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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
1 = t= If: discretetime deterministic data sequence X 1 t=. Moses.Deterministic Signals fy(t)g1 . 1997 Slide L1–4 . Prentice Hall.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=.1 y(t)e. Stoica and R.
1997 .i!k (k) = 1 t=. S (!)d! t=. Stoica and R. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . Prentice Hall.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.1 y(t)y (t .1 X (k)e.
Stoica and R.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Prentice Hall. 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.
k)g r(k) = r (. Prentice Hall. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .First Deﬁnition of PSD (! ) = where r X 1 k=. Moses.k) r(0) jr(k)j Z Note that r(k) = 21 .i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Stoica and R.1 r(k)e. (!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–7 .
1997 Slide L1–8 . t=1 y(t)e. Prentice Hall.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.Second Deﬁnition of PSD 1 N y(t)e. Stoica and R. Moses.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g.
1=2 1=2] (!) 0 (t) is real. Prentice Hall. Then: (! ) = (. Thus. we can restrict attention to !2 .! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L1–9 . P2: ] () f 2 . Moses.Properties of the PSD P1: (!) = (! + 2 ) for all !.! ) Otherwise: (! ) 6= (.
1y(t) = y(t . 1997 Slide L1–10 .k = unit delay operator: q. Moses.Transfer of PSD Through Linear Systems System Function: where q .i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. k) hk e. Prentice Hall.1 H (q) = X 1 k=0 hk q. Stoica and R. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .
The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Stoica and R. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–11 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Moses. Prentice Hall.
1997 Slide L2–1 .Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall.
Moses. 1997 Slide L2–2 . Stoica and R. Prentice Hall.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. Lecture notes to accompany Introduction to Spectral Analysis by P.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e.
(N . Prentice Hall.1 X r(k)e.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.1 N . Moses.i!k (k)” by “^(k)”: r r ^(k)e. Stoica and R.1) Lecture notes to accompany Introduction to Spectral Analysis by P.i!k ^c(!) = k=. 1997 Slide L2–3 .
k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. k) k 0 ^ r(k) = N . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. Moses. Prentice Hall. 1997 Slide L2–4 .Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . k t=k+1 X Standard biased estimate: 1 N y(t)y (t .
Moses.i!t N t=1 X 2 = N .1 X = ^c(!) k=. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Stoica and R. N ^p(!) = 1 y(t)e.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. Prentice Hall.(N .1) r ^(k)e. 1997 .
1 are small. Moses. jk =0 there are “so many” that when summed in ! .Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance. Thus. ^p(!) and ^c(!) have poor performance. even for large N . the PSD error is large. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. p! f^( ) . r(k) may be large for large jkj ^ Even if the errors r k r k Nj. Prentice Hall. Stoica and R. Intuitive explanation: r(k) . ( )g ^ ( ) . 1997 Slide L2–6 .
1 X wB (k) = 8 < : = Thus. window E ^p(!) = 21 . N k=. ) d Z Ideally: WB (!) = Dirac impulse (!). jNj jkj N .(N .1) 1 = wB (k)r(k)e. 1 jkj N Bartlett. Stoica and R. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k = 1.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.i!k r k=. Moses. ( )WB (! . n o 0 k 1 . or triangular.1 jkj r(k)e.1) N .1 n o n o X ! X N . 1997 . Prentice Hall.i!k k=.(N .
for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. (!) may differ quite a bit from (!). 1997 . Prentice Hall. WB 1=N .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0).
1997 Slide L2–9 . Stoica and R. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . Moses. Prentice Hall.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. 1997 Slide L2–10 . so ! is asymptotically unbiased. severe bias As N . Moses.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Prentice Hall. WB ! !. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st.Periodogram Variance As N !1 E ^p(!1) . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. (!1) ^p(!2) . Stoica and R. dev = φ(ω) too  Resolvability properties depend on both bias and variance. 1997 Slide L2–11 .
1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–12 . Stoica and R. 1 Direct computation of O N 2 ﬂops ( ) . Prentice Hall.i!t 2 k and W = e.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)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 . Moses.i 2 .
1997 .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Slide L2–13 t=1 ~ ~ f y(t) . Moses.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 . 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.i2 =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. Stoica and R.
