The Canonical Bicoherence—Part I: Definition, Multitaper Estimation, and Statistics

The central theme of this pair of papers (Parts I and II) [IEEE Transactions on Signal Processing, vol. 57, no. 4, April 2009] is a new definition: the canonical bicoherence, a combination of the canonical coherence and the bicoherence. The canonical bicoherence is an effective tool for analyzing quadratic nonlinearity in multivariate signals. In this first part, the definition and properties of the canonical bicoherence are presented. The feasibility of the canonical bicoherence in detecting quadratic phase coupling (QPC) of multivariate signals is explained theoretically, illustrated by an example, and verified by numerical simulations. Multitaper methods and a sequence of three singular value decompositions (SVD´s) are used to estimate canonical bicoherences, to achieve reliable estimates with a reasonable amount of memory and computation time. Finally, we show that the canonical bicoherence estimate has an approximate asymptotic kappachi_nu ²-distribution, and the weighted jackknife method, used over tapers and segments, is applied to estimate variances of multitaper canonical bicoherence estimates.