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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
1997 Slide L1–4 .1 y(t)e. Stoica and R.1 = t= If: discretetime deterministic data sequence X 1 t=. Moses. Prentice Hall.Deterministic Signals fy(t)g1 .i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.
Stoica and R. Prentice Hall.1 X (k)e. S (!)d! t=.i!k (k) = 1 t=. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . Moses.1 y(t)y (t .1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.
Moses.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. Stoica and R. Prentice Hall. 1997 Slide L1–6 .Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.
(!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.First Deﬁnition of PSD (! ) = where r X 1 k=. Stoica and R. 1997 Slide L1–7 .1 r(k)e. k)g r(k) = r (. Moses.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 .
Moses.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.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. Stoica and R. 1997 Slide L1–8 .
1997 Slide L1–9 . Prentice Hall.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. P2: ] () f 2 . Thus.Properties of the PSD P1: (!) = (! + 2 ) for all !. Moses. Then: (! ) = (.1=2 1=2] (!) 0 (t) is real. Stoica and R. we can restrict attention to !2 .! ) Otherwise: (! ) 6= (.
k) hk e.1y(t) = y(t . 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .k = unit delay operator: q.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. Moses. 1997 Slide L1–10 .1 H (q) = X 1 k=0 hk q. Stoica and R.
]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Stoica and R. 1997 Slide L1–11 . Moses. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Prentice Hall.
1997 Slide L2–1 . Prentice Hall. Stoica and R.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
1997 Slide L2–2 . Stoica and R. Moses.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e.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. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
i!k ^c(!) = k=. 1997 Slide L2–3 . Moses.1 N .Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.1) Lecture notes to accompany Introduction to Spectral Analysis by P.(N .i!k (k)” by “^(k)”: r r ^(k)e.1 X r(k)e. Prentice Hall. Stoica and R.
Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . k) k 0 ^ r(k) = N .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–4 . k t=k+1 X Standard biased estimate: 1 N y(t)y (t . Stoica and R. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. Prentice Hall. Moses.
Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 .i!t N t=1 X 2 = N .i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.1) r ^(k)e. Stoica and R.1 X = ^c(!) k=.(N .Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). N ^p(!) = 1 y(t)e. Moses.
Thus. ( )g ^ ( ) . the PSD error is large. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–6 . 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. Intuitive explanation: r(k) . ^p(!) and ^c(!) have poor performance. Stoica and R. jk =0 there are “so many” that when summed in ! . Moses.1 are small. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. p! f^( ) . even for large N .
i!k r k=.1 jkj r(k)e. jNj jkj N . 1997 .(N . Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. n o 0 k 1 .1) 1 = wB (k)r(k)e. window E ^p(!) = 21 .1 n o n o X ! X N .1 X wB (k) = 8 < : = Thus.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.i!k = 1. Moses.(N . N k=. or triangular. ) d Z Ideally: WB (!) = Dirac impulse (!). Prentice Hall. ( )WB (! .1) N . 1 jkj N Bartlett.i!k k=. Stoica and R.
(!) may differ quite a bit from (!). Stoica and R. Moses. 1997 . WB 1=N .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Prentice Hall. 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 . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P.
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 . ^ 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.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Stoica and R. Prentice Hall. Moses. 1997 Slide L2–9 .
Stoica and R. Moses. Prentice Hall. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. severe bias As N . so ! is asymptotically unbiased.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . WB ! !. 1997 Slide L2–10 .
(!1) ^p(!2) . dev = φ(ω) too  Resolvability properties depend on both bias and variance.Periodogram Variance As N !1 E ^p(!1) . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. Prentice Hall. 1997 Slide L2–11 . Moses.
i!t 2 k and W = e. 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 .1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. 1997 Slide L2–12 . 1 Direct computation of O N 2 ﬂops ( ) .i 2 . Stoica and R. Prentice Hall.
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 = . 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . ~ 4 = 0 2 4 : : : N . 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation.i2 =N . Stoica and R. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Slide L2–13 t=1 ~ ~ f y(t) .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Prentice Hall. 1997 .
1997 Slide L2–14 . Moses.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 2k + 2c ck = 2 k. Prentice Hall. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT.
Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N .1 N k=0 sampled. Stoica and R. Moses.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–15 . N=8 ω 2 k N . Prentice Hall.
Stoica and R. Moses. 1997 Slide L3–1 . Prentice Hall.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
1 X k=. Stoica and R.1) w(k)^(k)e. 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. Prentice Hall.BlackmanTukey Method Basic Idea: Weighted correlogram. ^( ) jj ^BT (!) = M . with small weight applied to covariances r k with “large” k . 1997 Slide L3–2 .(M .
)d 2 . 1997 . Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. con't ^BT (!) = 1 ^p( )W (! .BlackmanTukey Method. Stoica and R.
Prentice Hall. 1997 Slide L3–4 . 0 Z  {z } If W (!) 0 (. )d 2 .1 X . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.1) Ne = k=.(M (0) w Z w (k ) = equiv time width 1 2 . Stoica and R. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . Moses.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! .
con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. As M increases. Lecture notes to accompany Introduction to Spectral Analysis by P. ) Choose M as a tradeoff between variance and bias. 1997 Slide L3–5 . Ne (and hence ﬁxed. bias decreases and variance increases. Stoica and R. Prentice Hall. once M is given. Once M is given.Window Design. Moses. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level).
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. Stoica and R. Prentice Hall. Moses.Window Examples Triangular Window. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. 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 BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N .J X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L3–10 .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 . Stoica and R. for N 1. Moses.
Stoica and R. Then. for N 1. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Prentice Hall. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Moses. 1997 Slide L3–11 . Lecture notes to accompany Introduction to Spectral Analysis by P.Daniell Method. ^D(!) ' 1 ^p(!)d! 2 .
BT periodogram – Local smoothing/averaging of spectral window. Daniell Periodogram – Approximate interpretation: spectral window. Prentice Hall.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. ^ () – Implemented by averaging subsample periodograms. 1997 . Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. Moses. more general for Welch). ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–1 . Moses. Stoica and R.
i!k (!) is a rational function in e. ! can approximate arbitrarily well any continuous PSD.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.θ) ^ θ Estimate PSD ^ ^ =φ(ω. Stoica and R. Note. P By Weierstrass theorem.θ) Estimate parameters in 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. provided m and n are chosen sufﬁciently large.i! . Prentice Hall.i!k (!) = P jkj n k e. 1997 Slide L4–2 ( ) .
Moses. MA.1 + + anz.m and. Stoica and R.n B (z) = 1 + b1z. e.1 + + bmz.g. Prentice Hall. 1997 .. and ARMA Models By Spectral Factorization theorem. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. 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.AR.
Prentice Hall. k)g Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–4 . j ) (b0 = 1) Multiply by y (t . j )y (t . i) = m j =0 bj E fe(t . i) = X m j =0 bj e(t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Moses. Stoica and R. 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.ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t .
n) .AR Signals: YuleWalker Equations AR: m = 0. .1) : : : 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. . . 2 1 a1 = 0 . .1) . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. . r(1) r(0) . r (. . Prentice Hall. 1997 Slide L4–5 . Stoica and R. .
.1 = 0 a . .n) 1 r r ^2 . Moses. .1) : : : ^(. . . ^(. Prentice Hall.AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(.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. r ^(1) r(0) ^ ^. 1997 Slide L4–6 . Stoica and R. r .
. . 1997 Slide L4–7 .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . Find i=1 aiy(t . 1) : : : y (t . 1) y(N . Moses. 1) y(n + 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 ) . n) . Prentice Hall. y(N . . 3 7 5 Y =4 y(n) y(n . Stoica and R. . . ^ = . n)]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 .(Y Y ).
Stoica and R.. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . orderrecursive solution to YW equations 2 6 6 6 4  0 . . Moses. . {z . .. .1 1 . 1997 Slide L4–8 ...1 . Prentice Hall. n . 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.0 . .n .Levinson–Durbin Algorithm Fast. . 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)..
2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . con't Relevant Properties of R: Rx = y $ Rx = y. Moses. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. Stoica and R. n 3 7 5 1 Rn+2 4 1 n = 0 3 5 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 32 54 1 n n = 0 0 n 3 5 2 4 2 3 5 where r n = n+1 + ~n n Lecture notes to accompany Introduction to Spectral Analysis by P. . 1997 Slide L4–9 . Prentice Hall.LevinsonDurbin Alg.
