Basic Deﬁnitions and The Spectral Estimation Problem
Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
Deterministic Signals
fy(t)g1 . Moses.1
jy(t)j2 < 1
X
Then:
Y (! ) =
1
t=.i!t
exists and is called the DiscreteTime Fourier Transform (DTFT)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.1
y(t)e.1 = t=
If:
discretetime deterministic data sequence
X
1
t=. 1997
Slide L1–4
.
1
X
(k)e. k)
Slide L1–5
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1
X Z
1
where
4 S (!) = jY (!)j2 = Energy Spectral Density
We can write
S (!) =
where
X
1
k=. Stoica and R.Energy Spectral Density
Parseval's Equality:
jy(t)j2 = 21 .1
y(t)y (t . 1997
. Moses. S (!)d! t=.i!k
(k) =
1
t=.
Moses. Prentice Hall. Stoica and R.1
n
jy(t)j2 = 1
o
But:
E jy(t)j2 < 1
E f g = Expectation over the ensemble of realizations E jy(t)j2
n o
= Average power in y
(t)
PSD = (Average) power spectral density
Lecture notes to accompany Introduction to Spectral Analysis by P.Random Signals
Random Signal
random signal probabilistic statements about future variations t current observation time
Here:
X
1
t=. 1997
Slide L1–6
.
1
r(k)e.k) r(0) jr(k)j
Z
Note that
r(k) = 21 . (!)ei!k d!
n o
(Inverse DTFT)
Interpretation:
so
r(0) = E jy(t)j2 = 21 . Moses.First Deﬁnition of PSD
(! ) =
where r
X
1
k=. Stoica and R. Prentice Hall. k)g r(k) = r (.i!k
(k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . (!)d!
Z
(!)d! =
inﬁnitesimal signal power in the band
! d! 2
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L1–7
.
Prentice Hall. Stoica and R.i!t
Lecture notes to accompany Introduction to Spectral Analysis by P.
t=1
y(t)e.Second Deﬁnition of PSD
1 N y(t)e. Moses.i!t (!) = Nlim E N !1 t=1
X > :
8 > <
2
9 > = >
Note that
1 jY (!)j2 (!) = Nlim E N N !1
YN (!) =
X
where
N
is the ﬁnite DTFT of
fy(t)g. 1997
Slide L1–8
.
1997
Slide L1–9
.
Thus. Then: (! ) = (.! )
P3: If y
Lecture notes to accompany Introduction to Spectral Analysis by P.Properties of the PSD
P1:
(!) = (! + 2 ) for all !.! ) Otherwise: (! ) 6= (. Moses.1=2 1=2]
(!) 0 (t) is real.
P2:
] () f 2 . we can restrict attention to
!2 . Stoica and R. Prentice Hall.
k) hk e.1
H (q) =
X
1
k=0
hk q. 1)
H (q ) y (t) 2 y (! ) = jH (! )j
e(
e(t) e (! )
Then
!)
y(t) =
X
1
k=0
hk e(t . 1997
Slide L1–10
.Transfer of PSD Through Linear Systems
System Function: where q .1y(t) = y(t . Stoica and R.i!k
H (! ) =
X
1
y (!) = jH (!)j2 e(!)
k=0
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.k
= unit delay operator: q.
Parametric: – Assumes a parameterized functional form of the PSD
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. ]g
Find an estimate of
Two Main Approaches :
Nonparametric: – Derived from the PSD deﬁnitions. Moses. Stoica and R. 1997
Slide L1–11
.The Spectral Estimation Problem
The Problem: From a sample
fy(1) : : : y(N )g
(!): f ^(!) ! 2 .
1997
Slide L2–1
. Moses. Prentice Hall. Stoica and R.Periodogram and Correlogram Methods
Lecture 2
Lecture notes to accompany Introduction to Spectral Analysis by P.
Periodogram Recall 2nd deﬁnition of (! ):
1 N y(t)e.i!t N t=1
Natural estimator
N
2
Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Moses. Prentice Hall. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.i!t (!) = Nlim E N !1 t=1
X > :
8 > <
2
9 > = >
Given : Drop “
fy(t)gN t=1
lim
” and “E
N !1
f g” to get
X
^p(!) = 1 y(t)e. 1997
Slide L2–2
.
1997
Slide L2–3
.i!k
^c(!) =
k=.(N .Correlogram
Recall 1st deﬁnition of (! ):
(! ) =
P
X
1
Truncate the “ ” and replace “r
k=. Moses. Prentice Hall.i!k
(k)” by “^(k)”: r
r ^(k)e. Stoica and R.1)
Lecture notes to accompany Introduction to Spectral Analysis by P.1 X
r(k)e.1 N .
k) k 0 r(k) = N ^ t=k+1
X
For both estimators:
r ^(k) = ^ (. Stoica and R.k) k < 0 r
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L2–4
. Moses. k t=k+1
X
Standard biased estimate:
1 N y(t)y (t . k) k 0 ^ r(k) = N .Covariance Estimators (or Sample Covariances)
Standard unbiased estimate:
1 N y(t)y (t . Prentice Hall.
i!k
^p(!) = ^c(!)
Consequence: Both p ! and
^( )
^c(!) can be analyzed simultaneously. Stoica and R.
Slide L2–5
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997
.i!t N t=1
X
2
=
N . Moses.1 X
= ^c(!)
k=.Relationship Between ^p (! ) and ^c(! )
If: the biased ACS estimator r Then:
^(k) is used in ^c(!).
N
^p(!) = 1 y(t)e.1)
r ^(k)e.(N .
the PSD error is large. even for large N .
Intuitive explanation:
r(k) . jk =0 there are “so many” that when summed in ! . Stoica and R. 1997
Slide L2–6
. ( )]
Lecture notes to accompany Introduction to Spectral Analysis by P.Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased:
E ^p(!) ! (!) as N ! 1
n o
Both have “large” variance.
^p(!) and ^c(!) have poor performance. p!
f^( ) . Moses. Prentice Hall. ( )g
^ ( ) .1 are small. Thus. r(k) may be large for large jkj ^
Even if the errors r k r k Nj.
jNj
jkj N .i!k k=. N k=. or triangular. ( )WB (! . 1 jkj N
Bartlett.Bias Analysis of the Periodogram
E ^p(!) = E ^c(!) = E f^(k)g e. Prentice Hall.1) 1 = wB (k)r(k)e.i!k = 1.1
n o n o X ! X
N . 1997
. Moses. ) d
Z
Ideally:
WB (!) = Dirac impulse (!). window
E ^p(!) = 21 .
Slide L2–7
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k r k=.(N .1 jkj r(k)e.1 X
wB (k) =
8 < :
=
Thus.1) N . Stoica and R.
n o
0
k 1 .(N .
WB
1=N . Stoica and R. 1997
.
(!) may differ quite a bit from (!). Moses.
