Bicoherence

The following applies to the analysis of data or signals

$X_{i}(t)\,$

The standard cross spectrum is the Fourier transform of the correlation

$C_{1}(t_{1})=\left\langle X_{1}(t)X_{2}(t+t_{1})\right\rangle$

where the square brackets imply averaging over t. Similarly, the bispectrum is the Fourier transform of the bicorrelation

$C_{2}(t_{1},t_{2})=\left\langle X_{1}(t)X_{2}(t+t_{1})X_{2}(t+t_{2})\right\rangle$

The signals X_i can either be different or identical. In the latter case, one speaks of the autocorrelation, autospectrum, auto-bicorrelation or auto-bispectrum.

Bispectrum

Denoting the Fourier transforms of the signals X_i(t) by

${\hat {X}}_{i}(\omega )$

the bispectrum is defined as

$B(\omega _{1},\omega _{2})={\hat {X}}_{1}^{*}(\omega ){\hat {X}}_{2}(\omega _{1}){\hat {X}}_{2}(\omega _{2})$

where

$\omega =\omega _{1}+\omega _{2}$

Bicoherence

The bicoherence is obtained by averaging the bispectrum over statistically equivalent realizations, and normalizing the result:

$b^{2}(\omega _{1},\omega _{2})={\frac {\left\langle |B(\omega _{1},\omega _{2})|^{2}\right\rangle }{\left\langle |X_{1}(\omega )|^{2}\right\rangle \left\langle |X_{2}(\omega _{1}){\hat {X}}_{2}(\omega _{2})|^{2}\right\rangle }}$

The normalization is such that 0 ≤ b² ≤ 1.

The bicoherence is symmetric under the symmetries (ω₁,ω₂) = (ω₂,ω₁) and (ω₁,ω₂) = (-ω₁,-ω₂), so that only one quarter of the plane (ω₁,ω₂) contains independent information. Additionally, for discretely sampled data all frequencies must be less than the Nyquist frequency: ω₁,ω₂,ω ≤ ω_Nyq. These restrictions define a polygonal subspace of the plane, which is how the bicoherence is usually represented.

The summed bicoherence is defined by

${\frac {1}{N}}\sum _{\omega _{1}+\omega _{2}=\omega }{b^{2}(\omega _{1},\omega _{2})}$

where N is the number of terms in the sum. Similarly, the total mean bicoherence is

${\frac {1}{N_{tot}}}\sum _{\omega _{1},\omega _{2}}{b^{2}(\omega _{1},\omega _{2})}$

where N_tot is the number of terms in the sum.

Interpretation

The bicoherence measures three-wave coupling and is only large when the phase between the wave at ω and the sum wave ω₁+ω₂ is nearly constant over a significant number of realizations.

Notes

• The bicoherence can of course be defined in wavenumber space instead of frequency space by applying the replacements x → t and ω → k.
• The bicoherence can be computed using the (continuous) wavelet transform instead of the Fourier transform, in order to improve statistics.