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Noise variance estimation

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EVAR estimates the noise variance from 1-D to N-D data

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Suppose that you have a signal Y (Y can be a time series, a parametric surface or a volumetric data series) corrupted by a Gaussian noise with unknown variance. It is often of interest to know more about this variance. EVAR(Y) thus returns an estimated variance of the additive noise.

EVAR provides better results if the original function (i.e. the function without noise) is relatively smooth i.e. has continuous derivatives up to some order. Several tests, however, showed that EVAR works very well even with multiple discontinuities.

Note: EVAR only works with evenly-gridded data in one and higher dimensions.

Here are two examples:

%-- Let us estimate the noise variance from a corrupt signal --
% First create a time signal
t = linspace(0,100,1e6);
y = cos(t/10)+(t/50);
% Make this signal corrupted by a Gaussian noise of variance 0.02
var0 = 0.02; % noise variance
yn = y + sqrt(var0)*randn(size(y));
% Now estimate the variance with EVAR and compare with the "true" value
evar(yn)

%-- Now, let us estimate the noise variance from volumetric data --
% Create a volume array
[x,y,z] = meshgrid(-2:.2:2,-2:.2:2,-2:.2:2);
f = x.*exp(-x.^2-y.^2-z.^2);
% Make these data corrupted by a Gaussian noise of variance 0.5
var0 = 0.5; % noise variance
fn = f + sqrt(var0)*randn(size(f));
% Estimate the variance with EVAR and compare with the "true" value
evar(fn)

------
Several tests are also given in:
http://www.biomecardio.com/matlab/evar.html
-----

Comments and Ratings (3)

Vincent

Vincent

Hi,
I just downloaded the file and port it to work with Octave.
But noise variance is half the true variance.
Any idea about modifications (not multiply by 2 ;) ) to be closer the true noise variance ?
Thanks

Vincent

John D'Errico

John D'Errico (view profile)

Updates

1.5

DCTN function is now included in EVAR

1.4

A minor improvement

1.3

The upper and lower bounds for FMINBND are calculated according to the tensor rank of the input array

1.2

optimset options have been modified

1.1

A better description

MATLAB Release
MATLAB 7.10 (R2010a)
Acknowledgements

Inspired by: Estimatenoise

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