1997 Slide L2–14 . Stoica and R. 2k + 2c ck = 2 k.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
N=8 ω 2 k N . Prentice Hall.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P.1 N k=0 sampled.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 . 1997 Slide L2–15 . Stoica and R. Moses.
1997 Slide L3–1 . Stoica and R. Moses. Prentice Hall.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L3–2 . Stoica and R.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P.1) w(k)^(k)e.BlackmanTukey Method Basic Idea: Weighted correlogram. Moses.(M . with small weight applied to covariances r k with “large” k .1 X k=. ^( ) jj ^BT (!) = M . Prentice Hall.
Stoica and R. Moses.BlackmanTukey Method. con't ^BT (!) = 1 ^p( )W (! . Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. )d 2 . 1997 .
W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. )d 2 . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M .1 X .(M (0) w Z w (k ) = equiv time width 1 2 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . 1997 Slide L3–4 . Prentice Hall. 0 Z  {z } If W (!) 0 (.1) Ne = k=. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. As M increases. Ne (and hence ﬁxed. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. once M is given. ) Choose M as a tradeoff between variance and bias. Once M is given. Moses. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Prentice Hall. Stoica and R. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). 1997 Slide L3–5 . bias decreases and variance increases.Window Design.
Stoica and R. Prentice Hall. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P.Window Examples Triangular Window. Moses. 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
Daniell Method By a previous result. Prentice Hall. for N 1. 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 . Moses. Stoica and R.J X Lecture notes to accompany Introduction to Spectral Analysis by P. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . 1997 Slide L3–10 .
Moses. Prentice Hall. 1997 Slide L3–11 . con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Then.Daniell Method. for N 1. ^D(!) ' 1 ^p(!)d! 2 . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Moses. Stoica and R. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Daniell Periodogram – Approximate interpretation: spectral window. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. Lecture notes to accompany Introduction to Spectral Analysis by P. BT periodogram – Local smoothing/averaging of spectral window. more general for Welch). Prentice Hall. 1997 .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. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett.
Stoica and R. Prentice Hall. 1997 Slide L4–1 . Moses.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P.
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.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.θ) Estimate parameters in φ(ω. P By Weierstrass theorem. Stoica and R.i!k (!) is a rational function in e. provided m and n are chosen sufﬁciently large.i! . ! can approximate arbitrarily well any continuous PSD. Moses. Prentice Hall. Note.θ) ^ θ Estimate PSD ^ ^ =φ(ω.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.i!k (!) = P jkj n k e.
a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.m and. A(! ) = A(z )jz =ei! Signal Modeling Interpretation: e(t) e (! ) = 2  B (q) A(q) white noise B (!) 2 2 A(!) ltered white noise y(t)y (! ) = ARMA: AR: MA: A(q)y(t) = B (q)e(t) A(q)y(t) = e(t) y(t) = B (q)e(t) Slide L4–3 Lecture notes to accompany Introduction to Spectral Analysis by P.AR. 1997 .. Stoica and R. Moses. Prentice Hall.n B (z) = 1 + b1z. MA.g.1 + + anz. and ARMA Models By Spectral Factorization theorem. e.1 + + bmz.
j )y (t . i) = m j =0 bj E fe(t . k) and take E f g to give: X r (k ) + X 2 m bj hj . i) = X m j =0 bj e(t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. j ) (b0 = 1) Multiply by y (t . Moses.ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Stoica and R.k = j =0 = 0 for k > m B (q) = 1 h q. Prentice Hall. 1997 Slide L4–4 .
. 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.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) . 2 1 a1 = 0 . .n) . Prentice Hall. 1997 Slide L4–5 . . Stoica and R. r (. .AR Signals: YuleWalker Equations AR: m = 0. . Moses. . Lecture notes to accompany Introduction to Spectral Analysis by P.1) : : : r(.
1997 Slide L4–6 . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. . Moses. r ^(1) r(0) ^ ^. ^(.1) . .n) 1 r r ^2 . . . . r . Stoica and R.1) : : : ^(. .1 = 0 a .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) : : : y (t . Find i=1 aiy(t . n) . . . y(N . 3 7 5 Y =4 y(n) y(n . Moses. Prentice Hall.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(n + 1) y(n) . . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. .(Y Y ).1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) 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 ) . Stoica and R. 1997 Slide L4–7 . n)]T .
