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

i!t exists and is called the Discrete-Time Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L1–4 .1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.Deterministic Signals fy(t)g1 .1 = t= If: discrete-time deterministic data sequence X 1 t=.1 y(t)e. Moses. Prentice Hall.

1997 . k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!k (k) = 1 t=. Prentice Hall.1 y(t)y (t .Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . Moses.1 X (k)e.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=. S (!)d! t=.

1997 Slide L1–6 . 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. Prentice Hall. Moses.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.

(!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . 1997 Slide L1–7 . Prentice Hall.First Definition of PSD (! ) = where r X 1 k=. k)g r(k) = r (. Stoica and R. (!)d! Z (!)d! = infinitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Moses.k) r(0) jr(k)j Z Note that r(k) = 21 .1 r(k)e.

Second Definition of PSD 1 N y(t)e.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. t=1 y(t)e. Prentice Hall. 1997 Slide L1–8 . Moses. Stoica and R.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.

! ) Otherwise: (! ) 6= (. Moses. P2: ] () f 2 . we can restrict attention to !2 . Prentice Hall. Thus.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Then: (! ) = (. 1997 Slide L1–9 . Stoica and R.1=2 1=2] (!) 0 (t) is real.Properties of the PSD P1: (!) = (! + 2 ) for all !.

1997 Slide L1–10 .k = unit delay operator: q. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .1y(t) = y(t . Prentice Hall.1 H (q) = X 1 k=0 hk q. k) hk e. Moses. Stoica and R.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P.Transfer of PSD Through Linear Systems System Function: where q .

Prentice Hall. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD definitions.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Stoica and R. Moses. 1997 Slide L1–11 .

Stoica and R. Prentice Hall.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–1 .

Moses. 1997 Slide L2–2 . 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.Periodogram Recall 2nd definition of (! ): 1 N y(t)e. Prentice Hall. Stoica and R.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).

Moses.i!k (k)” by “^(k)”: r r ^(k)e.i!k ^c(!) = k=.1 N . Stoica and R.Correlogram Recall 1st definition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.(N .1) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–3 .1 X r(k)e. Prentice Hall.

k) k 0 ^ r(k) = N . Prentice Hall. Moses. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Stoica and R. 1997 Slide L2–4 . k t=k+1 X Standard biased estimate: 1 N y(t)y (t .

Prentice Hall. 1997 . Moses.1) r ^(k)e. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.(N .Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Stoica and R.i!t N t=1 X 2 = N .1 X = ^c(!) k=.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. N ^p(!) = 1 y(t)e.

r(k) may be large for large jkj ^ Even if the errors r k r k Nj. ( )g ^ ( ) .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. Thus. ^p(!) and ^c(!) have poor performance. Intuitive explanation: r(k) . the PSD error is large. Prentice Hall.1 are small. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. p! f^( ) . even for large N . Moses. jk =0 there are “so many” that when summed in ! . 1997 Slide L2–6 .

n o 0 k 1 .i!k r k=. window E ^p(!) = 21 . Stoica and R. jNj jkj N . 1997 . ) d Z Ideally: WB (!) = Dirac impulse (!). Moses.1) N .1 n o n o X ! X N . N k=.(N .(N .i!k k=.1 X wB (k) = 8 < : = Thus. 1 jkj N Bartlett. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i!k = 1. ( )WB (! .Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.1) 1 = wB (k)r(k)e. or triangular.1 jkj r(k)e.

Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. (!) may differ quite a bit from (!). 1997 . Stoica and R. Prentice Hall. Moses. WB 1=N . 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 .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0).

Prentice Hall.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. 1997 Slide L2–9 . 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 . Moses.

so ! is asymptotically unbiased. 1997 Slide L2–10 . Moses.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Stoica and R. WB ! !. Prentice Hall. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. severe bias As N .

dev = φ(ω) too - Resolvability properties depend on both bias and variance.Periodogram Variance As N !1 E ^p(!1) . (!1) ^p(!2) . 1997 Slide L2–11 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. (!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.

1 Direct computation of O N 2 flops ( ) . 1997 Slide L2–12 . Moses.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Stoica and R.i 2 . Prentice Hall.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 .i!t 2 k and W = e.