Slide L2–8
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Bartlett Window WB (! )
1 sin(!N=2) 2 WB (!) = N sin(!=2)
" #
0
WB (!)=WB (0). for N = 25
−10
−20
dB
−30
−40
−50
−60
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Main lobe 3dB width For “small” N .
φ(ω) smearing ω ω
(!) separated in f by less than 1=N are not
^ φ(ω)
<1/Ν
Thus:
Periodogram resolution limit =
1=N . Prentice Hall. 1997
Slide L2–9
.Smearing and Leakage
Main Lobe Width: smearing or smoothing Details in resolvable.
^ φ(ω)≅W (ω) B
Sidelobe Level: leakage
φ(ω)≅δ(ω) leakage ω ω
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.
1997
Slide L2–10
.Periodogram Bias Properties
Summary of Periodogram Bias Properties: For “small” N . Moses. so ! is asymptotically unbiased.
!1 ^( )
( )! ( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. severe bias As N . WB ! !.
Periodogram Variance As N
!1 E ^p(!1) .
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997
Slide L2–11
. Stoica and R. dev = φ(ω) too 
Resolvability properties depend on both bias and variance. (!2) 2(!1) !1 = !2 = 0 !1 6= !2
nh ih (
io
Inconsistent estimate Erratic behavior
^ φ(ω) ^ φ(ω)
asymptotic mean = φ(ω) ω + 1 st. Prentice Hall. (!1) ^p(!2) .
1
Direct computation of O N 2 ﬂops
( )
. 1997
Slide L2–12
.i 2 .Discrete Fourier Transform (DFT)
Finite DTFT: YN
(!) =
X
N
t=1
y(t)e. Prentice Hall. Stoica and R.1 fY (k)gN=0 from fy(t)gN : t=1 k
Lecture notes to accompany Introduction to Spectral Analysis by P. N Let ! = N
Then YN
( 2 k) is the Discrete Fourier Transform (DFT): N
X
Y (k) =
N
t=1
y(t)W tk
k = 0 ::: N . Moses.i!t
2 k and W = e.
y(t + N )]W tgW tp
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
. Stoica and R.1 for odd k
Assume:
X X X
Let N For k
~ ~ = N=2 and W = W 2 = e. Prentice Hall. 1 = 2p + 1:
X
t=1
~ ~ y(t) + y(t + N )]W tp
Y (2p + 1) =
Each is a N
~ N
~ = N=2point DFT computation. Moses. 2 = 2p:
Y (2p) =
For k
X
~ N
= 1 3 5 : : : N .Radix–2 Fast Fourier Transform (FFT)
N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = . ~
4 = 0 2 4 : : : N .i2 =N .
Slide L2–13
t=1
~ ~ f y(t) .
1 k2k ) ck = 2
ck = 1 N log2 N 2
Thus. Moses. 1997
Slide L2–14
. Prentice Hall. Stoica and R. 2k + 2c ck = 2 k.
Lecture notes to accompany Introduction to Spectral Analysis by P.FFT Computation Count
Let ck Then
= number of ﬂops for N = 2k point FFT.
Moses. Prentice Hall.1 N k=0
sampled. Stoica and R. 1997
Slide L2–15
.Zero Padding Append the given data by zeros prior to computing DFT (or FFT):
fy(1) : : : y(N ) 0 : : : 0g

N
{z
}
Goals: Apply a radix2 FFT (so N Finer sampling of
= power of 2)
^(!): 2 k N . N=8 ω
2 k N .1 ! N k=0
^ φ(ω)
continuous curve
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997
Slide L3–1
. Prentice Hall. Moses. Stoica and R.Improved PeriodogramBased Methods
Lecture 3
Lecture notes to accompany Introduction to Spectral Analysis by P.
BlackmanTukey Method
Basic Idea: Weighted correlogram. Stoica and R.
^( )
jj
^BT (!) =
M . Prentice Hall.i!k r
fw(k)g =
Lag Window
w(k)
1
M
M
k
Lecture notes to accompany Introduction to Spectral Analysis by P. with small weight applied to covariances r k with “large” k .(M . 1997
Slide L3–2
.1)
w(k)^(k)e.1 X k=. Moses.
Z
W (!) = =
Conclusion: Effect:
DTFT
fw(k)g
Spectral Window
^BT (!) = “locally” smoothed periodogram
Variance decreases substantially Bias increases slightly By proper choice of M : MSE
= var + bias2 ! 0 as N ! 1
Slide L3–3
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997
.BlackmanTukey Method. con't
^BT (!) = 1 ^p( )W (! . Stoica and R. )d 2 .
Window Design Considerations Nonnegativeness:
^BT (!) = 1 ^p( ) W (! . Stoica and R. 0
Z  {z }
If W
(!) 0 (. 1997 Slide L3–4
. W (!)d! = equiv bandwidth e= W (0)
Ne e = 1
Lecture notes to accompany Introduction to Spectral Analysis by P.1) Ne = k=.1 X
. )d 2 .(M (0) w
Z
w (k )
= equiv time width
1 2 . w(k) is a psd sequence) ^BT (!) 0
(which is desirable)
Then:
TimeBandwidth Product
M . Moses. Prentice Hall.
)
Choose M as a tradeoff between variance and bias.
The energy in the main lobe and in the sidelobes cannot be reduced simultaneously.
e) is essentially
)
Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). As M increases. con't
e = 1=Ne = 0(1=M )
is the BT resolution threshold.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Window Design. Prentice Hall. Ne (and hence ﬁxed. Stoica and R. 1997
Slide L3–5
.
Once M is given. once M is given. bias decreases and variance increases.
M
0
= 25
−10
−20
dB
−30
−40
−50
−60
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Rectangular Window. Prentice Hall. M
0 −10
= 25
−20
dB
−30
−40
−50
−60
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L3–6
. Stoica and R.Window Examples Triangular Window. Moses.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.1 ! =
N j =0 Idea: “Local averaging” of (2J + 1) samples in the
j
(2 + 1)
frequency domain should reduce the variance by about J . for N
1.Daniell Method
By a previous result. Moses.J
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . Stoica and R. 1997
Slide L3–10
.
Prentice Hall. ^D(!) ' 1 ^p(!)d! 2 . Then. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral
Let
Z
window. Stoica and R. con't
As J increases: Bias increases (more smoothing) Variance decreases (more averaging)
= 2J=N . Moses. for N 1. 1997
Slide L3–11
.
Lecture notes to accompany Introduction to Spectral Analysis by P.Daniell Method.
Moses.
^ ()
– Implemented by averaging subsample periodograms.
Daniell Periodogram
– Approximate interpretation: spectral window. Prentice Hall. more general for Welch).
^p(!) by a suitably selected ^(k) using a lag
– Implemented by truncating and weighting r window in c !
^( )
Bartlett.
