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Universal rank-order transform to extract signals from noisy data

TitleUniversal rank-order transform to extract signals from noisy data
Publication TypeJournal Article
Year of Publication2019
AuthorsIerley G., Kostinski A.
Date Published2019/09
Type of ArticleArticle
ISBN Number2160-3308
Accession NumberWOS:000483586300001
Keywordsdistributions; physics

We introduce an ordinate method for noisy data analysis, based solely on rank information and thus insensitive to outliers. The method is nonparametric and objective, and the required data processing is parsimonious. The main ingredients include a rank-order data matrix and its transform to a stable form, which provide linear trends in excellent agreement with least squares regression, despite the loss of magnitude information. A group symmetry orthogonal decomposition of the 2D rank-order transform for iid (white) noise is further ordered by principal component analysis. This two-step procedure provides a noise "etalon" used to characterize arbitrary stationary stochastic processes. The method readily distinguishes both the Ornstein-Uhlenbeck process and chaos generated by the logistic map from white noise. Ranking within randomness differs fundamentally from that in deterministic chaos and signals, thus forming the basis for signal detection. To further illustrate the breadth of applications, we apply this ordinate method to the canonical nonlinear parameter estimation problem of two-species radioactive decay, outperforming specialpurpose least squares software. We demonstrate that the method excels when extracting trends in heavy-tailed noise and, unlike the Thiele-Sen estimator, is not limited to linear regression. A simple expression is given that yields a close approximation for signal extraction of an underlying, generally nonlinear signal.

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