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

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

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

Prentice Hall.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Stoica and R. Moses. 1997 Slide L1–6 .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 L1–7 . Prentice Hall.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . Stoica and R. k)g r(k) = r (.First Definition of PSD (! ) = where r X 1 k=.1 r(k)e.k) r(0) jr(k)j Z Note that r(k) = 21 . Moses. (!)d! Z (!)d! = infinitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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.

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

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

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

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

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

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

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

Moses. Stoica and R. 1997 Slide L2–9 . Prentice Hall.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . 1997 Slide L2–10 . Moses. Stoica and R. WB ! !. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . so ! is asymptotically unbiased.

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

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

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

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

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 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.1 N k=0 sampled. N=8 ω 2 k N . 1997 Slide L2–15 . Moses.

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

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

Blackman-Tukey Method. Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. con't ^BT (!) = 1 ^p( )W (! . 1997 . )d 2 . Stoica and R.

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

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

Stoica and R.Window Examples Triangular Window. Moses. 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. Prentice Hall. 1997 Slide L3–6 . M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window.

Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])

^j (!) = 1 yj (t)e;i!t M t=1
X

M

2

1 L ^ (!) ^B (!) = L j =1 j
X

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

1 L ^B (!) = L j =1
X

8 > < > :

M ;1 X

=

'
Thus:

k=;(M ;1) M ;1 X k=;(M ;1)

k=;(M ;1) 8 M ;1 < 1 X L X
:

r ^j (k)e;i!k
9 =

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

^B (!) ' ^BT (!)
Since B ! implicitly uses method has

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8

Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobe-sidelobe tradeoff capability

1

2 . . . subseq subseq #1 #2 subseq #S

N

Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)

=

])

Additional flexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to non-rectangular lag window.

^BT (!) with a
Slide L3–9

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997

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

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

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

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

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

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

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

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

r . .1) . Stoica and R. Moses. 1997 Slide L4–6 . . r ^(1) r(0) ^ ^. .1 = 0 a . .n) 1 r r ^2 . 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.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) : : : ^(. Prentice Hall.

y(N . Prentice Hall. . 1) : : : y (t . . . n) . 1997 Slide L4–7 . 1) y(N . Stoica and R. . . .(Y Y ). 2) Lecture notes to accompany Introduction to Spectral Analysis by P. Find i=1 aiy(t . n)]T . 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.AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . ^ = .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . 1) y(n + 1) y(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.. order-recursive solution to YW equations 2 6 6 6 4 | 0 .Levinson–Durbin Algorithm Fast. n . .. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . Prentice Hall.1 . .. 1997 Slide L4–8 . Stoica and R.. . . {z .1 1 . Moses. 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).n . .0 .

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

2 kn = . Stoica and R. 1997 . Lecture notes to accompany Introduction to Spectral Analysis by P. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 .Levinson-Durbin Alg. Moses. jknj2) 2 2 n " n # " ~n 1 # Computation count: k flops for the step k 2 ) n2 flops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. 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. Prentice Hall.

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

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

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

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

1) + e and its variance + ^K y(t . Prentice Hall. f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. K ) ^2 = N 1 j^(t)j2 e N . 1997 Slide L4–15 . 1) + 2y(t . Moses.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) + + K y(t . for some large K e(t) ' y(t) + 1y(t . Stoica and R.

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

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

1997 Slide L4–18 . Stoica and R. Moses. Prentice Hall.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. Moses. 1997 Slide L5–1 . Stoica and R.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P.

Stoica and R. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 . !1 !2 !3 - An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P.Line Spectra Many applications have signals with (near) sinusoidal components. Prentice Hall. Examples: communications radar. Moses. 1997 .

superimposed in white noise of k 2.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . 1997 . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X | {z } Assumptions: A1: A2: k>0 !k 2 . ] (prevents model ambiguities) f'k g = independent rv's. Prentice Hall. 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. Stoica and R. Moses.

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

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

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

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

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

Unwindowed Periodogram as an Approximate NLS Method

For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:

n=1
X

B B=N
N t=1

BY=

y(t)e;i!t = Y (!)

(finite DTFT)

1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,

! = arg max ^p(!) ^ !

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997

Slide L5–10

High-Order Yule-Walker Method Recall:

y(t) = x(t) + e(t) =

k ei(!k t+'k ) +e(t) | {z } k=1 xk (t)
X

n

“Degenerate” ARMA equation for y (t):
n

(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o

Let

B (q) = 1 +

4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X

L

Then B

(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997

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

Prentice Hall. 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 = . . . r(L + M . 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.High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. r(L + 2) . . . 1997 Slide L5–13 .

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

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

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

Moses..1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Define (A) = n y(t) y(t .i(m. 1997 Slide L6–2 .i! : : : 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 . m + 1) . 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . Prentice Hall..The Covariance Matrix Equation Let: a(!) = 1 e. = 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. Stoica and R.

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

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

1997 Slide L6–5 .MUSIC Method a (!1) . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. . Moses. Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Prentice Hall. Stoica and R.