Lecture notes to accompany Introduction to Spectral Analysis by P. Welch periodograms
– Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Stoica and R. 1997
.
^BT (!) with a rectangular
Slide L3–12
– Implemented by local averaging of periodogram values.
BT periodogram
– Local smoothing/averaging of spectral window.Summary of Periodogram Methods Unwindowed periodogram
– reasonable bias – unacceptable variance
Modiﬁed periodograms
– Attempt to reduce the variance at the expense of (slightly) increasing the bias.
Moses.Parametric Methods for Rational Spectra
Lecture 4
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997
Slide L4–1
. Stoica and R.
Stoica and R. 1997 Slide L4–2
( )
. ! can approximate arbitrarily well any continuous PSD.θ) Estimate parameters in φ(ω. Note.
P
By Weierstrass theorem.i! . Moses.Basic Idea of Parametric Spectral Estimation
Observed Data Assumed functional form of φ(ω. however: choice of m and n is not simple some PSDs are not continuous
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) is a rational function in e.θ)
^ θ
Estimate PSD
^ ^ =φ(ω.θ) φ(ω)
possibly revise assumption on φ(ω)
Rational Spectra
jkj m k e. Prentice Hall. provided m and n are chosen sufﬁciently large.i!k (!) = P jkj n k e.
n B (z) = 1 + b1z.1 + + bmz. and ARMA Models
By Spectral Factorization theorem. e. A(! ) = A(z )jz =ei!
Signal Modeling Interpretation:
e(t) e (! ) =
2

B (q) A(q)
white noise
B (!) 2 2 A(!) ltered white noise
y(t)y (! ) =
ARMA: AR: MA:
A(q)y(t) = B (q)e(t) A(q)y(t) = e(t) y(t) = B (q)e(t)
Slide L4–3
Lecture notes to accompany Introduction to Spectral Analysis by P..m and. Stoica and R.AR. Moses.1 + + anz. MA. 1997
.g. a rational factored as
(!) can be
B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. Prentice Hall.
i) =
m
j =0
bj E fe(t . j )y (t . Prentice Hall. i) =
X
m
j =0
bj e(t .k (h = 1) where H (q ) = A(q ) 0 k k=0
X X
i=1
air(k . Stoica and R. Moses. 1997
Slide L4–4
.ARMA Covariance Structure
ARMA signal model:
y(t)+
X
n
i=1 n
aiy(t .k = j =0 = 0 for k > m B (q) = 1 h q. j )
(b0 = 1)
Multiply by y
(t . k)g
Lecture notes to accompany Introduction to Spectral Analysis by P. k) and take E f g to give:
X
r (k ) +
X
2 m bj hj .
1) .1) : : : r(. Moses. . . 1997
Slide L4–5
. Stoica and R. r(1) r(0) .AR Signals: YuleWalker Equations
AR: m
= 0. an 0
3 7 7 7 5 2 6 6 6 4
Writing covariance equation in matrix form for k : : : n:
=1 r(0) r(. . . r (.
2 1 a1 = 0 . . .
Lecture notes to accompany Introduction to Spectral Analysis by P. . r(n) : : : r(0) 1 = 2 R 0
2 6 6 6 4 7 7 7 5 " # "
32 6 6 6 4
3 7 7 7 5
#
These are the Yule–Walker (YW) Equations. Prentice Hall.n) .
.n) 1 r r ^2 . .1) . r . 1997
Slide L4–6
. r ^(1) r(0) ^ ^.1 = 0 a . . . .1) : : : ^(.AR Spectral Estimation: YW Method
YuleWalker Method: Replace r
2 6 6 6 4
(k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. . r ^(n) : : : r(0) ^ ^n a 0
32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4
3 7 7 7 5
Then the PSD estimate is
^2 ^(!) = ^ 2 jA(!)j
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. ^(. Moses. Stoica and R.
. n)]T . 1) : : : y (t .
3 7 5
Y
=4
y(n) y(n .
y(N . Moses. .
^ = . 1) y(n + 1) y(n)
. Prentice Hall. 2)
Lecture notes to accompany Introduction to Spectral Analysis by P.1(Y y) where
3 7 5 2 6
t=n+1
je(t)j2
y(1) y(2) y(N . . i) = y(t) + 'T (t)
= a1 : : : an]T to minimize
f( ) =
X
N
This gives
2
y=6 4
y(n + 1) y(n + 2) y(N )
.
Find
i=1
aiy(t . .(Y Y ). n)
. . 1) y(N . . Stoica and R. 1997
Slide L4–7
.AR Spectral Estimation: LS Method
Least Squares Method:
e(t) = y(t) +
X
n
4 = y(t) + y(t) ^ where '(t) = y (t .
Prentice Hall. .0 .1
. . 1997
Slide L4–8
. Moses.
.
{z
.n .. .
32 7 7 7 5 } 6 6 6 4
1
n
3 7 7 7 5
2 6 6 6 4
^ k = either r(k) or r(k).. orderrecursive solution to YW equations
2 6 6 6 4 
0 . 0
2 n
3 7 7 7 5
O(n3) ﬂops
= 1 : : : n: O(n4) ﬂops
Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 ﬂops!
=1
( )
Lecture notes to accompany Introduction to Spectral Analysis by P. .1 1 .Levinson–Durbin Algorithm
Fast.
Direct Solution: For one given value of n: For k
Rn+1
1
0
= 0 ....
. Stoica and R.
n
.
n
3 7 5
1
Rn+2 4
1 n = 0
3 5
2 4
Rn+1
n+1
r ~n
n+1 r ~n
0
32 54
1 n n = 0 0 n
3 5 2 4
2
3 5
where
r n = n+1 + ~n n
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L4–9
.
2
4
Rn+1
n+1
r ~n
n+1 r ~n
0
3 5
2
r ~n =
6 4
. where x = xn : : : x1]T ~ ~ ~
Nested structure
2
Rn+2 =
Thus. Moses. Stoica and R. . con't
Relevant Properties of R:
Rx = y $ Rx = y.LevinsonDurbin Alg. Prentice Hall.
n = n )
n+1 =
0 + kn 2+1 = n + kn n = n(1 . Stoica and R. 1997
.LevinsonDurbin Alg. Moses. jknj2) 2 2 n
"
n
#
"
~n 1
#
Computation count: k ﬂops for the step k
2 )
n2 ﬂops
!k+1 2 to determine f k
k gn=1 k
Slide L4–10
This is O
(n2) times faster than the direct solution.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. con't
2
Rn+2 4
82 < 4 +2 :
1 n n = 0 0 n
3 5 2 4
2
3 5
2
Rn+2 4
39 = 5 2
0 ~n = 0n 2 1 n
3 5 2 4 3 5 2
3 5
Combining these gives:
Rn
0 1 n + kn ~n 0 1
3 5 2 4
=
4
n + kn n
2
0 n + kn
2 n
=
4
n
2 +1
3 5
0 0
Thus.