. ...1 .1 1 .. n .. . {z . orderrecursive solution to YW equations 2 6 6 6 4  0 .. . 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). 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.Levinson–Durbin Algorithm Fast. .n . . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . Stoica and R. Prentice Hall. 1997 Slide L4–8 .0 .
LevinsonDurbin Alg. . where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 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. 1997 Slide L4–9 . Prentice Hall. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Stoica and R. con't Relevant Properties of R: Rx = y $ Rx = y.
1997 . 2 kn = . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. 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. 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. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Prentice Hall.LevinsonDurbin Alg. Moses.
m) Thus.i!k (!) = jB(!)j k=.m X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. r(k) = 0 for jkj > m and 2 2 = m r(k)e. Moses. 1997 Slide L4–11 .MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Stoica and R. 1) + + bme(t .
Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.m ^BT (!) with a rectangular lag window of 2m + 1.i!k k=. Lecture notes to accompany Introduction to Spectral Analysis by P. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Moses. with AR model order n . Prentice Hall. Stoica and R. 1997 Slide L4–12 . Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.
Prentice Hall. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–13 . Moses.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).m k e. A(q)y(t) = B (q)e(t) B (!) 2 = m=. k)] g = X n X n j =0 p=0 aj ap r(k + 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 .
m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai r(k)g in (!) = P m . Stoica and R. Moses. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–14 . can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Estimate fai bj A(!) nonlinear estimation problem.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. Prentice Hall.i!k k=.
K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1) + + K y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. for some large K e(t) ' y(t) + 1y(t . 1) + e and its variance + ^K y(t . Moses. 1997 Slide L4–15 . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . Stoica and R. Prentice Hall. 1) + 2y(t .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . K ) ^2 = N 1 j^(t)j2 e N .
con't fe(t)g by ^(t) in the ARMA equation.TwoStage LeastSquares Method. Stoica and R. y(t . Moses. ^(t) ' . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. n) e ^(t . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. Prentice Hall. 1997 Slide L4–16 . 1) : : : ^(t . 1) : : : . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) .y(t .
1997 Slide L4–17 .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . . 5 . least f^ g Note: For narrowband ARMA signals. Stoica and R. # 2 = r(m + M . 1) : : : r(m . . n + 1) r(m . . r f^ g . . fast Levinsontype algorithms exist for obtaining ai . : : : r(m . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. If M > n overdetermined squares solution for ai .. = m + 1 ::: m + M a1 an . Prentice Hall. .. . n + 2) .6 4 Replace fr(k)g by f^(k)g and solve for faig. . Moses. = f^ g Y W system of equations. . n + M ) .
Prentice Hall. 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. Moses.
Stoica and R.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997 Slide L5–1 .
Stoica and R. Prentice Hall. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Examples: communications radar. 1997 . Moses.Line Spectra Many applications have signals with (near) sinusoidal components. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 .
Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . 1997 . Stoica and R. ] (prevents model ambiguities) f'k g = independent rv's. Moses. superimposed in white noise of k 2. uniformly distributed on . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . Prentice Hall. ] (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.
Covariance Function and PSD Note that: E E n i'p e. 1997 . e E xp(t)xj (t . k) = 2 ei!pk p j p n o Hence. Stoica and R.i'j o e Z n 1 i' d' 2 = 0.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 (! .i'j o = 1. for p 6= j =2 . Prentice Hall. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. for p = j e i'p e. Moses. r(k) = E fy(t)y (t .
^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . Moses. Prentice Hall. Stoica and R.
. Stoica and R.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . . . Moses. 1997 Slide L5–6 . Prentice Hall. X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . 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. Y B(B B).1B Y This gives: ^ = (B B). Moses. (B B). 1997 Slide L5–7 .1B Y ] +Y Y .Nonlinear Least Squares (NLS) Method. con't Then: F = (Y .1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. B k2 = .1B Y !=^ ! and ! = arg max Y B (B B ).1B Y ] B B] . Prentice Hall. (B B). B ) = kY . B ) (Y .
