
t N
k
k

What:s the eal with these frequencies #reater than "yquist> They are ne#ati-e ,ut
remain a,o-e 1/2t
To ensure that the wa-elet transform transformation at each scale are compara,le the
wa-elet function nees to ,e normali<e for each s so that it has unit ener#y!
* + /
(
* + /
k o k
s
t
s
sw

,
_

The wa-elet functions in ta,le 1 alreay are alreay normali<e ,ecause

$ - 0 * - + / 0
(
,
w w
?sin# these normali<ations, at each scale s one has
N s
N
k
k

$
,
(
0 * + / 0
Thus the wa-elet transform is wei#hte only ,y the amplitue of the function 2
1
an not
,y the wa-elet function!
Wavelet ower
0i1e the $ourier transform the wa-elet transform is in #eneral comple2 an is often
characteri<e in terms of it:s power an phase.ientically as we:-e seen in the cross3
spectral analysis! *owe-er, for real -alue wa-elet winows (such as &eri-ati-es of a
Gaussian) &OG the ima#inary part is <ero!
The e2pectation -alue of the wa-elet power is equal to " time the e2pectation -alue of
fft(2)! $or a white noise spectrum the e2pectation -alue is
2
/ where is the stanar
e-iation!
Show $i#ure 1,
One can see the -ariations in the frequency of occurrence an amplitue of 9l "ino an
0a "ina e-ents!
Wavelet ower
One criticism of wa-elet analysis is the ar,itrary choice of the wa-elet function ( thou#h
wa-eletolo#ists @ which is what you all will ,e ,y the en of the lecture.will aru#e that
the same ar,itrary choice is mae usin# the $ourier, (essel, 0e#eenre transformation)
Still, there shoul ,e se-eral factors which shoul ,e consiere in choosin# a wa-elet
function!
1rthogonal or non2orthogonal
Ortho#onal wa-elet analysis #i-es the most compact representation of the si#nal ,ut
suffers if there is an aperioic shift in the time series the wa-e3let representation chan#es!
Aon-ersely an non3ortho#onal wa-elet analysis is hi#hly reunant at lar#e scales where
the wa-elet spectrum at a8acent times in hi#hly correlate! This is useful for recors that
show smooth -ariations in spectral characteristics! This is what is use in this paper!
3eal or Co!ple4
Aomple2 returns phase information, a real only power, ,ut is useful in pinpointin# pea1
frequency!
Wide'5arrow
Bt:s a trae off! / wie wa-elet function will #i-e #oo frequency resolution at the loss
of time resolution, while a narrow wa-elet function will yiel #oo time resolution an
poor frequency resolutions!
Shape
Ceflect the type of feature in the time series! Cecors with sharp 8umps of sets shoul use
a ,o23car li1e function such as the *arr, while for smoothly -aryin# time3series a smooth
function such as a ampe cosine is recommene! 'ower spectral estimates are not
sensiti-e to the shape of the function.,ut phase estimates are!
lot Figure ( +or #AT6AT representation of wavelets*
Show figure $c7using the real valued #e4ican 8at wavelet +91:*" !ost nota;le
difference is the find scale structure pic<ed up ;y the #e4ican 8at function.
The %e2ican hat is a narrow winow @ compare to the %orlet.an thus we see a finer
(,roaer) temporal (frequency) resolution of its wa-elet then the %orlet!
Choice of Scales
$or Ortho#onal wa-elet one is limite to a iscrete set of scales ($ar#e, 1;;2)
$or non3ortho#onal you can use an ar,itrary set of scales to ,uil up a more complete
picture!
Bt is con-enient to write the scales as fractional powers of two!
* ' + log
"..." $ " , (
, (
$
s t N j J
j j s s
j j
o j