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.LevinsonDurbin Alg. Stoica and R. 2 kn = . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Moses. jknj2) 2 2 n " n # " ~n 1 # Computation count: k ﬂops for the step k 2 ) n2 ﬂops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
i!k (!) = jB(!)j k=. 1997 Slide L4–11 . r(k) = 0 for jkj > m and 2 2 = m r(k)e. 1) + + bme(t .m X Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . m) Thus. Prentice Hall. Stoica and R.
Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. with AR model order n . Moses. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. Stoica and R.MA Spectrum Estimation Two main ways to Estimate (! ): 1. 1997 Slide L4–12 . ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Prentice Hall.i!k k=.m ^BT (!) with a rectangular lag window of 2m + 1. Lecture notes to accompany Introduction to Spectral Analysis by P.
ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). 1997 Slide L4–13 . k)] g = X n X n j =0 p=0 aj ap r(k + p . Prentice Hall. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . k)] g = E f A(q)y(t)] A(q)y(t . Moses.m k e. A(q)y(t) = B (q)e(t) B (!) 2 = m=.
Prentice Hall. Estimate fai r(k)g in (!) = P m . Estimate fai bj A(!) nonlinear estimation problem. Moses. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Stoica and R.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. 1997 Slide L4–14 .
1) + 2y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1) + e and its variance + ^K y(t . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. Stoica and R. K ) ^2 = N 1 j^(t)j2 e N . for some large K e(t) ' y(t) + 1y(t . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P.TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 1) + + K y(t . Moses. 1997 Slide L4–15 . Prentice Hall.
1) : : : . Stoica and R. 1997 Slide L4–16 . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.TwoStage LeastSquares Method.y(t . Moses. y(t . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. con't fe(t)g by ^(t) in the ARMA equation. ^(t) ' . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . 1) : : : ^(t . n) e ^(t .
. r f^ g . Stoica and R. least f^ g Note: For narrowband ARMA signals. . n + 2) . . 1997 Slide L4–17 . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. . = f^ g Y W system of equations. If M > n overdetermined squares solution for ai . n + 1) r(m . i) = 0 k > m 3 7 5 " r(m) r(m + 1) .6 4 Replace fr(k)g by f^(k)g and solve for faig. # 2 = r(m + M .. . . fast Levinsontype algorithms exist for obtaining ai . n + M ) . Prentice Hall.. Moses. r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. : : : r(m . 5 . . = m + 1 ::: m + M a1 an .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . 1) : : : r(m . .
1997 Slide L4–18 .Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. Moses.
Moses.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–1 . Stoica and R. Prentice Hall.
Stoica and R. Moses.Line Spectra Many applications have signals with (near) sinusoidal components. Prentice Hall. Examples: communications radar. 1997 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 .
superimposed in white noise of k 2. Prentice Hall. ] (prevents model ambiguities) f'k g = independent rv's. uniformly distributed on . Moses. 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 . ] (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. 1997 .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 .
1997 . Stoica and R. e E xp(t)xj (t . !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. Prentice Hall. Moses. for p = j e i'p e.i'j o = E nei'p o E ne. k) = 2 ei!pk p j p n o Hence.i'j o = 1.Covariance Function and PSD Note that: E E n i'p e. for p 6= j =2 . r(k) = E fy(t)y (t . k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! .
^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. 1997 Slide L5–5 .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 . Prentice Hall.
. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . Stoica and R. Prentice Hall. 1997 Slide L5–6 . . Moses. 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 .
Y B(B B). B k2 = .1B Y ] +Y Y .1B Y This gives: ^ = (B B). 1997 Slide L5–7 . Moses. Prentice Hall.1B Y !=^ ! and ! = arg max Y B (B B ). con't Then: F = (Y . (B B). (B B). B ) (Y .Nonlinear Least Squares (NLS) Method. Stoica and R.1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P.1B Y ] B B] . B ) = kY .