2 kn = .
1997
Slide L4–11
. Moses.
r(k) = 0 for jkj > m
and
2 2 = m r(k)e. Stoica and R. Prentice Hall. 1) +
+ bme(t . m)
Thus.MA Signals
MA: n
=0 y(t) = B (q)e(t) = e(t) + b1e(t .i!k (!) = jB(!)j k=.m
X
Lecture notes to accompany Introduction to Spectral Analysis by P.
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k
k=. Insert sample covariances
(! ) =
This is length
X
m
f^(k)g in: r
r(k)e. Stoica and R. Moses. Estimate
fbkg and 2 and insert them in (!) = jB(!)j2 2
nonlinear estimation problem
^(!) is guaranteed to be 0
2. 1997 Slide L4–12
.m
^BT (!) with a rectangular lag window of 2m + 1. with AR model order n . Prentice Hall.MA Spectrum Estimation Two main ways to Estimate (! ): 1. ^(!) is not guaranteed to be 0 =0
Both methods are special cases of ARMA methods described below.
i!k k (!) = 2 A(!) jA(!)j2
P
where
k
= E f B(q)e(t)] B(q)e(t .m k e. Prentice Hall. k)] g =
X
n
X
n
j =0 p=0
aj ap r(k + p .ARMA Signals
ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). Moses. k)] g = E f A(q)y(t)] A(q)y(t . 1997
Slide L4–13
. Stoica and R.
A(q)y(t) = B (q)e(t) B (!) 2 = m=. j )
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L4–14
. Estimate
fai r(k)g in (!) =
P
m . Prentice Hall. Moses.i!k k=.ARMA Spectrum Estimation
Two Methods:
2g in (!) = 2 B(!) 2 1.m k e
jA(!)j2
linear estimation problem (the Modiﬁed YuleWalker method). Stoica and R. Estimate fai bj A(!)
nonlinear estimation problem.
^(!) is not guaranteed to be 0
Lecture notes to accompany Introduction to Spectral Analysis by P. can use an approximate linear twostage least squares method
^(!) is guaranteed to be 0
2.
f kgK=1 by using AR k
1b) Estimate the noise sequence
^(t) = y(t) + ^1y(t . 1997
Slide L4–15
. K )
^2 =
N 1 j^(t)j2 e N . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate.TwoStage LeastSquares Method Assumption: The ARMA model is invertible:
A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . for some large K e(t) ' y(t) + 1y(t . Moses. 1) + 2y(t . K )
1a) Estimate the coefﬁcients modelling techniques. 1) + + K y(t . Prentice Hall. 1) + e
and its variance
+ ^K y(t . Stoica and R. K t=K +1
X
Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. con't
fe(t)g by ^(t) in the ARMA equation.TwoStage LeastSquares Method. Stoica and R. Note that the ai and bj coefﬁcients enter linearly in the above equation:
y(t) . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares
Step 2: Replace techniques. m)] e e = a1 : : : an b1 : : : bm]T
Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : ^(t .y(t . 1997
Slide L4–16
. y(t . Moses. n) e ^(t . ^(t) ' . 1) : : : .
the accuracy of ai is often better for M > n
Lecture notes to accompany Introduction to Spectral Analysis by P. least
f^ g
Note: For narrowband ARMA signals. Moses.. . n + 2)
.
: : : r(m .6 4
Replace
fr(k)g by f^(k)g and solve for faig.Modiﬁed YuleWalker Method
ARMA Covariance Equation:
r(k) +
2 6 4
X
n
In matrix form for k
i=1
air(k . n + M )
. r(m + M )
r(m + 1) r(m + 2)
3 7
If M n. 1997
Slide L4–17
.
= m + 1 ::: m + M
a1 an
.
#
2
=
r(m + M . fast Levinsontype algorithms exist for obtaining ai . . . 1) : : : r(m . i) = 0 k > m
3 7 5 "
r(m) r(m + 1)
. . Prentice Hall. Stoica and R.. 5 .
=
f^ g
Y W system of equations. . If M > n overdetermined squares solution for ai . . n + 1) r(m . . . r f^ g
.
Stoica and R. Moses. Prentice Hall.Summary of Parametric Methods for Rational Spectra
Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes
Computational Burden low Accuracy medium
Guarantee ^(! ) 0 ? Yes
MA: BT
ARMA: MYW
ARMA: 2Stage LS
Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L4–18
.
Moses. Stoica and R. Prentice Hall.Parametric Methods for Line Spectra — Part 1
Lecture 5
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L5–1
.
Stoica and R. Examples: communications radar. !1
!2
!3

An “Ideal” line spectrum
Lecture notes to accompany Introduction to Spectral Analysis by P. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models
2 6(2 1) 2
6
(!)
6
(2 2) 2
6
(2 2) 3
!
Slide L5–2
.Line Spectra Many applications have signals with (near) sinusoidal components. 1997
. Prentice Hall. Moses.
Stoica and R. Moses. power
f g
f g
y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t)
X  {z }
Assumptions: A1: A2:
k>0
!k 2 .
]
(prevents model ambiguities)
f'k g = independent rv's.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . superimposed in white noise of k 2. uniformly distributed on . 1997
. ]
(realistic and mathematically convenient)
A3:
e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0
(can be achieved by “slow” sampling)
Slide L5–3
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
for p = j e i'p e.
r(k) = E fy(t)y (t . k)g = n=1 2ei!pk + 2 k 0 p p
P
and
(! ) = 2
X
n
p=1
2 (! .i'j o = E nei'p o E ne.Covariance Function and PSD
Note that:
E E
n
i'p e. Prentice Hall. e
E xp(t)xj (t . k) = 2 ei!pk p j p
n o
Hence. 1997
.i'j o = 1.i'j o e
Z
n
1 i' d' 2 = 0. Moses. Stoica and R. !p) + 2 p
Slide L5–4
Lecture notes to accompany Introduction to Spectral Analysis by P. for p 6= j =2 .
Moses.
^ ei!k t + residuals k
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Parameter Estimation Estimate either:
f!k
k 'k gn=1 k
2
(Signal Model)
f!k 2gn=1 2 k k
Once
(PSD Model)
^ Major Estimation Problem: f!k g
f!kg are determined: ^
X
f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p
p=1
OR: Both k and 'k can be derived by a least squares method from
f^ g
f^ g
X
y(t) =
with
n
k=
k=1 k ei'k . 1997
Slide L5–5
. Prentice Hall.
1997
Slide L5–6
. Prentice Hall. . B = eiN!1 eiN!n
k
2 6 4
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P. . Moses. .Nonlinear Least Squares (NLS) Method
min' g f!
Let:
X
N
k k k t=1 
y(t) . Stoica and R.