Where So is the smallest resol-a,le scale an D etermines the lar#est scale! So shoul
,e chosen to ,e equal to the "yquist frequency!
$or fi#ure 1, "5E6F,t56!2E years, s
o
52t, 85!12E an D52F #i-in# a total of EG scales
ran#in# from 6!E yr up to FH years!
Cone of =nfluence.
The cone of influence is the re#ion of the wa-elet spectrum in which e#e effects ,ecome
important!
Similar to spectral analysis errors will occur at the ,e#innin# an ens of the spectrum
,ecause of the limite time series! Bn this e2ample they pae with enou#h <eros to the
ne2t power of two.this limits e#e effects an spees up fft!
'ain# with <eros introuces iscontinuities at the enpoints an, as one #oes to lar#er
scales, ecreases the amplitue near the e#e as more <eros are ae! The cone of
influence is the re#ion of the wa-elet spectrum in which effects ,ecome important! This
is efine as the e3folin# time for the autocorrelation of wa-elet power at each scale! Bt
is chosen so that the wa-elet an ensures that the power for a iscontinuity rops ,y a
factor of e
32
an ensures that e#e effects are ne#li#i,le ,eyon this point!
$or a cyclic recor.such latituinal strip of the earth.no pain# is neee an there is
no cone of influence!
Wavelet Scale and Fourier Fre>uency
The pea1 of the wa-elet spectrum oes not occur at the same pea1 frequency of the
$ourier transform (in fi#ure 2 it shoul ,e 1)!
/nalytical relationships e2ist ,etween the equi-alent $ourier 'erio an the wa-elet
scale! Bt can ,e eri-e ,y su,stitutin# a cosine wa-e of a 1nown frequency into
t n iw
k
N
k
k n
k
e s x s W

* + / * +
$
,

an computin# the scale s at which the wa-elet power spectrum reaches it:s ma2imum!
$or the %orlet wa-elet with
o
5F the $ourier wa-elen#th 1.03s inicatin# that for this
%orlet wa-elet scale is almost equal to the $ourier perio!
3econstruction
Wa-elet transform is a ,anpass filter with a 1now response function (the wa-elet
function)! This is one to chec1 accuracy! $or ortho#onal wa-elet transformation it is
strai#htforwar ,y a econ-olution (econ-!m)! $or continuous wa-elet transform one
reconstructs the time series ,y use of the elta function!

J
j
j
j n
n
s
s W al
C
t j
x
,
( ' $
( ' $
*? + @ 3e
* , +

where sqrt(S8) con-erts the wa-elet transform to an ener#y ensity an the factor Aelta
comes from the reconstruction of a elta function from its wa-elet transform usin# the
function
* +
o
! A is a constant for each wa-elet function.an #i-en in ta,les (Ta,le
2 in the paper)! Bf the ori#inal time series were comple2 then the sum woul in-ol-e the
comple2 sum!
Bt is possi,le to calculate A for a new wa-elet function.outline in paper!
The total ener#y is conser-e uner the wa-elet transform an the equi-alent 'arse-al:s
theorem for wa-elet analysis is7

$
, ,
(
(
0 * + 0
N
n
J
j j
j n
s
s W
N C
t j

/#ain the reconstructe time series an the -ariance shoul ,e chec1e for accuracy an
to ensure that sufficiently small -alues of So an 8 ha-e ,een chosen!
$or the 9l "ino ) case reconstruction of the time series has a mean square error of 1!HI
Theoretical Spectru! and significance levels.
To etermine si#nificance le-els for either $ourier or wa-let spectra one first nees to
choose an appropriate ,ac1#roun spectrum! Bt is then assume that ifferent reali<ations
of the #eophysical process will ,e ranomly istri,ute a,out this mean or e2pecte
,ac1#roun.an the actual spectrum can ,e compare to the ranom istri,ution!
$or many #eophysical processes we can assume either a white3noise spectrum (flat) or a
re3noise spectrum (increasin# power with ecreasin# frequency)!
/! $ourier noise re spectrum
/ simple moel for re3noise is the uni-ariate la#31 autore#ressi-e process (also calle
the /C(1) or %ar1o-)
n n n
z x x +
$

where alpha is the assume la#31 autocorrelation an <n is a ranom -aria,le!

The iscrete fourier transform of this (after normali<ation) is
* ' ( cos+ ( $
$
(
N k
P
k

where 1 is the frequency ine2!