Lecture notes to accompany Introduction to Spectral Analysis by P. it is difﬁcult to avoid convergence to local minima. 1997 Slide L5–8 . Stoica and R.5. ! 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. Prentice Hall. Moses.
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
1997 Slide L5–12 . Stoica and R.HighOrder YuleWalker Method. f!kgn=1. along with L . Moses. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. Prentice Hall.
. . . Stoica and R. 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.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . r(L + 2) . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–13 . Moses. r(L + M . . 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 = . Prentice Hall. .
n) spurious zeros of B (q ) are located strictly inside the unit circle. diagonal and nonsingular Thus.HighOrder and Overdetermined YW Equations. Prentice Hall. if the MinimumNorm solution b is used. Stoica and R. 1997 Slide L5–14 . (U V )b = .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). Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. The MinimumNorm solution is b = . y = .V .
f^ g When the SNR is low. V be deﬁned similarly to U . V from the Let U . r . Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. 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.V ^ . Lecture notes to accompany Introduction to Spectral Analysis by P.HOYW Equations. this approach may give spurious frequency estimates when L > n. Prentice Hall. Compute ^ = . SVD of . . Moses. this is the price paid for increased accuracy when L > n. Stoica and R.
Moses. 1997 Slide L6–1 . Prentice Hall.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
i(m.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) . = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . Prentice Hall. ... 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.The Covariance Matrix Equation Let: a(!) = 1 e. Moses. 1997 Slide L6–2 . Stoica and R.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .
2 R = S G] 6 4 1 3 " . n)) Thus.. Moses..n] (m (m . Prentice Hall. Stoica and R. 1997 Slide L6–3 .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.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.
0 n 3 7 5 with C (since rank S . since S G j j 6= 0 4 . Stoica and R.. Moses.1) = AC S = A(PA S ( ) = rank(A) = n). 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . 2 .. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. = = nonsingular 0 n. 1997 . . Prentice Hall. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P..Eigendecomposition of R and Its Properties. Therefore.
f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. . Moses.MUSIC Method a (!1) . 1997 Slide L6–5 . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. Stoica and R.
(m. Stoica and R. a(z) = 1 z. Here. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 .1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. 1997 Slide L6–6 .1)GG a(z) = 0 that are closest to the unit circle.1 : : : z. Moses.
If: =n+1 m=n+1 Then: ^ g G = ^1.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). 1997 Slide L6–7 . Moses. ) f!kgn=1 can be found from the roots of ^ k aT (z.1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
Prentice Hall. 1997 Slide L6–8 . Stoica and R. Uses m n (as in MUSIC). with ﬁrst element equal ^ ^ to one. Moses. that has minimum Euclidean norm. and reduce risk of false frequency estimates. R( ) Let " 1 = the vector in R(G). but only one vector in G (as in Pisarenko).MinNorm Method Goals: Reduce computational burden. g # Lecture notes to accompany Introduction to Spectral Analysis by P.
MinNorm Method. 1997 Slide L6–9 . Prentice Hall.1) 1 ^ g " # that are closest to the unit circle. Stoica and R. 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. Lecture notes to accompany Introduction to Spectral Analysis by P.
S(S S ).1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . Moses.1 = =(1 . Prentice Hall.) ^^ I=S S= Multiplying the above equation by gives: (1 . k k2) ) ^ = . Stoica and R. g " # MinNorm solution: As: ^ = . 1997 Slide L6–10 . k k2) = (S S ) ) (S S ).S =(1 . (S S ).1 exists iff = k k2 6= 1 (This holds. at least.1 g + S S . for N 1.Let S ^= S g1 . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P.
. where e. let = A1D.1 0]S S2 = 0 Im.1DC {z } So has the same eigenvalues as D .1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. Then S2 = A2C = A1DC = S1 C . D= 0 e.1 0]A A2 = 0 Im. Prentice Hall.. 1997 Slide L6–11 .1]A Then A2 Also. Moses.ESPRIT Method Let A1 = Im.i!n S1 = Im.i!1 0 .1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. determined as is uniquely = (S1S1). Stoica and R.
then S1 and S2 . arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P.ESPRIT Implementation From the eigendecomposition of R. ﬁnd S . 1997 Slide L6–12 . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Stoica and R. Moses.1S1S2 ^^ ^^ f!kgn=1 = . Prentice Hall.