X
n
k=1 {z F (! ')
k ei(!k t+'k )
2
}
= kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n .
B k2 = . con't
Then:
F = (Y .1B Y
This gives:
^ = (B B).Nonlinear Least Squares (NLS) Method.1B Y !=^ !
and
! = arg max Y B (B B ). Y B(B B).1B Y ] +Y Y . 1997
Slide L5–7
. Stoica and R. (B B). B ) = kY .1B Y ] B B] . B ) (Y . Moses.1B Y ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. (B B). Prentice Hall.
Prentice Hall. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P.5. 1997
Slide L5–8
. Stoica and R. !
Difﬁcult Implementation: The NLS cost function F is multimodal. it is difﬁcult to avoid convergence to local minima.NLS Properties
Excellent Accuracy:
6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k
q
1)
Then
var
(^k ) 10.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
along with L .
f!kgn=1. n ^ k
Lecture notes to accompany Introduction to Spectral Analysis by P. con't
Estimation Procedure: Estimate
f^igL=1 using an ARMA MYW technique b i
^( )
Roots of B q give “spurious” roots. Prentice Hall. 1997
Slide L5–12
.HighOrder YuleWalker Method. Stoica and R. Moses.
. Moses. i) = 0 k > L
In matrix form for k
2 6 6 6 4 
= L + 1 ::: L + M
3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 }
: : : r(1) r(L + 1) : : : r(2) b = .HighOrder and Overdetermined YW Equations
ARMA covariance:
r (k ) +
X
L
i=1
bir(k . . . r(L + 2) .
Lecture notes to accompany Introduction to Spectral Analysis by P. r(L + M . 1997
Slide L5–13
. . 1) : : : r(M ) r(L + M ) 4 4 = =
{z }  {z
r(L) r(L + 1)
This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. . Stoica and R. Prentice Hall.
V .
(U V )b = .HighOrder and Overdetermined YW Equations. con't Fact: SVD of rank :
( )=n =U V
U = (M n) with U U = In V = (n L) with V V = In
= (n n). Stoica and R.1U Important property: The additional (L . Prentice Hall. 1997 Slide L5–14
. y = .
Lecture notes to accompany Introduction to Spectral Analysis by P. if the MinimumNorm solution b is used. Moses. diagonal and nonsingular
Thus. n) spurious zeros of B (q ) are located strictly inside the unit circle.
The MinimumNorm solution is
b = .
V be deﬁned similarly to U . SVD of . Practical Solution
Let
^= ^ ^ ^ ^
but made from
f^(k)g instead of fr(k)g. .1U ^ ^ ^ b ^(q) that
Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. r
.HOYW Equations.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
f^ g
When the SNR is low. this approach may give spurious frequency estimates when L > n.V ^ . 1997
Slide L5–15
. Compute
^ = . Moses. V from the
Let U . this is the price paid for increased accuracy when L > n.
Stoica and R.Parametric Methods for Line Spectra — Part 2
Lecture 6
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L6–1
. Moses. Prentice Hall.
. Stoica and R. m + 1)]T e
4 R = E fy(t)~ (t)g = APA + 2I ~ y
Then
with
2
P = E fx(t)~ (t)g = ~ x
6 4
2 1
0
.1)! ]T A = a(!1) : : : a(!n)] (m n)
rank
Note: Deﬁne
(A) = n
y(t) y(t . Moses. Prentice Hall. 1997
Slide L6–2
. 1)
(for m
3 7 7 7 5
n)
2
46 y(t) = 6 ~
6 4
y(t .i! : : : e. .
0
2 n
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P.The Covariance Matrix Equation Let:
a(!) = 1 e. m + 1)
.
= Ax(t) + ~(t) ~ e
where
x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .i(m..
m
7 5
S G
#
Lecture notes to accompany Introduction to Spectral Analysis by P.Eigendecomposition of R and Its Properties
R = APA + 2I (m > n)
Let:
1
2 :::
m: eigenvalues of R
fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm. 1997
Slide L6–3
.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Stoica and R. Prentice Hall. n))
Thus..n] (m (m .. Moses.
2
R = S G]
6 4
1
3
"
.
.
0
n
3 7 5
with C (since rank S . Prentice Hall. 1997
.Eigendecomposition of R and Its Properties. Moses. Stoica and R. 2 . .. =0 A G=0
Slide L6–4
Lecture notes to accompany Introduction to Spectral Analysis by P. = = nonsingular 0 n. 2
2 6 4 3 7 5 2 6 4
Note:
RS = APA S + 2S = S
1
0
. Therefore. since S G
j j 6= 0
4 .1) = AC S = A(PA S
( ) = rank(A) = n).. con't As rank
(APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.
Moses. Stoica and R. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k
2 6 4 3 7 5
Thus. 1997
Slide L6–5
.MUSIC Method
a (!1) .
Let:
1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. .
Stoica and R. Moses. a (!)G ^
Root MUSIC Method:
]
f!kgn=1 = the angular positions of the n roots of: ^ k
^^ aT (z. 1997 Slide L6–6
. Prentice Hall.1 : : : z.
a(z) = 1 z.(m.1)GG a(z) = 0
that are closest to the unit circle.
Lecture notes to accompany Introduction to Spectral Analysis by P.Spectral and Root MUSIC Methods Spectral MUSIC Method:
f!kgn=1 = the locations of the n highest peaks of the ^ k
“pseudospectrum” function:
1 ^G a(!) ! 2 .1)]T
Note: Both variants of MUSIC may produce spurious frequency estimates. Here.
1997
Slide L6–7
.Pisarenko Method
Pisarenko is a special case of MUSIC with m (the minimum possible value). Prentice Hall. If:
=n+1
m=n+1
Then:
^ g G = ^1. ) f!kgn=1 can be found from the roots of ^ k aT (z.1)^1 = 0 g
no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m
n+1
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.
with ﬁrst element equal ^ ^ to one. Stoica and R.
R( )
Let
"
1 = the vector in R(G). that has minimum Euclidean norm. Moses. and reduce risk of false frequency estimates. 1997
Slide L6–8
. Uses m n (as in MUSIC). Prentice Hall. g
#
Lecture notes to accompany Introduction to Spectral Analysis by P.MinNorm Method
Goals: Reduce computational burden. but only one vector in G (as in Pisarenko).
Prentice Hall. Stoica and R.1) 1 ^ g
"
#
that are closest to the unit circle. 1997
Slide L6–9
.MinNorm Method.
Lecture notes to accompany Introduction to Spectral Analysis by P. con't
Spectral MinNorm
f!gn=1 = ^k
the locations of the n highest peaks in the “pseudospectrum”
2 1 = a (!) 1 ^ g
" #
Root MinNorm
f!gn=1 = ^k
the angular positions of the n roots of the polynomial
aT (z. Moses.