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

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

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

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

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

i!1 0 .. 1997 Slide L6–11 .1]S 2 6 4 | 3 7 5 Recall S = AC with jC j 6= 0.1 0]A A2 = 0 Im. let = A1D.1DC {z } So has the same eigenvalues as D .. D= 0 e. where e.ESPRIT Method Let A1 = Im. Moses. determined as is uniquely = (S1S1). Stoica and R.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 0]S S2 = 0 Im.i!n S1 = Im.1]A Then A2 Also. Then S2 = A2C = A1DC = S1 C .

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

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

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

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

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

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

Filter Bank Interpretation of the Periodogram. con't jH (!)j as a function of (~ . Stoica and R. ! 0 −5 −10 −15 dB −20 −25 −30 −35 −40 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Conclusion: The periodogram p ! is a filter bank PSD estimator with bandpass filter as given above. 1997 Slide L7–5 . ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. and: narrow filter passband. power calculation from only 1 sample of filter output. for N = 50. !). Moses. Prentice Hall.

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

1997 Slide L7–7 . = h0 h1 : : : hm] . k) 2 6 4 | . y(t .im! ]T hk e. Moses.i! : : : e.Capon Method Idea: Data-dependent bandpass filter design. Prentice Hall. yF (t) = X m k=0 | hk y(t . Stoica and R. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.

Capon Method. Moses. 1997 Slide L7–8 . Stoica and R. n The Bandwidth 1 ' m+1 = (filter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P.1a=a 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 ! . con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R. Prentice Hall.

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

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

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

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

@. @. sonar. Stoica and R.R .@ . communications. mechanical Receiving sensors: Hydrophones.@ . Prentice Hall. seismology. @. @. electromagnetic. Sensor 1 @. Emitted energy: Acoustic. Moses. v Source n @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . .. . 1997 Slide L8–2 . antennas. @. seismometers Applications: Radar. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors.. 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 L8–3 . AOA). Moses. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Prentice Hall. Stoica and R.) Lecture notes to accompany Introduction to Spectral Analysis by P. 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. The number of sources n is known.

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

Moses. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . Stoica and R. k ) ' jHk (!c)j (t)cos !ct + '(t) . the kth sensor output is yk (t) = 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. k ) ' (t) cos !ct + '(t) . 1997 . k) ' (t) '(t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. !c k ] hk (t) x(t . 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 2!ct+ (t)] g n o | {z } | {z } Lowpass filter 2z(t)e.i!ct to obtain (t)ei (t) lowpass highpass Hence.Complex Signal Representation The noise-free output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.!ct = (t)f ei (t) + e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i!c k + ek (t) where s(t) is the complex envelope of x(t).i!ct ~ = yk(t) cos(!ct) . 1997 Slide L8–6 or . by low-pass filtering and sampling the signal yk (t)=2 = yk(t)e. Stoica and R. Moses.i! + ek (t) | s(t) {z } | Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) 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

1997 Slide L8–10 . Prentice Hall. Moses. Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d - v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k .

!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. 1997 . Stoica and R. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.i(m.i!s : : : e.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.

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

Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 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. Prentice Hall.

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

Prentice Hall. 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.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. Moses. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.i!c 2 : : : e. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

Prentice Hall. To locate an emitter in the field of view.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”). Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–7 . hence filtering out interferences located outside the filter's beam (but possibly having the same temporal characteristics as the signal). Stoica and R.

and evaluate the powers of the filtered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 1997 . Stoica and R. Prentice Hall. 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. n o n o The (dominant) peaks of h DOAs of the sources. Moses.

y t can be considered as impinging on the array from all DOAs. Moses. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–9 . Prentice Hall. Stoica and R.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for filter bank methods.

Resolution Threshold: inf j k . 1 = 1. 1997 . Prentice Hall.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 . Stoica and R. ( )^ ( ) 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. Moses. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > .

1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Moses.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Prentice Hall. Both Beamforming and Capon are nonparametric approaches. 1997 Slide L9–11 .1a( ): Performance: Slightly superior to Beamforming. Stoica and R.1a( )=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). Lecture notes to accompany Introduction to Spectral Analysis by P.1a( ) E jyF (t)j2 = 1=a ( )R.

YW. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. Stoica and R. MIN-NORM and ESPRIT methods of frequency estimation can be used. almost without modification. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. for DOA estimation. 1997 Slide L9–12 . MUSIC.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 ]Rg X f kg For N .1A y(t) t = 1 : : : N s X Then 1 N k I .1A ]Rg ^ Thus. f ^k g = arg max trf A(A A). this is precisely the form of the NLS method of frequency estimation. Lecture notes to accompany Introduction to Spectral Analysis by P. As(t)k2 min(t)g N f k g fs t=1 X | Minimizing f over s gives f ( s) {z } ^(t) = (A A). A(A A). Stoica and R.1A ]y(t) = N t=1 ^ = trf I .Nonlinear Least Squares Method 1 N ky(t) . 1997 Slide L9–13 =1 . A(A A). Prentice Hall. A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . Moses.

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

= 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.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 . Stoica and R.) = n. is . and the SVD of . 1997 Slide L9–15 . = U1 U2 ] 0 n n 0 V1 g n . Moses. Prentice Hall.

=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. using 1 N y(t)~ (t) ^ . (L 1).YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. 1997 Slide L9–16 . Moses. Prentice Hall.

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

1997 Slide L9–18 ( ) = d sin( )=c . Stoica and R. where e. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D.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 .. D= 0 e. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P..

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

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