StationaryCovarianceModelFactory

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../../_images/StationaryCovarianceModelFactory.png
class StationaryCovarianceModelFactory(*args)

Estimation of the covariance model of a stationary process.

Refer to Estimation of a stationary covariance model.

Parameters
spectralModelFactorySpectralModelFactory

The spectral model factory.

By default, it is the Welch factory model.

Notes

We consider X: \Omega \times \cD \rightarrow \Rset^d be a multivariate process of dimension d where \cD \in \Rset^n. We only treat here the case where the domain is of dimension 1: \cD \in \Rset (n=1). We denote (\vect{t}_0, \dots, \vect{t}_{N-1}) the vertices of the mesh \cM \in \cD which is a time grid supposed regular.

X is supposed to be a stationary second order process with zero mean. We note its covariance function C^{stat}:  \cD \rightarrow  \mathcal{M}_{d \times d}(\Rset), defined by C^{stat}(\tau)=\Expect{X_s\Tr{X_{s+\tau}}} for all s\in \cD.

In addition, we suppose that its spectral density function S : \Rset \rightarrow \mathcal{H}^+(d) is defined, where \mathcal{H}^+(d) \in \mathcal{M}_d(\Cset) is the set of d-dimensional positive definite hermitian matrices.

OpenTURNS estimates C^{stat} from a field or a sample of fields of X, using first the estimation of the spectral density function and then mapping S into C^{stat} using the inversion relation :

C^{stat}(\vect{\tau})  = \int_{\Rset^n}\exp\left\{  2i\pi <\vect{f}, \vect{\tau}> \right\}S(\vect{f})\di{\vect{f}}

when it is possible.

As the mesh is a time grid (n=1), the fields can be interpreted as time series.

The estimation algorithm is outlined hereafter.

Let (\vect{X}^0, \dots, , \vect{X}^{M-1}) be M independent realizations of X or M segments of one realization of the process.

Using the relation between the covariance model end the spectral function, the covariance function writes:

(1)C_{i,j}^{stat}(\tau)  = \int_{\mathbb{R}}\exp\left\{  2i\pi f \tau \right\} S_{i,j}(f)\di{f}

where C_{i,j}^{stat} is the element (i,j) of the matrix C^{stat}(\tau) and S_{i,j}(f) the one of S(f). The integral (1) is approximated by its evaluation on the finite domain \Omega \in \Rset:

(2)C_{i,j}^{stat}(\tau)  = \int_{\Omega}\exp\left\{  2i\pi f \tau \right\} S_{i,j}(f)\di{f}

Let us consider the partition of the domain as follows:

  • \Omega =[-\Omega_c, \Omega_c] is subdivised into M segments \Omega = \cup_{k=1}^{M} \mathcal{M}_k with \mathcal{M}_k=[f_k - \frac{\Delta f}{2}, f_k + \frac{\Delta f}{2}]

  • \Delta f be the frequency step, \Delta f = \frac{2 \Omega_c}{M}

  • f_k be the frequences on which the spectral density is computed, f_k = -\Omega_c + \left(k - \frac{1}{2} \right) \Delta f = \left( 2 k - 1 - M \right) \frac{\Delta f}{2} with k=1,\hdots,M

The equation (2) can be rewritten as:

C_{i,j}^{stat}(\tau)  = \sum_{k=1}^{M}\int_{\mathcal{M}_k}\exp\left\{  2i\pi f \tau \right\} S_{i,j}(f)\di{f}

We focus on the integral on each subdomain \mathcal{M}_k. Using numerical approximation, we have:

\int_{\mathcal{M}_k}\exp\left\{  2i\pi f \tau \right\} S_{i,j}(f)\di{f} \approx \Delta f S_{i,j}(f_k) \exp\left\{  2i\pi f_k \tau \right\}

\tau must be in correspondance with frequency values with respect to the Shannon criteria. Thus the temporal domain of estimation is the following:

  • \Delta t is the time step, \Delta t = \frac{1}{2 \Omega_c} such as \Delta f \Delta t = \frac{1}{M}

  • \tilde{\mathcal{T}} = [-T, T] is subdivised into M segments \tilde{{\mathcal{T}}} = \cup_{m=1}^{M} \mathcal{T}_m with \mathcal{T}_m=[t_m - \frac{\Delta t}{2}, t_m + \frac{\Delta t}{2}]

  • t_m be the time values on which the covariance is estimated, t_m = -\frac{M}{2 \Omega_c} + \left(m - \frac{1}{2} \right) \Delta t = \left(2 m - 1 - M \right) \frac{\Delta t}{2}

The estimate of the covariance value at time value \tau_{m} depends on the quantities of form:

(3)\int_{\mathcal{M}_k}\exp\left\{  2i\pi f \tau_{m} \right\} S_{i,j}(f)\di{f} \approx \Delta f S_{i,j}(f_k) \exp\left\{  2i\pi f_k \tau_{m} \right\}

We develop the expression of f_k and \tau_{m} and we get:

\left\{
 \begin{array}{l}
   2m - 1 - M = 2 (m-1) - (M-1) \\
   2k - 1 - M = 2 (k-1) - (M-1)
 \end{array}
 \right.