Stoica and R.1 gm
" # " #
MinNorm Method: Determining g ^
Then:
1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . 1997 Slide L6–10
. Prentice Hall. g
" #
MinNorm solution: As:
^ = . k k2) g
Lecture notes to accompany Introduction to Spectral Analysis by P. k k2) = (S S ) ) (S S ). for N 1. k k2) ) ^ = .1 exists iff = k k2 6= 1 (This holds.) ^^ I=S S=
Multiplying the above equation by gives:
(1 .S(S S ).1 = =(1 .Let S
^= S g1 . (S S ).1 g
+ S S . at least. Moses.S =(1 .
. Then S2 = A2C = A1DC = S1 C .1 0]S S2 = 0 Im. Moses.1DC
{z
}
So has the same eigenvalues as D .. Prentice Hall.1]A
Then A2
Also.ESPRIT Method
Let
A1 = Im. let
= A1D.i!1 0 . where e.1]S
2 6 4 
3 7 5
Recall S
= AC with jC j 6= 0. 1997 Slide L6–11
. D= 0 e. determined as
is uniquely
= (S1S1).1S1S2
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1 0]A A2 = 0 Im.i!n S1 = Im.
ﬁnd S . Moses. Stoica and R. arg(^k ) ^ k
ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. then S1 and S2 .
^
^
^
^
The frequency estimates are found by:
where
f^kgn=1 are the eigenvalues of k ^ = (S1S1).ESPRIT Implementation From the eigendecomposition of R.1S1S2 ^^ ^^
f!kgn=1 = . 1997
Slide L6–12
.
Moses.Summary of Frequency Estimation Methods
Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT
Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none
Recommendation:
Use Periodogram for mediumresolution applications
Use ESPRIT for highresolution applications
Slide L6–13
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997
.
Prentice Hall. Stoica and R. 1997
Slide L7–1
. Moses.Filter Bank Methods
Lecture 7
Lecture notes to accompany Introduction to Spectral Analysis by P.
Parametric Approach: Parameterize ﬁnitedimensional model. 1997 Slide L7–2
.
(!) by a
2. by assuming that ! is nearly constant over the bands
f ( )g
( )
!. Moses. (
=2 2 =1
N > 1 leads to the variability / resolution compromise
associated with all nonparametric methods.Basic Ideas
Two main PSD estimation approaches: 1.
Lecture notes to accompany Introduction to Spectral Analysis by P.
!+ ] N >1
1
2 is more general than 1. Nonparametric Approach: Implicitly smooth ! !=. Stoica and R. Prentice Hall. but 2 requires
to ensure that the number of estimated values = = ) is < N .
Z
6 ~ (! ) @ !
(b)
Z
!c
^FB (!) ' 1 2
(a)
.
c ( )d = (') (!)
(a) consistent power calculation
(b) Ideal passband ﬁlter with bandwidth
(c)
( ) constant on 2 ! . are conﬂicting. as well as (b) and (c).Filter Bank Approach to Spectral Estimation
H 6 (!)
1
!c
!
Filtered Signal
y (t)
. Moses. Stoica and R.
Slide L7–3
Lecture notes to accompany Introduction to Spectral Analysis by P. 2 ! + 2 ]
Note that assumptions (a) and (b).with varying !
Power Calculation
Bandpass Filter c and xed bandwidth

Power in the band

Division by lter bandwidth
^(!c )

6
y
y
(! )
.
!c
@Q Q !
. Prentice Hall.
jH ( )j2 ( )d = ' 21
!+ !. 1997
.
1 ~ hk = N otherwise 0
1
center frequency of H 3dB bandwidth of H
(!) = ! ~
(!) ' 1=N
Slide L7–4
Lecture notes to accompany Introduction to Spectral Analysis by P.Filter Bank Interpretation of the Periodogram
1 N y(t)e. Moses. 1997
.i!k = 1 eiN (~.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . 1 H (!) = hk e ! N ei(~. k)
2
! .!) . 1 k=0
X
1 ei!k k = 0 : : : N .!) .t) t=1
X X
= N
where
(
X
1
k=0
hk y(N . Stoica and R. Prentice Hall.
power calculation from only 1 sample of ﬁlter output. con't
jH (!)j as a function of (~ . 1997
Slide L7–5
. Stoica and R. !). Moses. for N = 50.
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P. and: narrow ﬁlter passband. !
0 −5 −10
−15 dB
−20
−25
−30
−35
−40
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Conclusion: The periodogram p ! is a ﬁlter bank PSD estimator with bandpass ﬁlter as given above. Prentice Hall.Filter Bank Interpretation of the Periodogram.
2. Each ﬁlter covers a small band centered on ! .
Both approaches compromise bias for variance. Prentice Hall. 1997
Slide L7–6
.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. This approach leads to Bartlett and Welch methods.
~
provides several samples for power calculation. and bandpass ﬁlter each subsample. more data points for the power calculation stage. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Split the available sample. This “multiwindow approach” is similar to the Daniell method.Possible Improvements to the Filter Bank Approach 1. Use several bandpass ﬁlters on the whole sample.
1997
Slide L7–7
. Prentice Hall. k)
2 6 4 
.
yF (t) =
X
m
k=0

hk y(t .i!k = h a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y
{z } 7 5 {z } n o
y(t)
3
H (! ) =
where a
X
m
(! ) = 1
k=0 e.im! ]T
hk e. = h0 h1 : : : hm] . y(t .i! : : : e. Stoica and R. Moses.Capon Method
Idea: Datadependent bandpass ﬁlter design.
1997
Slide L7–8
.Capon Method.m t=m+1
X
Lecture notes to accompany Introduction to Spectral Analysis by P.1 a (!)R a(!)
with
N 1 ^ y(t)~ (t) ~ y R = N .1a=a R.1a
o
The power at the ﬁlter output is:
E jyF (t)j2 = h0Rh0 = 1=a (!)R.
n
The Bandwidth
1 ' m+1 = (ﬁlter 1 length)
Conclusion Estimate PSD as:
+1 ^(!) = m^. Moses.1a(!) which should be the power of y (t) in a passband centered on ! . Prentice Hall. con't Capon Filter Design Problem:
min(h Rh) h
Solution:
subject to h
a(!) = 1
h0 = R. Stoica and R.
1997
Slide L7–9
.
Capon uses one bandpass ﬁlter only.
Lecture notes to accompany Introduction to Spectral Analysis by P.
. bias decreases and variance increases. Stoica and R. Prentice Hall.Capon Properties
m is the user parameter that controls the compromise
between bias and variance: – as m increases. Moses. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap.
Prentice Hall. 1997
Slide L7–10
.1a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P. jkj ^BT (!) = r(k)e.i!(t. s)e.Relation between Capon and BlackmanTukey Methods
Consider
^BT (!) with Bartlett window: m m + 1 .m m + 1 1 m m ^(t . j )] ^ r = m+1
X X X
Then we have
^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.i!k ^ k=.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . Moses. Stoica and R.
