In a large number of applications arising in various fields of study, time series are approximated using linear MMSE estimates. Such approximations include finite order moving average and autoregressive approximations as well as the causal Wiener filter. In this dissertation, we study two topics related to the estimation of wide sense stationary (WSS) time series using linear MMSE estimates. In the first part of this dissertation, we study the asymptotic behaviour of autoregressive (AR) and moving average (MA) approximations. Our objective is to investigate how faithfully such approximations replicate the original sequence, as the model order as well as the number of samples approach infinity. We consider two aspects: convergence of spectral density of MA and AR approximations when the covariances are known and when they are estimated. Under certain mild conditions on the spectral density and the covariance sequence, it is shown that the spectral densities of both approximations converge in L2 as the order of approximation increases. It is also shown that the spectral density of AR approximations converges at the origin under the same conditions. Under additional regularity assumptions, we show that similar results hold for approximations from empirical covariance estimates. In the second part of this dissertation, we address the problem of detecting interdependence relations within a group of time series. Ideally, in order to infer the complete interdependence structure of a complex system, dynamic behaviour of all the processes involved should be considered simultaneously. However, for large systems, use of such a method may be infeasible and computationally intensive, and pairwise estimation techniques may be used to obtain sub-optimal results. Here, we investigate the problem of determining Granger-causality in an interdependent group of jointly WSS time series by using pairwise causal Wiener filters. Analytical results are presented, along with simulations that compare the performance of a method based on finite impulse response Wiener filters to another using directed information, a tool widely used in literature. The problem is studied in the context of cyclostationary processes as well. Finally, a new technique is proposed that allows the determination of causal connections under certain sparsity conditions.

Signal processing has been playing a key role in providing solutions to key problems encountered in communications, in general, and in wireless communications, in particular. Time-Frequency Signal Processing (TFSP) provides eective tools for analyzing nonstationary signals where the frequency content of signals varies in time as well as for analyzing linear time-varying systems. This research aimed at exploiting the advantages of TFSP, in dealing with nonstationary signals, into the fundamental issues of signal processing, namely the signal estimation and signal separation. In particular, it has investigated the problems of (i) the Instantaneous Frequency (IF) estimation of Linear Frequency-Modulated (LFM) signals corrupted in complex-valued zero-mean Multiplicative Noise (MN), and (ii) the Underdetermined Blind Source Separation (UBSS) of LFM signals, while focusing onto the fast-growing area of Wireless Communications (WCom). A common problem in the issue of signal estimation is the estimation of the frequency of Frequency-Modulated signals which are seen in many engineering and real-life applications. Accurate frequency estimation leads to accurate recovery of the true information. In some applications, the random amplitude modulation shows up when the medium is dispersive and/or when the assumption of point target is not valid; the original signal is considered to be corrupted by an MN process thus seriously aecting the recovery of the information-bearing frequency. The IF estimation of nonstationary signals corrupted by complex-valued zero-mean MN was investigated in this research. We have proposed a Second-Order Statistics approach, rather than a Higher-Order Statistics approach, for IF estimation using Time-Frequency Distributions (TFDs). The main assumption was that the autocorrelation function of the MN is real-valued but not necessarily positive (i.e. the spectrum of the MN is symmetric but does not necessary has the highest peak at zero frequency). The estimation performance was analyzed in terms of bias and variance, and compared between four dierent TFDs: Wigner-Ville Distribution, Spectrogram, Choi-Williams Distribution and Modified B Distribution. To further improve the estimation, we proposed to use the Multiple Signal Classification algorithm and showed its better performance. It was shown that the Modified B Distribution performance was the best for Signal-to-Noise Ratio less than 10dB. In the issue of signal separation, a new research direction called Blind Source Separation (BSS) has emerged over the last decade. BSS is a fundamental technique in array signal processing aiming at recovering unobserved signals or sources from observed mixtures exploiting only the assumption of mutual independence between the signals. The term "blind" indicates that neither the structure of the mixtures nor the source signals are known to the receivers. Applications of BSS are seen in, for example, radar and sonar, communications, speech processing, biomedical signal processing. In the case of nonstationary signals, a TF structure forcing approach was introduced by Belouchrani and Amin by defining the Spatial Time- Frequency Distribution (STFD), which combines both TF diversity and spatial diversity. The benefit of STFD in an environment of nonstationary signals is the direct exploitation of the information brought by the nonstationarity of the signals. A drawback of most BSS algorithms is that they fail to separate sources in situations where there are more sources than sensors, referred to as UBSS. The UBSS of nonstationary signals was investigated in this research. We have presented a new approach for blind separation of nonstationary sources using their TFDs. The separation algorithm is based on a vector clustering procedure that estimates the source TFDs by grouping together the TF points corresponding to "closely spaced" spatial directions. Simulations illustrate the performances of the proposed method for the underdetermined blind separation of FM signals. The method developed in this research represents a new research direction for solving the UBSS problem. The successful results obtained in the research development of the above two problems has led to a conclusion that TFSP is useful for WCom. Future research directions were also proposed.