1997 Slide L5–8 . ! Difﬁcult Implementation: The NLS cost function F is multimodal. it is difﬁcult to avoid convergence to local minima.NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.5.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Moses. Stoica and R. Prentice Hall. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P.HighOrder YuleWalker Method. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. 1997 Slide L5–12 . along with L . f!kgn=1.
. Prentice Hall. 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. . 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 = . Stoica and R. . . Moses.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . r(L + M . 1997 Slide L5–13 . r(L + 2) . . Lecture notes to accompany Introduction to Spectral Analysis by P.
V . Prentice Hall. Moses. n) spurious zeros of B (q ) are located strictly inside the unit circle. 1997 Slide L5–14 . Stoica and R. if the MinimumNorm solution b is used. y = .1U Important property: The additional (L . 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). The MinimumNorm solution is b = .HighOrder and Overdetermined YW Equations. Lecture notes to accompany Introduction to Spectral Analysis by P. diagonal and nonsingular Thus. (U V )b = .
Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. this is the price paid for increased accuracy when L > n.V ^ . Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.HOYW Equations. V be deﬁned similarly to U . Compute ^ = . f^ g When the SNR is low. r . Prentice Hall. SVD of . this approach may give spurious frequency estimates when L > n. 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. 1997 Slide L5–15 .
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–1 . Moses. Prentice Hall. Stoica and R.
1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .i! : : : e. Prentice Hall. Moses. 1997 Slide L6–2 .. m + 1) .. 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 . Stoica and R. . = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t .The Covariance Matrix Equation Let: a(!) = 1 e.i(m.
n] (m (m . n)) Thus. 1997 Slide L6–3 .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Prentice Hall. 2 R = S G] 6 4 1 3 " . Stoica and R.. 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.. Moses.
Eigendecomposition of R and Its Properties.1) = AC S = A(PA S ( ) = rank(A) = n). con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.. . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . Moses. 0 n 3 7 5 with C (since rank S . 2 . 1997 .. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P.. Prentice Hall. = = nonsingular 0 n. Therefore. Stoica and R. since S G j j 6= 0 4 .
A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. 1997 Slide L6–5 . Stoica and R. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Prentice Hall. 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.MUSIC Method a (!1) . .
a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. 1997 Slide L6–6 . Lecture notes to accompany Introduction to Spectral Analysis by P.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 . Stoica and R.(m.1 : : : z. Here.1)GG a(z) = 0 that are closest to the unit circle. Moses. Prentice Hall. a(z) = 1 z.
Moses. 1997 Slide L6–7 . Prentice Hall.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). ) f!kgn=1 can be found from the roots of ^ k aT (z. 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.
MinNorm Method Goals: Reduce computational burden. Uses m n (as in MUSIC). Moses. that has minimum Euclidean norm. and reduce risk of false frequency estimates. with ﬁrst element equal ^ ^ to one. but only one vector in G (as in Pisarenko). Stoica and R. g # Lecture notes to accompany Introduction to Spectral Analysis by P. R( ) Let " 1 = the vector in R(G). 1997 Slide L6–8 . Prentice Hall.
1997 Slide L6–9 . Stoica and R.1) 1 ^ g " # that are closest to the unit circle. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. con't Spectral MinNorm f!gn=1 = ^k the locations of the n highest peaks in the “pseudospectrum” 2 1 = a (!) 1 ^ g " # Root MinNorm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. Prentice Hall.MinNorm Method.
g " # MinNorm solution: As: ^ = .1 exists iff = k k2 6= 1 (This holds. at least. k k2) = (S S ) ) (S S ). 1997 Slide L6–10 . (S S ). k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . Moses.1 g + S S .) ^^ I=S S= Multiplying the above equation by gives: (1 .S(S S ).Let S ^= S g1 .S =(1 . k k2) ) ^ = .1 = =(1 . Stoica and R. for N 1.
1997 Slide L6–11 .1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.i!n S1 = Im. Stoica and R.ESPRIT Method Let A1 = Im. determined as is uniquely = (S1S1).1]A Then A2 Also. let = A1D. D= 0 e.1DC {z } So has the same eigenvalues as D ..i!1 0 . where e. Prentice Hall. Moses.1 0]S S2 = 0 Im.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.1 0]A A2 = 0 Im. Then S2 = A2C = A1DC = S1 C ..