Prentice Hall.
^( )
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
AR Then
^C (!) =
1 1 m 1= ^AR(!) m + 1 k=0 k
X
Consequences: Due to the average over k. Moses. C ! generally has less statistical variability than the AR PSD estimator. 1997
Slide L7–11
. Due to the loworder AR terms in the average. C ! generally has worse resolution and bias properties than the AR method.Relation between Capon and AR Methods Let
2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t).
Spatial Methods — Part 1
Lecture 8
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997
Slide L8–1
. Prentice Hall. Stoica and R.
. electromagnetic. Moses. communications.
Sensor 2 Sensor
m
Problem: Detect and locate n radiating sources by using an array of m passive sensors. @.
Sensor 1
@. @. @. Stoica and R.
v Source n
@. @. seismology. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”)
Lecture notes to accompany Introduction to Spectral Analysis by P... seismometers Applications: Radar. antennas. mechanical Receiving sensors: Hydrophones. . sonar.@ . .@ . @. 1997 Slide L8–2
. . Emitted energy: Acoustic.The Spatial Spectral Estimation Problem
Source 1
vSource 2
B B B B N B cccc ccc c c c c c
v
@ . . Prentice Hall.R .
AOA). (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. the array is calibrated. Stoica and R.)
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Simplifying Assumptions
Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation
Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. Moses. The number of sources n is known. 1997
Slide L8–3
.
Basic Problem: Estimate the time delays known but x t unknown. at the “ﬁrst” sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k “noise” at the kth sensor (e. background noise. k) + ek (t) ( = convolution operator). thermal noise in sensor electronics. 1997 Slide L8–4
.
()
f kg with hk(t)
This is a timedelay estimation problem in the unknown input case.. etc.g.)
hk (t) = ek (t) =
Note:
t 2 R (continuoustime signals). Moses. Then the output of sensor k is yk (t) = hk (t) x(t ..
Lecture notes to accompany Introduction to Spectral Analysis by P.Array Model — Single Emitter Case
x(t) =
k=
the signal waveform as measured at a reference point (e. Prentice Hall.g. Stoica and R.
Narrowband Assumption
Assume: The emitted signals are narrowband with known carrier frequency !c . Prentice Hall. k) ' (t) '(t . !c k + arg Hk (!c)] + ek(t)
Slide L8–5
Lecture notes to accompany Introduction to Spectral Analysis by P. !c k ] hk (t) x(t . Moses. !c k + argfHk (!c)g]
where Hk function
(!) = Ffhk(t)g is the kth sensor's transfer
Hence. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . k ) ' (t) cos !ct + '(t) . k ) ' jHk (!c)j (t)cos !ct + '(t) . 1997
. Then:
x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . the kth sensor output is
yk (t) = jHk (!c)j (t) cos !ct + '(t) . Stoica and R.
i! + ek (t)

s(t)
{z
} 
Hk (!c)
{z
k
c
}
c k
yk (t) = s(t)Hk (!c) e.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.Complex Signal Representation The noisefree output has the form:
z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. Stoica and R.i!ct ~ = yk(t) cos(!ct) . 1997 Slide L8–6
or
. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e.i!c k + ek (t) where s(t) is the complex envelope of x(t). Moses.i 2!ct+ (t)] g
n o  {z }  {z }
Lowpass ﬁlter
2z(t)e.i!ct to obtain (t)ei (t)
lowpass
highpass
Hence.!ct = (t)f ei (t) + e. by lowpass ﬁltering and sampling the signal
yk (t)=2 = yk(t)e.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


Internal Noise External Noise XXXXX ? XX ll z l  Cabling and , Filtering : ,, Incoming Transducer Signal x(t ; k )
Re yk (t)] Lowpass Re yk (t)]  !! ~ Filter A/D cos(!ct) 6 y k (t) Oscillator sin(!ct) ? ~  Im yk (t)] Lowpass Im yk (t)]  !! Filter A/D

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
Moses. 1) c
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Uniform Linear Arrays
Source h
JJ J J
J J
JJ J ^ J
J
JJ
JJ+ JJ
JJ
2
] J d sin J ^ JJ J JJ 3 J J
v
4
1
v ]? v
d 
v
ppp
m
vSensor
ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k:
where c = wave propagation speed
d sin k = (k . 1997
Slide L8–10
. Prentice Hall.
Prentice Hall. 1997
. Moses.
Slide L8–11
d = spatial sampling period
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i(m.Spatial Frequency
Let:
sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.i!s : : : e.
!s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2
As
=2
d
=2 is a spatial Shannon sampling theorem.1)!s ]T By direct analogy with the vector a(! ) made from
uniform samples of a sinusoidal time series.
1997
Slide L9–1
. Prentice Hall.Spatial Methods — Part 2
Lecture 9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.
1997
Slide L9–2
.
Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering
Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation
There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Moses. Prentice Hall. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.1 X
(t) = ei!t then yF (t) = h a(!)] u(t)
 {z }
ﬁlter transfer function
a(!) = 1 e. Stoica and R. Prentice Hall.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . k) = h y(t) k=0 h = ho : : : hm. Moses.i! : : : e.1] y(t) = u(t) : : : u(t .i(m. m + 1)]T
If u
m. 1997
Slide L9–3
.Analogy between Temporal and Spatial Filtering
Temporal FIR Filter:
yF (t) = hk u(t .
1997 Slide L9–4
. Prentice Hall.i!c 2 : : : e. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.Analogy between Temporal and Spatial Filtering Spatial Filter:
fyk(t)gm=1 = k
the “spatial samples” obtained with a sensor array.i!c m ]T
yF (t) = h a( )] s(t)
 {z }
The corresponding ﬁlter output is
ﬁlter transfer function
We can select h to enhance or attenuate signals coming from different DOAs.
Spatial FIR Filter output:
yF (t) =
X
m
k=1
hk yk (t) = h y(t)
Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is:
() y(t) = a( )s(t) a( ) = 1 e. Moses.
! hm. C C B C B C B C B C B A @ .@ 0 B 1 C h @@ C B B e.
?
qq
1
!
(Spatial sampling)
(b) Spatial ﬁlter
Lecture notes to accompany Introduction to Spectral Analysis by P.i! m  e {z a( ) aa m!
point
( )
qq
( )
1 C C C C C Cs(t) C C C C C A }

? @ ? @ @
h

1
@ R @ 
P
h a( )]s(t) 
hm.. Cu(t) C B .B . B B @ . Stoica and R.1
q .i m. Prentice Hall.Analogy between Temporal and Spatial Filtering
u(t) = ei!t
z
1
s q.? B P C B C B B B .  e {z } ? a(!)
1
?
