Non-Uniform Sampling in Statistical Signal Processing

Abstract: Non-uniform sampling comes natural in many applications, due to for example imperfect sensors, mismatched clocks or event-triggered phenomena. Examples can be found in automotive industry and data communication as well as medicine and astronomy. Yet, the literature on statistical signal processing to a large extent focuses on algorithms and analysis for uniformly, or regularly, sampled data. This work focuses on Fourier analysis, system identification and decimation of non-uniformly sampled data.In non-uniform sampling (NUS), signal amplitude and time stamps are delivered in pairs. Several methods to compute an approximate Fourier transform (AFT) have appeared in literature, and their posterior properties in terms of alias suppression and leakage have been addressed. In this thesis, the sampling times are assumed to be generated by a stochastic process, and the main idea is to use information about the stochastic sampling process to calculate a priori properties of approximate frequency transforms. These results are also used to give insight in frequency domain system identification and help with analysis of down-sampling algorithms.The main result gives the prior distribution of several AFTs expressed in terms of the true Fourier transform and variants of the characteristic function of the sampling time distribution. The result extends leakage and alias suppression with bias and variance terms due to NUS. Based on this, decimation of non-uniformly sampled signals, using continuous-time anti-alias filters, is analyzed. The decimation is based on interpolation in different domains, and interpolation in the convolution integral proves particularly useful. The same idea is also used to investigate how stochastic unmeasurable sampling jitter noise affects the result of system identification. The result is a modification of known approaches to mitigate the bias and variance increase caused by the sampling jitter noise.The bottom line is that, when non-uniform sampling is present, the approximate frequency transform, identified transfer function and anti-alias filter are all biased to what is expected from classical theory on uniform sampling. This work gives tools to analyze and correct for this bias.