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 = . Slide L2–13 t=1 ~ ~ f y(t) .i2 =N . 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2-point DFT computation. 1997 . Stoica and R. Moses.1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . ~ 4 = 0 2 4 : : : N . Prentice Hall.

2k + 2c ck = 2 k. 1997 Slide L2–14 . Moses.FFT Computation Count Let ck Then = number of flops for N = 2k point FFT. Stoica and R. Prentice Hall.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. Lecture notes to accompany Introduction to Spectral Analysis by P.

N=8 ω 2 k N . Moses. 1997 Slide L2–15 .1 N k=0 sampled. Stoica and R.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 radix-2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Prentice Hall.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P.

1997 Slide L3–1 . Prentice Hall. Stoica and R. Moses.Improved Periodogram-Based Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.

1997 Slide L3–2 . Prentice Hall. with small weight applied to covariances r k with “large” k .Blackman-Tukey Method Basic Idea: Weighted correlogram.1 X k=.i!k r fw(k)g = Lag Window w(k) 1 -M M k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.(M .1) w(k)^(k)e. ^( ) jj ^BT (!) = M .

Prentice Hall. Moses. con't ^BT (!) = 1 ^p( )W (! . )d 2 . Stoica and R.Blackman-Tukey Method. 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. 1997 .

)d 2 .1 X .1) Ne = k=. W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.(M (0) w Z w (k ) = equiv time width 1 2 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . Prentice Hall. 0 Z | {z } If W (!) 0 (. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: Time-Bandwidth Product M . Moses. Stoica and R. 1997 Slide L3–4 .

) Choose M as a tradeoff between variance and bias. Moses. As M increases. bias decreases and variance increases. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). 1997 Slide L3–5 . Lecture notes to accompany Introduction to Spectral Analysis by P. Ne (and hence fixed.Window Design. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Prentice Hall. Once M is given. Stoica and R. once M is given. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold.

M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Moses. Prentice Hall. Stoica and R.Window Examples Triangular Window. 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 .

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 Blackman-Tukey 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 mainlobe-sidelobe 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 non-rectangular 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

J X Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L3–10 . Stoica and R.Daniell Method By a previous result. 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 . Prentice Hall. for N 1. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N .

for N 1. Then. Lecture notes to accompany Introduction to Spectral Analysis by P. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window.Daniell Method. ^D(!) ' 1 ^p(!)d! 2 . Stoica and R. Prentice Hall. Moses. 1997 Slide L3–11 .

^ () – Implemented by averaging subsample periodograms. more general for Welch).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. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. 1997 . ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Stoica and R. Daniell Periodogram – Approximate interpretation: spectral window. Lecture notes to accompany Introduction to Spectral Analysis by P. BT periodogram – Local smoothing/averaging of spectral window. Prentice Hall. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Moses.

Stoica and R. 1997 Slide L4–1 . Prentice Hall. Moses.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P.

! can approximate arbitrarily well any continuous PSD. Prentice Hall.θ) ^ θ Estimate PSD ^ ^ =φ(ω. Note.i!k (!) = P jkj n k e. 1997 Slide L4–2 ( ) .θ) Estimate parameters in φ(ω.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. Moses. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. P By Weierstrass theorem.i! . provided m and n are chosen sufficiently large.i!k (!) is a rational function in e. Stoica and R.

Moses.g.1 + + anz. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.1 + + bmz.m and. 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. MA.n B (z) = 1 + b1z. and ARMA Models By Spectral Factorization theorem. Stoica and R. e.. Prentice Hall. 1997 .AR.

1997 Slide L4–4 . k) and take E f g to give: X r (k ) + X 2 m bj hj .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 (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . i) = m j =0 bj E fe(t . Prentice Hall. Moses.ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . j )y (t . i) = X m j =0 bj e(t . Stoica and R.

.n) . .AR Signals: Yule-Walker Equations AR: m = 0. Prentice Hall. r (. Stoica and R. 2 1 a1 = 0 . 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. 1997 Slide L4–5 . Moses. 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(. .1) : : : r(. . .1) . . . r(1) r(0) . Lecture notes to accompany Introduction to Spectral Analysis by P.