0
qq
(
1)
1
(Temporal sampling)
(a) Temporal ﬁlter
narrowband source with DOA=
Z
z
Z
Z
Z ~ aa 1reference !!
h
0
0 1 B aa 2. s qq
h

?
1
?

m.i! Be 2 B !! B B B B . Moses. B .1
? 
1 .. 1997 Slide L9–5
.i! C @ h a(!)]u(t) R @ C .
h a 0 . Here. 1997
Slide L9–6
. where 0
j ( )j
= ( )
= 25
0
30
−30
Th et a (d eg )
60
−60
90 0 2 4 6 Magnitude 8 10
−90
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. con't
Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA.Spatial Filtering. Moses. Stoica and R.
by sweeping the ﬁlter through the DOA range of interest (“goniometer”).
Lecture notes to accompany Introduction to Spectral Analysis by P. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal).Spatial Filtering Uses
Spatial Filters can be used To pass the signal of interest only. Stoica and R. Moses. Prentice Hall. 1997
Slide L9–7
. To locate an emitter in the ﬁeld of view.
Prentice Hall.
( )Rh( ) give the
Slide L9–8
Lecture notes to accompany Introduction to Spectral Analysis by P. Basic Ideas Design a ﬁlter h
( ) such that for each
– It passes undistorted the signal with DOA = – It attenuates all DOAs
6=
Sweep the ﬁlter through the DOA range of interest.Nonparametric Spatial Methods
A Filter Bank Approach to DOA estimation. Moses. 1997
.
n o n
o
The (dominant) peaks of h DOAs of the sources. Stoica and R. and evaluate the powers of the ﬁltered signals:
E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g.
y t can be considered as impinging on the array from all DOAs. Stoica and R.Beamforming Method
Assume the array output is spatially white:
Then:
R = E fy(t)y (t)g = I E jyF (t)j2 = h h
n o
Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. 1997
Slide L9–9
. Prentice Hall. Moses.
()
Filter Design:
min (h h) h
Solution:
subject to
h a( ) = 1
h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2
n o
Lecture notes to accompany Introduction to Spectral Analysis by P.
( )^ ( )
This is the direct spatial analog of the BlackmanTukey periodogram. 1997
. but
Slide L9–10
Lecture notes to accompany Introduction to Spectral Analysis by P.
1
= 1. Moses. pj > =
wavelength array length array beamwidth
Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > .Implementation of Beamforming
1 N y(t)y (t) ^ R=N t=1
X
The beamforming DOA estimates are:
f^kg =
the locations of the n largest peaks of a Ra . Prentice Hall. Resolution Threshold:
inf j k . Stoica and R.
Capon Method Filter design:
min(h Rh) subject to h a( ) = 1 h
Solution:
h = R.1a( )=a ( )R.1a( )
n o
Implementation:
f^kg =
the locations of the n largest peaks of
^ 1=a ( )R.
Lecture notes to accompany Introduction to Spectral Analysis by P. Both Beamforming and Capon are nonparametric approaches.1a( ):
Performance: Slightly superior to Beamforming. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). Moses. Prentice Hall. Stoica and R. 1997 Slide L9–11
.1a( ) E jyF (t)j2 = 1=a ( )R.
Parametric Methods Assumptions: The array is described by the equation:
y(t) = As(t) + e(t)
The noise is spatially white and has the same power in all sensors:
E fe(t)e (t)g = 2I
The signal covariance matrix
P = E fs(t)s (t)g
is nonsingular.
Lecture notes to accompany Introduction to Spectral Analysis by P. almost without modiﬁcation. Prentice Hall. YW. MUSIC. Stoica and R. Moses. for DOA estimation. 1997 Slide L9–12
.
Then:
R = E fy(t)y (t)g = APA + 2I
Thus: The NLS. MINNORM and ESPRIT methods of frequency estimation can be used.
Lecture notes to accompany Introduction to Spectral Analysis by P. A(A A). A(A A). Moses.Nonlinear Least Squares Method
1 N ky(t) . f ^k g = arg max trf A(A A). Stoica and R.1A y(t) t = 1 : : : N s
X
Then
1 N k I .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]Rg
X
f kg
For N .1A ]y(t) = N t=1 ^ = trf I . As(t)k2 min(t)g N f k g fs t=1
X 
Minimizing f over s gives
f ( s)
{z
}
^(t) = (A A).1A ]Rg ^ Thus. this is precisely the form of the NLS method of frequency estimation. 1997 Slide L9–13
=1
. A(A A). Prentice Hall.
Nonlinear Least Squares Method
Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Stoica and R. 1997
Slide L9–14
. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
is . = U1 U2 ] 0 n n 0 V1 g n . Stoica and R.YuleWalker Method
e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A
" # " # "
#
Assume: Then:
E fe(t)~ (t)g = 0 e
4 E fy(t)~ (t)g = AP A ~ . 1997
Slide L9–15
.n ~ ~ Properties: A V2 = 0 V1 2 R(A)
Then: rank
{z} {z}
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.) = n. Moses. and the SVD of .= y
(M L)
Also assume:
M > n L > n ( ) m = M + L > 2n)
rank
~ (A) = rank(A) = n
" # " #
(.n 0 V2 g L n M .
1997
Slide L9–16
. Moses. using 1 N y(t)~ (t) ^ . Stoica and R.=N y t=1
X
Properties: Computational complexity: medium Performance: satisfactory if m
2n
Main advantages: – weak assumption on e t – the subarray A need not be calibrated
f ( )g
Lecture notes to accompany Introduction to Spectral Analysis by P. (L 1). is the “array transfer vector” for y(t) a ~
at DOA
^ V2 is deﬁned similarly to V2.YWMUSIC DOA Estimator
f^kg =
where
the n largest peaks of
1=~ ( )V2V2 ~( ) a ^^a
~( ). Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. if rank
(P ) = rank(E fs(t)s (t)g) < n
Modiﬁcations that apply in the coherent case exist. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. 1997
Slide L9–17
. Prentice Hall. Moses. Stoica and R. that is.MUSIC and MinNorm Methods
Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem.
Moses.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Let
m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2)
Then
A2 = A1D.. D= 0 e.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L9–18
( ) = d sin( )=c
.i!c ( n) ( ) = the time delay from subarray 1 to
2 6 4
3 7 5
subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Stoica and R.i!c ( 1) 0 . where e..
Stoica and R.1 0]A
= .1 A2 = 0 Im. the two subarrays are often the ﬁrst m and last m array elements.1
.ESPRIT Method. con't ESPRIT Scenario
source θ
known
subarray 1
displac ement v
ector
subarray 2
Properties: Requires special array geometry Computationally efﬁcient
No risk of spurious DOA estimates
Does not require array calibration Note: For a ULA.1]A
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L9–19
.1 A1 = Im. so m m and
. Prentice Hall. Moses.