^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Stoica and R. then S1 and S2 .ESPRIT Implementation From the eigendecomposition of R. arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1S1S2 ^^ ^^ f!kgn=1 = . Moses. ﬁnd S . 1997 Slide L6–12 .
Prentice Hall. 1997 . Stoica and R.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Prentice Hall. Moses.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L7–1 .
Parametric Approach: Parameterize ﬁnitedimensional model.Basic Ideas Two main PSD estimation approaches: 1. Stoica and R. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Moses. Nonparametric Approach: Implicitly smooth ! !=. by assuming that ! is nearly constant over the bands f ( )g ( ) !. but 2 requires to ensure that the number of estimated values = = ) is < N . Lecture notes to accompany Introduction to Spectral Analysis by P. (!) by a 2. Prentice Hall. 1997 Slide L7–2 . !+ ] N >1 1 2 is more general than 1.
with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . are conﬂicting. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . Moses. 1997 . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . jH ( )j2 ( )d = ' 21 !+ !. Prentice Hall. Stoica and R. as well as (b) and (c). !c @Q Q ! . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . 2 ! + 2 ] Note that assumptions (a) and (b).
i!k = 1 eiN (~. 1997 . 1 H (!) = hk e ! N ei(~. Moses. Stoica and R.Filter Bank Interpretation of the Periodogram 1 N y(t)e.!) .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. Prentice Hall.t) t=1 X X = N where ( X 1 k=0 hk y(N . 1 k=0 X 1 ei!k k = 0 : : : N .
Prentice Hall. con't jH (!)j as a function of (~ . and: narrow ﬁlter passband. power calculation from only 1 sample of ﬁlter output. Moses. ! 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. Stoica and R. !). 1997 Slide L7–5 .Filter Bank Interpretation of the Periodogram. for N = 50. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.
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. Both approaches compromise bias for variance. Moses. Use several bandpass ﬁlters on the whole sample. more data points for the power calculation stage. and bandpass ﬁlter each subsample. Prentice Hall. Split the available sample. This approach leads to Bartlett and Welch methods. 2. Each ﬁlter covers a small band centered on ! . 1997 Slide L7–6 .Possible Improvements to the Filter Bank Approach 1. This “multiwindow approach” is similar to the Daniell method. Stoica and R. ~ provides several samples for power calculation.
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. Prentice Hall.i! : : : e. 1997 Slide L7–7 . k) 2 6 4  . yF (t) = X m k=0  hk y(t .i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.im! ]T hk e. = h0 h1 : : : hm] . y(t . Stoica and R. Moses.Capon Method Idea: Datadependent bandpass ﬁlter design.
1a=a R. Stoica and R. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. Moses. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.1a(!) which should be the power of y (t) in a passband centered on ! .m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–8 . Prentice Hall.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .Capon Method.
Stoica and R. Capon uses one bandpass ﬁlter only.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. 1997 Slide L7–9 . Moses. . bias decreases and variance increases. Prentice Hall. 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.
Moses.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. s)e. Prentice Hall.m m + 1 1 m m ^(t . 1997 Slide L7–10 .i!k ^ k=.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .i!(t.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. jkj ^BT (!) = r(k)e.
Stoica and R. Prentice Hall. C ! generally has less statistical variability than the AR PSD estimator. 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). Moses. Due to the loworder AR terms in the average. 1997 Slide L7–11 . C ! generally has worse resolution and bias properties than the AR method. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Moses.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L8–1 .
. Stoica and R. seismology. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. communications. @. @.R . Emitted energy: Acoustic. Prentice Hall. antennas. Moses.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ .. Sensor 1 @. @. mechanical Receiving sensors: Hydrophones. . seismometers Applications: Radar. 1997 Slide L8–2 . @. 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. sonar. v Source n @. ...
AOA).) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–3 . Prentice Hall. Moses. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. Stoica and R. The number of sources n is known. the array is calibrated.
thermal noise in sensor electronics. etc. Moses.g. background noise. Lecture notes to accompany Introduction to Spectral Analysis by P. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. k) + ek (t) ( = convolution operator). Prentice Hall. Basic Problem: Estimate the time delays known but x t unknown.. Then the output of sensor k is yk (t) = hk (t) x(t .g..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 (continuoustime signals). Stoica and R. 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 .