1) : : : ^(. 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. 1997 Slide L4–6 .n) 1 r r ^2 . . r . . Prentice Hall. . r ^(1) r(0) ^ ^.AR Spectral Estimation: YW Method Yule-Walker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. .1 = 0 a . Moses. . . ^(. Stoica and R.1) .

3 7 5 Y =4 y(n) y(n . Find i=1 aiy(t .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . Moses. Stoica and R. . 1) 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 ) . . .(Y Y ). y(N . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . n)]T . 1) : : : y (t . 1997 Slide L4–7 . 1) y(n + 1) y(n) . n) .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . Prentice Hall.

1 1 . . Prentice Hall. . 1997 Slide L4–8 .1 . order-recursive solution to YW equations 2 6 6 6 4 | 0 .Levinson–Durbin Algorithm Fast.. Stoica and R.n .. . {z .. 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). Moses. .. . 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. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . .0 . n ..

where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 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. Moses. 1997 Slide L4–9 . con't Relevant Properties of R: Rx = y $ Rx = y. Prentice Hall. Stoica and R. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . .Levinson-Durbin Alg.

Lecture notes to accompany Introduction to Spectral Analysis by P. 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.Levinson-Durbin Alg. Prentice Hall. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Stoica and R. 1997 . 2 kn = . Moses. 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.

1) + + bme(t . 1997 Slide L4–11 .i!k (!) = jB(!)j k=. m) Thus. r(k) = 0 for jkj > m and 2 2 = m r(k)e.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Prentice Hall. Moses. Stoica and R.m X Lecture notes to accompany Introduction to Spectral Analysis by P.

1997 Slide L4–12 . ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Moses.MA Spectrum Estimation Two main ways to Estimate (! ): 1. with AR model order n . Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. Prentice Hall. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.i!k k=. Lecture notes to accompany Introduction to Spectral Analysis by P.m ^BT (!) with a rectangular lag window of 2m + 1. Stoica and R.

k)] g = E f A(q)y(t)] A(q)y(t . Moses. A(q)y(t) = B (q)e(t) B (!) 2 = m=.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Prentice Hall. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–13 . Stoica and R. 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).m k e.

^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. can use an approximate linear two-stage least squares method ^(!) is guaranteed to be 0 2. Stoica and R.m k e jA(!)j2 linear estimation problem (the Modified Yule-Walker method).i!k k=. Estimate fai bj A(!) nonlinear estimation problem. Moses. 1997 Slide L4–14 . Prentice Hall. Estimate fai r(k)g in (!) = P m .ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1.

1) + e and its variance + ^K y(t . 1) + 2y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1) + + K y(t . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . for some large K e(t) ' y(t) + 1y(t . Prentice Hall. Stoica and R. K ) ^2 = N 1 j^(t)j2 e N . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. K ) 1a) Estimate the coefficients modelling techniques. 1997 Slide L4–15 . Moses.Two-Stage Least-Squares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t .

y(t . Note that the ai and bj coefficients enter linearly in the above equation: y(t) . Stoica and R. e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques.Two-Stage Least-Squares Method. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : . 1997 Slide L4–16 . Prentice Hall. Moses. ^(t) ' . con't fe(t)g by ^(t) in the ARMA equation. y(t . 1) : : : ^(t . n) e ^(t .

. . . = f^ g Y W system of equations. 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.6 4 Replace fr(k)g by f^(k)g and solve for faig. If M > n overdetermined squares solution for ai . . = m + 1 ::: m + M a1 an . : : : r(m . fast Levinson-type algorithms exist for obtaining ai .Modified Yule-Walker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . 1997 Slide L4–17 .. . n + 2) . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. .. . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . r f^ g . . Moses. n + 1) r(m . Stoica and R. # 2 = r(m + M . 5 . Prentice Hall. n + M ) . 1) : : : r(m .

1997 Slide L4–18 .Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low low-medium medium-high medium-high medium low-medium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2-Stage 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. Moses. Prentice Hall. Stoica and R.

Prentice Hall. Stoica and R.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–1 . Moses.