Thus ,y simply pic1in# the ri#ht alpha we can moel an re3noise process! $or alpha 5 6
this is a white noise process!
$i#ure )!
$$T if 903"B"O is shown in fi#ure ) (thin line) (spectrum normali<e ,y "/2
2
Thus a white noise spectrum woul ha-e -alues of 1 e-erywhere! The lower line is the
mean re3noise spectrum for alpha56!G2! ?pper line is ;EI confience limits
Bf the time series can ,e moele as a lat3/C process then the local wa-elet power
spectra efine as a -ertical slice throu#h 1, is #i-en ,y '1 a,o-e!
The a-era#e of all the local wa-elet spectra approache the Smoothe fourier spectrum fo
the time seires!
Significanced 6evels
The null hypothesis is efine for the wa-elet power spectrum as follows7 Bt is assume
that the time series has a mean power spectrum (such as '15!!)! Bf a pea1 in the wa-elet
spectrum is si#nificantly a,o-e this ,ac1#roun spectrum than it can ,e assume to ,e a
true feature!
Since the square of a normally istri,ute -aria,le is the chi3square istri,ution with one
e#ree of freeom, then
(
0 / 0
k
x is chi3square with two e#rees of freeom!
To etermine the ;EI confience limits one multiplies the ,ac1#roun spectrum '1! (y
the ;EI -alue for chi3square! $i#ure ) Only a few points a,o-e this line!
Bn summary asummin# a mean ,ac1#roun spectrum @ such as re3noise.the
istri,ution for the $ourier power spectrum is!
(
(
(
(
(
$
(
0 / 0

k
k
P
x N

(arrow inicates is istri,ute as)!

The corresponin# istri,ution for the local wa-elet power spectrum is
(
(
(
(
(
$ 0 * + 0

k
n
P
s W
(1+)
at each time n an scale s! (the J remo-es the &O$ factor)
The -aule of '1 is the mean spectrum at the $ourier frequency 1 that correspons the the
wa-elet scale s!
Thus after finin# an appropriate ,ac1#roun spectrum an choosin# particular
confience inter-al for chi3squree on can use 1+ to construct ;E I confience inter-als!
/s with $ourier analysis smoothin# the wa-elet power spectrum can ,e use to increase
the &O$ an enhance confience! ?nli1e $ourier analysis smoothin# can ,e one in the
time or frequency omain!
The ;EI confience le-el for the "ino) SST is shown ,y the thic1 contours on fi#ure 1,
&urin# the 1+GE31;16 an 1;F631;;6 the -ariance in the 23+ year ,an is si#nificant
a,o-e the ;EI confience limits! (ut from 1;2631;F6 there is little a,o-e this
si#nifanance le-el!
Confidence interval
Aonfience inter-al is efine as the pro,a,ility that the true wa-elet power at a certain
time an scale lies within a certain inter-al a,out the estimate wa-elet power!
Cewritin# 1+ as
(
(
(
(
(
$ 0 * + 0

k
n
P
s W
one can then replace the theoretical wa-elet power
2
'
1
as with the true wa-elet power
efine as W
2
(s)! The confience inter-al for the true wa-elet power is then
(
(
(
( (
(
(
0 * + 0
* ( ' $ +
(
0 * + 0 0 * + 0
* ( ' +
(
s W
p
s W s W
p
n n n

< <

Steps for Wavelet analysis:
1) Ahoose mother wa-elet
2) $in (analytical) $ourier transform of mother wa-elet
)) O,tain $$T of time series
H) &efine scales s
s(1)5 "yquist $requnency
1eep ou,lin# frequencies until perio ~ J of recor
E) $or each scale W(s)
"ormali<e wa-elet ,y stanar e-iation (this is calle the au#hter wa-elet)
%ultiply $$T of ata ,y $T of nomali<e wa-elet
Ta1e in-erse $$T of a,o-e
F) AOntour result
G) &efine confience limits ,ase on auto3re#ressi-e re spectrum