Thus:

(2m - 1 - M) (2k - 1 - M) = 4 (m-1)(k-1) - (M-1)(2m -1 -M) - 2 (k-1)(M-1)

and:

(2m - 1 - M) (2k - 1 - M)\frac{\Delta t}{2}\frac{\Delta f}{2} = \frac{(m-1)(k-1)}{M} - \frac{(M-1)(2m -1 -M)}{4M} - \frac{(k-1)(M-1)}{2M}

We denote:

\left\{
  \begin{array}{l}
    \delta(m) = \exp\left\{-i \frac{\pi}{2M} (M-1)(2m -1 -M) \right\}\\
    \phi_k = \exp\left\{-i \frac{\pi}{M} (k-1)(M-1) \right\} S_{i,j}(f_k)
  \end{array}
  \right.

Finally, we get the followig expression for integral in (3):

\int_{\mathcal{M}_k}\exp\left\{  2i\pi f \tau_{m} \right\} S_{i,j}(f)\di{f} \approx \Delta f \exp\left\{2i \frac{\pi}{M} (m-1)(k-1)  \right\} \delta(m) \phi_k

It follows that:

(4)C_{i,j}^{stat}(\tau_m)  = \Delta f \delta(m) \sum_{k=1}^{M} \phi_k \exp\left\{2i \frac{\pi}{M} (m-1)(k-1)  \right\}

In the equation (4), we notice a discrete inverse Fourier transform.

Methods

build(*args)

Estimate a stationary covariance model.

buildAsUserDefinedStationaryCovarianceModel(*args)

Estimate the covariance model as a User defined covariance model.

getClassName()

Accessor to the object's name.

getId()

Accessor to the object's id.

getName()

Accessor to the object's name.

getShadowedId()

Accessor to the object's shadowed id.

getSpectralModelFactory()

Accessor to the underlying Welch agorithm.

getVisibility()

Accessor to the object's visibility state.

hasName()

Test if the object is named.

hasVisibleName()

Test if the object has a distinguishable name.

setName(name)

Accessor to the object's name.

setShadowedId(id)

Accessor to the object's shadowed id.

setSpectralModelFactory(factory)

Accessor to the underlying Welch agorithm.

setVisibility(visible)

Accessor to the object's visibility state.

__init__(*args)
build(*args)

Estimate a stationary covariance model.

Available usages:

build(processSample)

build(field)

Parameters
processSampleProcessSample

The collection of fields used to estimate the covariance model.

fieldField

The field used to estimate the covariance model.

Returns
covEstCovarianceModelImplementation

The estimated covariance model.

Notes

The fields must be time series, ie the underlying mesh must be a 1D lattice.

The estimated CovarianceModelImplementation which is a UserDefinedStationaryCovarianceModel composed of a time grid and a collection of K square matrices of dimension d where K corresponds to the number of time steps of the final time grid on which the covariance is estimated.

When estimated from a time series, the UserDefinedStationaryCovarianceModel may have a time grid different from the initial time grid of the time series.

Examples

Create the stationary covariance model, a mesh and a process:

>>> import openturns as ot
>>> myModel = ot.AbsoluteExponential([0.1])
>>> myTimeGrid = ot.RegularGrid(0.0, 0.1, 10)
>>> myProcess = ot.GaussianProcess(myModel, myTimeGrid)

Generate 20 fields:

>>> mySample = myProcess.getSample(20)

Estimate the covariance model supposing the stationarity:

>>> myEstCov = ot.StationaryCovarianceModelFactory().build(mySample)
buildAsUserDefinedStationaryCovarianceModel(*args)

Estimate the covariance model as a User defined covariance model.

Available usages:

buildAsUserDefinedStationaryCovarianceModel(processSample)

buildAsUserDefinedStationaryCovarianceModel(field)

buildAsUserDefinedStationaryCovarianceModel(spectralModel)

buildAsUserDefinedStationaryCovarianceModel(spectralModel, frequencyGrid)

Parameters
processSampleProcessSample

The collection fields used to estimate the covariance model which is supposed to be stationary.

fieldField

The field used to estimate the covariance model.

spectralModelUserDefinedSpectralModel if alone, otherwise SpectralModel

The spectral model to convert into a covariance model.

frequencyGridRegularGrid

The frequency grid over which the spectral model is discretized.

Returns
covEstUserDefinedStationaryCovarianceModel

The estimated covariance model that can be used as a UserDefinedStationaryCovarianceModel.

getClassName()

Accessor to the object’s name.

Returns
class_namestr

The object class name (object.__class__.__name__).

getId()

Accessor to the object’s id.

Returns
idint

Internal unique identifier.

getName()

Accessor to the object’s name.

Returns
namestr

The name of the object.

getShadowedId()

Accessor to the object’s shadowed id.

Returns
idint

Internal unique identifier.

getSpectralModelFactory()

Accessor to the underlying Welch agorithm.

Returns
spectralModelFactoryWelchFactory

The Welch algorithm used to estimate the stationary covariance model.

getVisibility()

Accessor to the object’s visibility state.

Returns
visiblebool

Visibility flag.

hasName()

Test if the object is named.

Returns
hasNamebool

True if the name is not empty.

hasVisibleName()

Test if the object has a distinguishable name.

Returns
hasVisibleNamebool

True if the name is not empty and not the default one.

setName(name)

Accessor to the object’s name.

Parameters
namestr

The name of the object.

setShadowedId(id)

Accessor to the object’s shadowed id.

Parameters
idint

Internal unique identifier.

setSpectralModelFactory(factory)

Accessor to the underlying Welch agorithm.

Parameters
spectralModelFactoryWelchFactory

The Welch algorithm to use to estimate the stationary covariance model.

setVisibility(visible)

Accessor to the object’s visibility state.

Parameters
visiblebool

Visibility flag.