!1 !2 !3 - An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 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 . 1997 . Moses. Examples: communications radar.Line Spectra Many applications have signals with (near) sinusoidal components. Prentice Hall.

uniformly distributed on . Stoica and R. 1997 . ] (prevents model ambiguities) f'k g = independent rv's. Prentice Hall. 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 . ] (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.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . superimposed in white noise of k 2. Moses.

r(k) = E fy(t)y (t . Prentice Hall. Stoica and R. e E xp(t)xj (t . for p 6= j =2 .i'j o = E nei'p o E ne.i'j o = 1. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P.i'j o e Z n 1 i' d' 2 = 0. k) = 2 ei!pk p j p n o Hence.Covariance Function and PSD Note that: E E n i'p e. Moses. for p = j e i'p e. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . 1997 .

Prentice Hall. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.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 . Moses. 1997 Slide L5–5 . Stoica and R.

Stoica and R. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. . . Moses. 1997 Slide L5–6 . 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 . .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1 | y(t) . Prentice Hall.

Nonlinear Least Squares (NLS) Method. Y B(B B). (B B). Moses. 1997 Slide L5–7 .1B Y ] +Y Y . B ) = kY .1B Y ] B B] . (B B). Prentice Hall.1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1B Y This gives: ^ = (B B).1B Y !=^ ! and ! = arg max Y B (B B ). con't Then: F = (Y . B k2 = . B ) (Y .

Lecture notes to accompany Introduction to Spectral Analysis by P.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 ) 10.5. Stoica and R. 1997 Slide L5–8 . Prentice Hall. it is difficult to avoid convergence to local minima. Moses. ! Difficult Implementation: The NLS cost function F is multimodal.

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

High-Order Yule-Walker 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

n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L5–12 . Moses. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots.High-Order Yule-Walker Method. f!kgn=1. Stoica and R. along with L .

. . . r(L + 2) . Moses. Stoica and R. 1) : : : r(M ) r(L + M ) 4 4 = = {z } | {z r(L) r(L + 1) This is a high-order (if L > n) and overdetermined (if M > L) system of YW equations. Prentice Hall. .High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . r(L + M . Lecture notes to accompany Introduction to Spectral Analysis by P. . 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 = . 1997 Slide L5–13 .

Stoica and R. 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). y = . (U V )b = .V . if the Minimum-Norm solution b is used. Lecture notes to accompany Introduction to Spectral Analysis by P.High-Order and Overdetermined YW Equations. diagonal and nonsingular Thus. The Minimum-Norm solution is b = . 1997 Slide L5–14 . Prentice Hall. n) spurious zeros of B (q ) are located strictly inside the unit circle.1U Important property: The additional (L . Moses.

. Lecture notes to accompany Introduction to Spectral Analysis by P. Compute ^ = . this approach may give spurious frequency estimates when L > n. Prentice Hall. V from the Let U .1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.HOYW Equations. this is the price paid for increased accuracy when L > n. r . f^ g When the SNR is low.V ^ . SVD of . 1997 Slide L5–15 . Stoica and R. V be defined similarly to U . Moses. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.

Stoica and R. 1997 Slide L6–1 .Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.

.i! : : : e. 1997 Slide L6–2 . = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . 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 . . Moses. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . m + 1) .The Covariance Matrix Equation Let: a(!) = 1 e. Stoica and R. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i(m..1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Define (A) = n y(t) y(t .

n] (m (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. Stoica and R.. Moses. Prentice Hall.. n)) Thus.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. 2 R = S G] 6 4 1 3 " . 1997 Slide L6–3 .

Therefore. Moses. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. .. Prentice Hall.1) = AC S = A(PA S ( ) = rank(A) = n). = = nonsingular 0 n. Stoica and R. 1997 . 2 .. 0 n 3 7 5 with C (since rank S . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.Eigendecomposition of R and Its Properties. since S G j j 6= 0 4 .. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 .

Prentice Hall. Moses. 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. 1997 Slide L6–5 . Stoica and R. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. .MUSIC Method a (!1) .

Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudo-spectrum” function: 1 ^G a(!) ! 2 . a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Moses. Here. 1997 Slide L6–6 .1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. a(z) = 1 z.1 : : : z.1)GG a(z) = 0 that are closest to the unit circle. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.(m.

Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). 1997 Slide L6–7 . ) f!kgn=1 can be found from the roots of ^ k aT (z. Prentice Hall. Moses. Stoica and R.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. If: =n+1 m=n+1 Then: ^ g G = ^1.

that has minimum Euclidean norm. 1997 Slide L6–8 . R( ) Let " 1 = the vector in R(G). but only one vector in G (as in Pisarenko). Moses. Uses m n (as in MUSIC). g # Lecture notes to accompany Introduction to Spectral Analysis by P.Min-Norm Method Goals: Reduce computational burden. Prentice Hall. Stoica and R. and reduce risk of false frequency estimates. with first element equal ^ ^ to one.

Prentice Hall.Min-Norm Method. Moses.1) 1 ^ g " # that are closest to the unit circle. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. con't Spectral Min-Norm f!gn=1 = ^k the locations of the n highest peaks in the “pseudo-spectrum” 2 1 = a (!) 1 ^ g " # Root Min-Norm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. 1997 Slide L6–9 .

g " # Min-Norm solution: As: ^ = . for N 1.) ^^ I=S S= Multiplying the above equation by gives: (1 . Moses. k k2) = (S S ) ) (S S ). 1997 Slide L6–10 . (S S ).1 g + S S .1 = =(1 .Let S ^= S g1 .1 gm " # " # Min-Norm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . at least. k k2) ) ^ = .1 exists iff = k k2 6= 1 (This holds. k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.S =(1 . Prentice Hall.S(S S ).

Moses.1]A Then A2 Also.. let = A1D.1 0]A A2 = 0 Im. determined as is uniquely = (S1S1). where e.i!1 0 .i!n S1 = Im. D= 0 e. Stoica and R.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.1 0]S S2 = 0 Im. 1997 Slide L6–11 .ESPRIT Method Let A1 = Im.1DC {z } So has the same eigenvalues as D . Prentice Hall.1]S 2 6 4 | 3 7 5 Recall S = AC with jC j 6= 0. Then S2 = A2C = A1DC = S1 C ..

ESPRIT Implementation From the eigendecomposition of R. Stoica and R. find S .1S1S2 ^^ ^^ f!kgn=1 = . 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. Moses. 1997 Slide L6–12 . then S1 and S2 . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Prentice Hall.

Stoica and R.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS Yule-Walker Pisarenko MUSIC Min-Norm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small medium-high 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 medium-resolution applications Use ESPRIT for high-resolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 . Prentice Hall.

Stoica and R.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L7–1 . Prentice Hall.

Stoica and R. Prentice Hall. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. 1997 Slide L7–2 . (!) by a 2. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Nonparametric Approach: Implicitly smooth ! !=. Lecture notes to accompany Introduction to Spectral Analysis by P. but 2 requires to ensure that the number of estimated values = = ) is < N . Parametric Approach: Parameterize finite-dimensional model.Basic Ideas Two main PSD estimation approaches: 1. Moses. !+ ] N >1 1 2 is more general than 1.

1997 . Stoica and R. Prentice Hall. jH ( )j2 ( )d = ' 21 !+ !. 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 ( )d = (') (!) (a) consistent power calculation (b) Ideal passband filter with bandwidth (c) ( ) constant on 2 ! . Moses. as well as (b) and (c). Z 6 ~ (! ) @ -! (b) Z !c ^FB (!) ' 1 2 (a) . !c @Q Q -! . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. are conflicting.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c -! Filtered Signal y (t) .

1 k=0 X 1 ei!k k = 0 : : : N . Moses. k) 2 ! .Filter Bank Interpretation of the Periodogram 1 N y(t)e.!) . Stoica and R. 1 H (!) = hk e ! N ei(~. Prentice Hall.t) t=1 X X = N where ( X 1 k=0 hk y(N .i!k = 1 eiN (~. 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.!) .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . 1997 .

and: narrow filter passband. Prentice Hall. 1997 Slide L7–5 . con't jH (!)j as a function of (~ . ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. !). for N = 50. Moses.Filter Bank Interpretation of the Periodogram. Stoica and R. ! 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. power calculation from only 1 sample of filter output.

