Detection of Spatially Correlated Gaussian Time Series

This work addresses the problem of deciding whether a set of realizations of a vector-valued time series with unknown temporal correlation are spatially correlated or not. For wide sense stationary (WSS) Gaussian processes, this is a problem of deciding between two different power spectral density matrices, one of them diagonal. Specifically, we show that for arbitrary Gaussian processes (not necessarily WSS) the generalized likelihood ratio test (GLRT) is given by the quotient between the determinant of the sample space-time covariance matrix and the determinant of its block-diagonal version. Furthermore, for WSS processes, we present an asymptotic frequency-domain approximation of the GLRT which is given by a function of the Hadamard ratio (quotient between the determinant of a matrix and the product of the elements of the main diagonal) of the estimated power spectral density matrix. The Hadamard ratio is known to be the GLRT detector for vector-valued random variables and, therefore, what this paper shows is how frequency-dependent Hadamard ratios must be merged into a single test statistic when the vector-valued random variable is replaced by a vector-valued time series with temporal correlation. For bivariate time series, the derived frequency domain detector can be rewritten as a function of the well-known magnitude squared coherence (MSC) spectrum, which suggests a straightforward extension of the MSC spectrum to the general case of multivariate time series. Finally, the performance of the proposed method is illustrated by means of simulations.