Phase Free Estimation of Coherence

Abstract

A phase free estimate of the coherence of a bivariate Gaussian process is presented. The technique is based on the usual independent, complex normal approximation to the distribution of the finite Fourier transform of a multivariate stationary time series, and the complex Wishart approximation to the distribution of spectrum estimates. If the spectral densities and coherence can be assumed to be constant over a wider frequency band than the phase can be assumed to be constant, the concept of inner and outer spectral windows would seem appropriate. Maximum likelihood estimates of the coherence are obtained using phase free marginal distributions at the inner window level. The results of simulations are presented showing the likelihood for various inner windows.