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. Prentice Hall. 1997 . Stoica and R. Moses.
Prentice Hall. Moses. 1997 Slide L7–1 . Stoica and R.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. (!) by a 2. !+ ] N >1 1 2 is more general than 1. Prentice Hall. Moses. by assuming that ! is nearly constant over the bands f ( )g ( ) !. 1997 Slide L7–2 . Nonparametric Approach: Implicitly smooth ! !=. Parametric Approach: Parameterize ﬁnitedimensional model. Lecture notes to accompany Introduction to Spectral Analysis by P. but 2 requires to ensure that the number of estimated values = = ) is < N .Basic Ideas Two main PSD estimation approaches: 1.
are conﬂicting. jH ( )j2 ( )d = ' 21 !+ !. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . 1997 . Stoica and R.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . Prentice Hall. 2 ! + 2 ] Note that assumptions (a) and (b). Moses. as well as (b) and (c). Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . !c @Q Q ! .
Stoica and R. Prentice Hall. 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P.Filter Bank Interpretation of the Periodogram 1 N y(t)e.!) .i!k = 1 eiN (~.t) t=1 X X = N where ( X 1 k=0 hk y(N . 1 H (!) = hk e ! N ei(~. 1997 .!) . Moses.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . 1 k=0 X 1 ei!k k = 0 : : : N . k) 2 ! .
for N = 50. con't jH (!)j as a function of (~ . and: narrow ﬁlter passband. !). 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.Filter Bank Interpretation of the Periodogram. Stoica and R. Prentice Hall. power calculation from only 1 sample of ﬁlter output. 1997 Slide L7–5 . ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.
Each ﬁlter covers a small band centered on ! . Stoica and R. 2. ~ provides several samples for power calculation. 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. Split the available sample. This “multiwindow approach” is similar to the Daniell method. and bandpass ﬁlter each subsample. This approach leads to Bartlett and Welch methods. Both approaches compromise bias for variance. more data points for the power calculation stage. 1997 Slide L7–6 .Possible Improvements to the Filter Bank Approach 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Use several bandpass ﬁlters on the whole sample.
1997 Slide L7–7 .im! ]T hk e. 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. yF (t) = X m k=0  hk y(t . y(t . = h0 h1 : : : hm] .i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i! : : : e. k) 2 6 4  .Capon Method Idea: Datadependent bandpass ﬁlter design. Prentice Hall. Moses.
1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–8 .1a=a R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . Moses. Stoica and R.1a(!) which should be the power of y (t) in a passband centered on ! . n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.Capon Method. Prentice Hall.
bias decreases and variance increases. Capon uses one bandpass ﬁlter only. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–9 . Moses. . but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Stoica and R. Prentice Hall.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases.
jkj ^BT (!) = r(k)e. Moses. 1997 Slide L7–10 .m m + 1 1 m m ^(t .s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . s)e.i!(t.i!k ^ k=. Stoica and R. Prentice Hall.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.
Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). Due to the loworder AR terms in the average. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. C ! generally has worse resolution and bias properties than the AR method. C ! generally has less statistical variability than the AR PSD estimator. 1997 Slide L7–11 . Stoica and R. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Moses. Prentice Hall.
1997 Slide L8–1 . Stoica and R. Prentice Hall.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
antennas.@ .. @. @. Prentice Hall. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. 1997 Slide L8–2 . sonar. seismometers Applications: Radar. @.@ . . seismology.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . @.. v Source n @. Emitted energy: Acoustic. . . Stoica and R. Moses. mechanical Receiving sensors: Hydrophones. Sensor 1 @. . underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P.R . electromagnetic. communications. @..
Stoica and R. the array is calibrated. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Prentice Hall. Moses.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. AOA). The number of sources n is known. 1997 Slide L8–3 .) Lecture notes to accompany Introduction to Spectral Analysis by P.
.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. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–4 ..) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Then the output of sensor k is yk (t) = hk (t) x(t . Basic Problem: Estimate the time delays known but x t unknown. k) + ek (t) ( = convolution operator). Stoica and R.g. etc. thermal noise in sensor electronics. background noise. Moses. Prentice Hall.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.