This “multiwindow approach” is similar to the Daniell method. Stoica and R. ~ provides several samples for power calculation. Prentice Hall. Each filter covers a small band centered on ! . 2. Both approaches compromise bias for variance. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or filtering. This approach leads to Bartlett and Welch methods. and bandpass filter each subsample. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–6 . Moses. Use several bandpass filters on the whole sample.Possible Improvements to the Filter Bank Approach 1. more data points for the power calculation stage. Split the available sample.

i! : : : e. k) 2 6 4 | .im! ]T hk e. 1997 Slide L7–7 .Capon Method Idea: Data-dependent bandpass filter design. Stoica and R. yF (t) = X m k=0 | hk y(t . y(t . 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.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. = h0 h1 : : : hm] . Moses.

1a o The power at the filter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997 Slide L7–8 .1a=a R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . Stoica and R.Capon Method. n The Bandwidth 1 ' m+1 = (filter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.1a(!) which should be the power of y (t) in a passband centered on ! . con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.

Moses.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. Stoica and R. Prentice Hall. bias decreases and variance increases. but it splits the N -data point sample into (N m) subsequences of length m with maximum overlap. . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–9 . Capon uses one bandpass filter only.

i!(t. Moses.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .Relation between Capon and Blackman-Tukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . jkj ^BT (!) = r(k)e.m m + 1 1 m m ^(t . Prentice Hall. 1997 Slide L7–10 . s)e.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. Stoica and R.i!k ^ k=.

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. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–11 . Due to the low-order AR terms in the average. Prentice Hall. 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). C ! generally has less statistical variability than the AR PSD estimator.

Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–1 . Prentice Hall. Moses. Stoica and R.

sonar. . seismology.@ . Emitted energy: Acoustic. electromagnetic. 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. Sensor 1 @.R . antennas.. seismometers Applications: Radar. . @.. . @. @.. .The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . 1997 Slide L8–2 . communications. @. Prentice Hall. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. mechanical Receiving sensors: Hydrophones.@ . Moses. v Source n @. Stoica and R. @.

(We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. The number of sources n is known.) Lecture notes to accompany Introduction to Spectral Analysis by P. AOA). the array is calibrated. Moses. Stoica and R.Simplifying Assumptions Far-field sources in the same plane as the array of sensors Non-dispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. 1997 Slide L8–3 . Prentice Hall.

background noise.g. Basic Problem: Estimate the time delays known but x t unknown. Stoica and R. k) + ek (t) ( = convolution operator).Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.) hk (t) = ek (t) = Note: t 2 R (continuous-time signals).g.. 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. Prentice Hall. Then the output of sensor k is yk (t) = hk (t) x(t . etc.. thermal noise in sensor electronics. () f kg with hk(t) This is a time-delay estimation problem in the unknown input case. Moses. 1997 Slide L8–4 . Lecture notes to accompany Introduction to Spectral Analysis by P.

1997 . k ) ' (t) cos !ct + '(t) . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Stoica and R. !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 . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Moses. k) ' (t) '(t . k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . Prentice Hall.

by low-pass filtering and sampling the signal yk (t)=2 = yk(t)e.i! + ek (t) | s(t) {z } | Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i!ct ~ = yk(t) cos(!ct) .i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. 1997 Slide L8–6 or .i!ct to obtain (t)ei (t) lowpass highpass Hence. Prentice Hall. Stoica and R. 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.Complex Signal Representation The noise-free output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i 2!ct+ (t)] g n o | {z } | {z } Lowpass filter 2z(t)e.i!c k + ek (t) where s(t) is the complex envelope of x(t). Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.!ct = (t)f ei (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

1) c Lecture notes to accompany Introduction to Spectral Analysis by P.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 . Prentice Hall. Stoica and R. 1997 Slide L8–10 . Moses.

Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i!s : : : e.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. 1997 . !s = spatial frequency The function !s 7! a( ) is one-to-one for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. Prentice Hall. Moses.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(m. Stoica and R.

Moses. 1997 Slide L9–1 . Stoica and R.Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

1997 Slide L9–2 . Moses. Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering Spatial filtering useful for DOA discrimination (similar to frequency discrimination of time-series filtering) Nonparametric DOA estimation There is a strong analogy between temporal filtering and spatial filtering.

Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . Lecture notes to accompany Introduction to Spectral Analysis by P. k) = h y(t) k=0 h = ho : : : hm. Stoica and R.1 X (t) = ei!t then yF (t) = h a(!)] u(t) | {z } filter transfer function a(!) = 1 e.i! : : : e. m + 1)]T If u m. Prentice Hall. Moses.i(m. 1997 Slide L9–3 .1] y(t) = u(t) : : : u(t .1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .

Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.i!c 2 : : : e. Stoica and R. 1997 Slide L9–4 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.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.

B B @ .? B -P C B C B B B .1 ? - 1 . Moses. C C B C B C B C B C B A @ . Cu(t) C B . Stoica and R.@ 0 B 1 C h @@ C B B e..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.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q. 1997 Slide L9–5 . Prentice Hall. ? 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.i m. B ..1 q .i! Be 2 B !! B B B B . ! hm. s qq h - ? 1 ? - m.i! C @ h a(!)]u(t) R @ C .

Spatial Filtering. Moses. h a 0 . con't Example: The response magnitude h a of a spatial filter (or beamformer) for a 10-element ULA. Here. Stoica and R. 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. 1997 Slide L9–6 .

To locate an emitter in the field of view.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. Stoica and R. Moses. by sweeping the filter through the DOA range of interest (“goniometer”). Prentice Hall. 1997 Slide L9–7 . 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).

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. 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. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 1997 . Prentice Hall. n o n o The (dominant) peaks of h DOAs of the sources.

1997 Slide L9–9 .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. Moses. Prentice Hall. y t can be considered as impinging on the array from all DOAs. Stoica and R. () 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.

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 . 1997 . Stoica and R. 1 = 1. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. ( )^ ( ) This is the direct spatial analog of the Blackman-Tukey periodogram. Resolution Threshold: inf j k . pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > .

1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. 1997 Slide L9–11 . Moses.1a( )=a ( )R.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).Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.1a( ) E jyF (t)j2 = 1=a ( )R. Prentice Hall. Both Beamforming and Capon are nonparametric approaches. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.

MUSIC. for DOA estimation. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. MIN-NORM and ESPRIT methods of frequency estimation can be used. YW. Moses. Stoica and R. 1997 Slide L9–12 . almost without modification.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.

A(A A). Moses.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]y(t) = N t=1 ^ = trf I . A(A A).1A y(t) t = 1 : : : N s X Then 1 N k I . 1997 Slide L9–13 =1 . Stoica and R. f ^k g = arg max trf A(A A).1A ]Rg ^ Thus.Nonlinear Least Squares Method 1 N ky(t) . Lecture notes to accompany Introduction to Spectral Analysis by P. 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). this is precisely the form of the NLS method of frequency estimation.1A ]Rg X f kg For N . A(A A). Prentice Hall.

1997 Slide L9–14 .Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall.

and the SVD of . Stoica and R.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. 1997 Slide L9–15 . is .n 0 V2 g L n M . Moses. Prentice Hall.) = n.Yule-Walker 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 ~ . = U1 U2 ] 0 n n 0 V1 g n .n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank |{z} |{z} Lecture notes to accompany Introduction to Spectral Analysis by P.

is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. (L 1). Moses. Stoica and R. 1997 Slide L9–16 .YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). using 1 N y(t)~ (t) ^ . Prentice Hall.=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.

Stoica and R. that is. Prentice Hall. Spectral forms of MUSIC and Min-Norm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and Min-Norm break down if the source signals are coherent. 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. Moses. 1997 Slide L9–17 .MUSIC and Min-Norm Methods Both MUSIC and Min-Norm methods for frequency estimation apply with only minor modifications to the DOA estimation problem.

D= 0 e. 1997 Slide L9–18 ( ) = d sin( )=c . Moses. Prentice Hall..ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Lecture notes to accompany Introduction to Spectral Analysis by P. where e. 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. Stoica and R.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..i!c ( 1) 0 .

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. so m m and .1 A2 = 0 Im.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1 0]A = . 1997 Slide L9–19 . the two subarrays are often the first m and last m array elements. Prentice Hall.ESPRIT Method.1 A1 = Im. Moses.1 .

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