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

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

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

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

1997 Slide L1–7 . k)g r(k) = r (. Moses. Prentice Hall.1 r(k)e.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .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 .First Definition of PSD (! ) = where r X 1 k=. (!)d! Z (!)d! = infinitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.

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

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

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

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

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

Periodogram Recall 2nd definition of (! ): 1 N y(t)e. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 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). 1997 Slide L2–2 .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.

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

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

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

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

Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. 1 jkj N Bartlett.i!k = 1.1 jkj r(k)e. Prentice Hall.1) N . Moses.(N .1) 1 = wB (k)r(k)e.1 X wB (k) = 8 < : = Thus. 1997 . or triangular.i!k k=. jNj jkj N . Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. window E ^p(!) = 21 . ( )WB (! .(N . n o 0 k 1 .i!k r k=.1 n o n o X ! X N . N k=. Stoica and R. ) d Z Ideally: WB (!) = Dirac impulse (!).

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

Moses. Prentice Hall.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. 1997 Slide L2–9 . ^ 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. 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 .

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

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

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 .Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.i!t 2 k and W = e. Prentice Hall.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P.i 2 . 1 Direct computation of O N 2 flops ( ) . 1997 Slide L2–12 . Moses. Stoica and R.

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

Prentice Hall. 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. 1997 Slide L2–14 .1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. Moses. Stoica and R.

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

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

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

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

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

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

Prentice Hall. 1997 Slide L3–6 . 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. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular 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 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

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

Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Stoica and R. for N 1. ^D(!) ' 1 ^p(!)d! 2 .Daniell Method. 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 . Prentice Hall. 1997 Slide L3–11 . Then. Moses.

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

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

1997 Slide L4–2 ( ) .θ) ^ θ Estimate PSD ^ ^ =φ(ω. ! can approximate arbitrarily well any continuous PSD.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. P By Weierstrass theorem. provided m and n are chosen sufficiently large. Moses. Prentice Hall.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.i! .θ) Estimate parameters in φ(ω. Note. Stoica and R.i!k (!) = P jkj n k e.i!k (!) is a rational function in e.

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

k)g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L4–4 . i) = X m j =0 bj e(t . j )y (t .k = j =0 = 0 for k > m B (q) = 1 h q. j ) (b0 = 1) Multiply by y (t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Moses. k) and take E f g to give: X r (k ) + X 2 m bj hj . Prentice Hall. i) = m j =0 bj E fe(t .

.n) . Prentice Hall. 2 1 a1 = 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(. .1) . r (. . 1997 Slide L4–5 . . .1) : : : r(. . Stoica and R. 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. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. . r(1) r(0) .AR Signals: Yule-Walker Equations AR: m = 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. ^(. 1997 Slide L4–6 . . .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) : : : ^(. Stoica and R. Moses. Prentice Hall.n) 1 r r ^2 . . r ^(1) r(0) ^ ^. r .1 = 0 a . .1) .

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

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

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

2 kn = . Moses. Prentice Hall. 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. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Stoica and R. 1997 . 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.Levinson-Durbin Alg.

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

Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=. 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 . Prentice Hall. with AR model order n . ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.m ^BT (!) with a rectangular lag window of 2m + 1.

k)] g = X n X n j =0 p=0 aj ap r(k + p . Stoica and R. A(q)y(t) = B (q)e(t) B (!) 2 = m=.m k e. 1997 Slide L4–13 .i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). k)] g = E f A(q)y(t)] A(q)y(t . j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.

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

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

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

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

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. Prentice Hall. Stoica and R. Moses. 1997 Slide L4–18 .

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

Stoica and R. Examples: communications radar. Prentice Hall. 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. Moses. 1997 . !1 !2 !3 - An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

Stoica and R. 1997 Slide L5–6 . B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. . . Prentice Hall. 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) . Moses.

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

Prentice Hall. 1997 Slide L5–8 .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. Lecture notes to accompany Introduction to Spectral Analysis by P.5. Moses. ! Difficult Implementation: The NLS cost function F is multimodal. Stoica and R. it is difficult to avoid convergence to local minima.

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

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

Stoica and R. . Prentice Hall. . r(L + 2) .High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . 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 . Moses. . Lecture notes to accompany Introduction to Spectral Analysis by P. . 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. r(L + M . .

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

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

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

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

1997 Slide L6–3 . Moses.. n)) Thus. Prentice Hall.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm.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.. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.n] (m (m . 2 R = S G] 6 4 1 3 " . Stoica and R.

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

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

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

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

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

Prentice Hall. 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.1) 1 ^ g " # that are closest to the unit circle. 1997 Slide L6–9 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.Min-Norm Method.

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

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

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

Prentice Hall. 1997 .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. Stoica and R. Moses.

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

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

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

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

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

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

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

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

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

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

Moses. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Due to the low-order AR terms in the average. Stoica and R. C ! generally has worse resolution and bias properties than the AR method. Prentice Hall. 1997 Slide L7–11 . C ! generally has less statistical variability than the AR PSD estimator.

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

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

(We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. 1997 Slide L8–3 . the array is calibrated.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. Moses. Stoica and R. The number of sources n is known.) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. AOA).

k) + ek (t) ( = convolution operator). etc. background noise. 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. 1997 Slide L8–4 .g. Moses. Prentice Hall. () f kg with hk(t) This is a time-delay estimation problem in the unknown input case. Lecture notes to accompany Introduction to Spectral Analysis by P. thermal noise in sensor electronics. Basic Problem: Estimate the time delays known but x t unknown. Then the output of sensor k is yk (t) = hk (t) x(t .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). Stoica and R.g..

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

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). 1997 Slide L8–6 or . Prentice Hall. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. by low-pass filtering and sampling the signal yk (t)=2 = yk(t)e.i!ct ~ = yk(t) cos(!ct) . 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! + ek (t) | s(t) {z } | Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!ct to obtain (t)ei (t) lowpass highpass Hence.!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

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

1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.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. !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.i!s : : : e. Moses. 1997 . Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

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

Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–2 .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. Moses. Prentice Hall. Stoica and R.

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

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. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Prentice Hall.i!c 2 : : : e. Moses. 1997 Slide L9–4 .Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.

B . B .? B -P C B C B B B . Moses.i! Be 2 B !! B 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 2.1 ? - 1 . B B @ .@ 0 B 1 C h @@ C B B e..i! C @ h a(!)]u(t) R @ C . ? qq 1 ! (Spatial sampling) (b) Spatial filter Lecture notes to accompany Introduction to Spectral Analysis by P. C C B C B C B C B C B A @ . Prentice Hall.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q..1 q . Cu(t) C B .i m.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. Stoica and R. s qq h - ? 1 ? - m. 1997 Slide L9–5 . ! hm.

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

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

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. 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. Stoica and R. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . n o n o The (dominant) peaks of h DOAs of the sources.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Prentice Hall. Moses.

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

( )^ ( ) This is the direct spatial analog of the Blackman-Tukey periodogram. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Stoica and R. 1997 . 1 = 1. Resolution Threshold: inf j k . Moses.

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

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

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

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

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

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

that is. Moses. 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.MUSIC and Min-Norm Methods Both MUSIC and Min-Norm methods for frequency estimation apply with only minor modifications to the DOA estimation problem. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–17 . Stoica and R. if rank (P ) = rank(E fs(t)s (t)g) < n Modifications that apply in the coherent case exist.

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

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

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