Stoica and R. k) ' (t) '(t . Moses. !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. !c k ] hk (t) x(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . k ) ' (t) cos !ct + '(t) . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k ) ' jHk (!c)j (t)cos !ct + '(t) . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . 1997 .
i!c k + ek (t) where s(t) is the complex envelope of x(t). iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. 1997 Slide L8–6 or . Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.!ct = (t)f ei (t) + e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!ct ~ = yk(t) cos(!ct) .Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. Stoica and R. Moses.i!ct to obtain (t)ei (t) lowpass highpass Hence.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
Moses.Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . 1997 Slide L8–10 . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.i(m. !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. Stoica and R. Prentice Hall. Moses.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .i!s : : : e.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–1 . Stoica and R. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.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. 1997 Slide L9–2 . Stoica and R.
k) = h y(t) k=0 h = ho : : : hm. 1997 Slide L9–3 . Moses. Stoica and R.1] y(t) = u(t) : : : u(t .i(m.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. Prentice Hall.i! : : : e. m + 1)]T If u m. Lecture notes to accompany Introduction to Spectral Analysis by P.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .
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. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.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.i!c 2 : : : e. 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. Moses.
Cu(t) C B . ! hm. B B @ .i! Be 2 B !! B B B B . Prentice Hall.? B P C B C B B B .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.@ 0 B 1 C h @@ C B B e. B . 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.1 ?  1 . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.. C C B C B C B C B C B A @ .B .i m. s qq h  ? 1 ?  m.i! C @ h a(!)]u(t) R @ C .1 q . Stoica and R. Moses.  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..
h a 0 .Spatial Filtering. Prentice Hall. Stoica and R. Moses. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. 1997 Slide L9–6 . 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.
Stoica and R.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. 1997 Slide L9–7 . Moses. To locate an emitter in the ﬁeld of view. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. n o n o The (dominant) peaks of h DOAs of the sources. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . 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. Moses. Prentice Hall.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 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.
() 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.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. Prentice Hall. y t can be considered as impinging on the array from all DOAs. 1997 Slide L9–9 . Stoica and R. Moses.
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 . Resolution Threshold: inf j k . ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. 1 = 1. Prentice Hall. Moses. Stoica and R. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . 1997 . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P.
1a( ) E jyF (t)j2 = 1=a ( )R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. 1997 Slide L9–11 .1a( ): Performance: Slightly superior to Beamforming. Lecture notes to accompany Introduction to Spectral Analysis by P.1a( )=a ( )R. Stoica and R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Moses. Prentice Hall. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). Both Beamforming and Capon are nonparametric approaches.
for DOA estimation. MUSIC. 1997 Slide L9–12 . Stoica and R. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Lecture notes to accompany Introduction to Spectral Analysis by P. almost without modiﬁcation. Moses.Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular. MINNORM and ESPRIT methods of frequency estimation can be used. Prentice Hall. YW.
1A ]Rg X f kg For N . A(A A).1A y(t) t = 1 : : : N s X Then 1 N k I .1A ]Rg ^ Thus.1A ]y(t) = N t=1 ^ = trf I . Prentice Hall. f ^k g = arg max trf A(A A). Moses. 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). Stoica and R. this is precisely the form of the NLS method of frequency estimation. 1997 Slide L9–13 =1 . A(A A). A(A A). Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares Method 1 N ky(t) .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .
Moses. Prentice Hall.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. 1997 Slide L9–14 . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. Prentice Hall. = U1 U2 ] 0 n n 0 V1 g n . is . Moses.) = n. and the SVD of . Stoica and R.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P.n 0 V2 g L n M . 1997 Slide L9–15 .
Moses. Prentice Hall. Stoica and R.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). using 1 N y(t)~ (t) ^ . is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. (L 1). 1997 Slide L9–16 .
if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Prentice Hall. Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–17 .MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. 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. that is.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 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.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. D= 0 e. where e. 1997 Slide L9–18 ( ) = d sin( )=c .i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.i!c ( 1) 0 . Stoica and R.. Prentice Hall..
so m m and . 1997 Slide L9–19 . con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.1 A1 = Im. the two subarrays are often the ﬁrst m and last m array elements. Stoica and R.ESPRIT Method. Moses. Prentice Hall.1 0]A = .1 A2 = 0 Im.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 .