!c k ] hk (t) x(t . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Prentice Hall.Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . Stoica and R. the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(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. 1997 . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. k) ' (t) '(t . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k ) ' (t) cos !ct + '(t) .
!ct = (t)f ei (t) + e. Prentice Hall. 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!ct ~ = yk(t) cos(!ct) . Stoica and R.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i!ct to obtain (t)ei (t) lowpass highpass Hence.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c k + ek (t) where s(t) is the complex envelope of x(t).i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. 1997 Slide L8–6 or . Moses.
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 . Moses. 1997 Slide L8–10 . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
1997 . Stoica and R. !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. 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.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.i(m. Prentice Hall.i!s : : : e.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–1 . Prentice Hall. Stoica and R.
Moses. 1997 Slide L9–2 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Stoica and R.
m + 1)]T If u m.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .i! : : : e. Prentice Hall. k) = h y(t) k=0 h = ho : : : hm.1] y(t) = u(t) : : : u(t . 1997 Slide L9–3 .1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . Moses.i(m. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e.
Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs. 1997 Slide L9–4 .i!c 2 : : : e. Stoica and R. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.
Prentice Hall. Stoica and R.@ 0 B 1 C h @@ C B B e. 1997 Slide L9–5 .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.. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.1 ?  1 .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.i m. B B @ .. Moses. B .i! C @ h a(!)]u(t) R @ C . ! hm. s qq h  ? 1 ?  m.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 q .B .? B P C B C B B B . Cu(t) C B . C C B C B C B C B C B A @ .
con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Prentice Hall. Stoica and R. 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. Moses. 1997 Slide L9–6 .Spatial Filtering. Here.
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). Moses. by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Stoica and R. To locate an emitter in the ﬁeld of view. Prentice Hall.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only.
Prentice Hall. Stoica and R. Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Moses. ( )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. 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.
() 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. Stoica and R. y t can be considered as impinging on the array from all DOAs. 1997 Slide L9–9 . Moses. Prentice Hall.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.
1 = 1. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Resolution Threshold: inf j k . but Slide L9–10 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 . Prentice Hall. Moses. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1a( ) E jyF (t)j2 = 1=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.1a( )=a ( )R.1a( ): Performance: Slightly superior to Beamforming. Both Beamforming and Capon are nonparametric approaches.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Prentice Hall. 1997 Slide L9–11 . Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. for DOA estimation. 1997 Slide L9–12 . almost without modiﬁcation. MUSIC. YW. MINNORM and ESPRIT methods of frequency estimation can be used. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS.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. Prentice Hall. Moses. Stoica and R.
A(A A). 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). Lecture notes to accompany Introduction to Spectral Analysis by P. f ^k g = arg max trf A(A A).1A ]Rg ^ Thus. A(A A). 1997 Slide L9–13 =1 .1A ]Rg X f kg For N .Nonlinear Least Squares Method 1 N ky(t) .1A y(t) t = 1 : : : N s X Then 1 N k I .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . Stoica and R. Moses.1A ]y(t) = N t=1 ^ = trf I . A(A A). this is precisely the form of the NLS method of frequency estimation. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–14 . Stoica and R.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Prentice Hall. Moses.
Prentice Hall. Stoica and R. is .n 0 V2 g L n M .) = n. and the SVD of .YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ . = 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.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. 1997 Slide L9–15 . Moses.
=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. 1997 Slide L9–16 . using 1 N y(t)~ (t) ^ . Prentice Hall. Moses. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). (L 1).
MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Stoica and R. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. Prentice Hall. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Moses. 1997 Slide L9–17 . that is. Lecture notes to accompany Introduction to Spectral Analysis by P.
.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. D= 0 e.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. 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. Prentice Hall. 1997 Slide L9–18 ( ) = d sin( )=c . Stoica and R.. Moses. where e.i!c ( 1) 0 .
1 A1 = Im. Moses. 1997 Slide L9–19 .1 0]A = .ESPRIT Method.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 . Stoica and R. so m m and . Prentice Hall. the two subarrays are often the ﬁrst m and last m array elements.1 A2 = 0 Im. 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.
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