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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 y(t)e.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.Deterministic Signals fy(t)g1 . Stoica and R. Prentice Hall. Moses.1 = t= If: discretetime deterministic data sequence X 1 t=.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–4 .
S (!)d! t=. 1997 . Stoica and R.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=. Moses.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .i!k (k) = 1 t=. Prentice Hall.1 y(t)y (t .1 X (k)e. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. 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.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.
1 r(k)e.k) r(0) jr(k)j Z Note that r(k) = 21 . 1997 Slide L1–7 .i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .First Deﬁnition of PSD (! ) = where r X 1 k=. (!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. k)g r(k) = r (. Prentice Hall. Moses. Stoica and R. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .
Second Deﬁnition of PSD 1 N y(t)e. t=1 y(t)e. Prentice Hall.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–8 . Moses. Stoica and R.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g.
1=2 1=2] (!) 0 (t) is real. Moses. Prentice Hall. 1997 Slide L1–9 .Properties of the PSD P1: (!) = (! + 2 ) for all !. Then: (! ) = (. we can restrict attention to !2 .! ) Otherwise: (! ) 6= (. Stoica and R.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. P2: ] () f 2 . Thus.
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 .k = unit delay operator: q.Transfer of PSD Through Linear Systems System Function: where q .1y(t) = y(t . Moses.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. k) hk e. 1997 Slide L1–10 . Prentice Hall.1 H (q) = X 1 k=0 hk q.
The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Stoica and R. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L1–11 . 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. Prentice Hall. Moses.
Prentice Hall. Stoica and R. 1997 Slide L2–2 . Moses.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. 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.
Prentice Hall. Stoica and R. 1997 Slide L2–3 .1) Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (k)” by “^(k)”: r r ^(k)e. Moses.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.1 N .i!k ^c(!) = k=.1 X r(k)e.(N .
k) k 0 ^ r(k) = N . Stoica and R.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. Moses.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–4 . Prentice Hall. k t=k+1 X Standard biased estimate: 1 N y(t)y (t .
1 X = ^c(!) k=. Prentice Hall. N ^p(!) = 1 y(t)e.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). 1997 . Stoica and R.1) r ^(k)e.(N .i!t N t=1 X 2 = N .i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Stoica and R.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. the PSD error is large. p! f^( ) . Thus. Intuitive explanation: r(k) .1 are small. Prentice Hall. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. ^p(!) and ^c(!) have poor performance. 1997 Slide L2–6 . ( )g ^ ( ) . jk =0 there are “so many” that when summed in ! . even for large N . Moses.
n o 0 k 1 .(N . or triangular. N k=.i!k r k=.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. window E ^p(!) = 21 .1 n o n o X ! X N . jNj jkj N .1 jkj r(k)e. 1 jkj N Bartlett. ) d Z Ideally: WB (!) = Dirac impulse (!).1) N .(N . Stoica and R.1) 1 = wB (k)r(k)e. ( )WB (! . 1997 . Moses.i!k = 1. Prentice Hall. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=.1 X wB (k) = 8 < : = Thus.
Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Stoica and R. WB 1=N . for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . (!) may differ quite a bit from (!). Prentice Hall. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . Moses.
Stoica and R. ^ 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 . 1997 Slide L2–9 .Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Prentice Hall. Moses.
1997 Slide L2–10 . Prentice Hall.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. so ! is asymptotically unbiased. WB ! !. Stoica and R. severe bias As N . Moses.
(!1) ^p(!2) . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–11 . Stoica and R.Periodogram Variance As N !1 E ^p(!1) . Prentice Hall. dev = φ(ω) too  Resolvability properties depend on both bias and variance. (!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. Moses.
i 2 . Stoica and R.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Moses.i!t 2 k and W = e. 1 Direct computation of O N 2 ﬂops ( ) . N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N .1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–12 . Prentice Hall.
y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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.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) . 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . 1997 . Stoica and R. ~ 4 = 0 2 4 : : : N .i2 =N . 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 = .
1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. Prentice Hall. 1997 Slide L2–14 .FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Lecture notes to accompany Introduction to Spectral Analysis by P. 2k + 2c ck = 2 k. Moses. Stoica and R.
Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N .1 N k=0 sampled. Prentice Hall. 1997 Slide L2–15 . N=8 ω 2 k N . Stoica and R.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R. 1997 Slide L3–1 .
^( ) jj ^BT (!) = M . Prentice Hall. 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. with small weight applied to covariances r k with “large” k . Moses.BlackmanTukey Method Basic Idea: Weighted correlogram. 1997 Slide L3–2 .(M .1) w(k)^(k)e.1 X k=.
Moses. 1997 . Prentice Hall. )d 2 . Stoica and R. 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. con't ^BT (!) = 1 ^p( )W (! .BlackmanTukey Method.
1997 Slide L3–4 . Moses. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M .(M (0) w Z w (k ) = equiv time width 1 2 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . Stoica and R. )d 2 .1) Ne = k=. W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.1 X . Prentice Hall. 0 Z  {z } If W (!) 0 (.
Window Design. bias decreases and variance increases. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). 1997 Slide L3–5 . Once M is given. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. ) Choose M as a tradeoff between variance and bias. Stoica and R. Moses. Prentice Hall. Ne (and hence ﬁxed. once M is given. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. As M increases. Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Moses. 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.Window Examples Triangular Window. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
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. 1997 Slide L3–10 .J X Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. for N 1. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. Moses.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J .
^D(!) ' 1 ^p(!)d! 2 . 1997 Slide L3–11 . Then. Stoica and R. Prentice Hall.Daniell Method. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. for N 1. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.
^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. 1997 . Stoica and R. ^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. ^ () – Implemented by averaging subsample periodograms. Prentice Hall. BT periodogram – Local smoothing/averaging of spectral window. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. more general for Welch). Daniell Periodogram – Approximate interpretation: spectral window.
Moses.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–1 . Stoica and R. Prentice Hall.
i! .i!k (!) is a rational function in e. Moses. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. provided m and n are chosen sufﬁciently large. P By Weierstrass theorem. Stoica and R.θ) ^ θ Estimate PSD ^ ^ =φ(ω.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. 1997 Slide L4–2 ( ) .i!k (!) = P jkj n k e. ! can approximate arbitrarily well any continuous PSD.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.θ) Estimate parameters in φ(ω. Note.
Moses..AR. Stoica and R. and ARMA Models By Spectral Factorization theorem. e. 1997 .1 + + bmz.g. A(! ) = A(z )jz =ei! Signal Modeling Interpretation: e(t) e (! ) = 2  B (q) A(q) white noise B (!) 2 2 A(!) ltered white noise y(t)y (! ) = ARMA: AR: MA: A(q)y(t) = B (q)e(t) A(q)y(t) = e(t) y(t) = B (q)e(t) Slide L4–3 Lecture notes to accompany Introduction to Spectral Analysis by P. MA. Prentice Hall. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.m and.n B (z) = 1 + b1z.1 + + anz.
Moses.ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . 1997 Slide L4–4 . i) = X m j =0 bj e(t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. j ) (b0 = 1) Multiply by y (t . i) = m j =0 bj E fe(t .k = j =0 = 0 for k > m B (q) = 1 h q. j )y (t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Prentice Hall. k) and take E f g to give: X r (k ) + X 2 m bj hj .
. Lecture notes to accompany Introduction to Spectral Analysis by P.AR Signals: YuleWalker Equations AR: m = 0. r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. 2 1 a1 = 0 . 1997 Slide L4–5 . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(.1) : : : r(. Prentice Hall. . . .n) . Stoica and R.1) . . . r (. . Moses. r(1) r(0) .
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) ^(. Stoica and R. ^(. .1) : : : ^(. . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. .n) 1 r r ^2 . . r ^(1) r(0) ^ ^. . . Moses. 1997 Slide L4–6 . r .1) .
1) y(n + 1) y(n) . Prentice Hall. 1997 Slide L4–7 . Moses. . . 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 ) . 1) : : : y (t . Find i=1 aiy(t . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . 1) y(N . . 3 7 5 Y =4 y(n) y(n .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . y(N . . ^ = .(Y Y ). .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . n) . Stoica and R. n)]T .
. orderrecursive solution to YW equations 2 6 6 6 4  0 . . .1 .. Prentice Hall.0 . 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 ... {z .n . Moses. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . 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. Stoica and R.1 1 . . . 1997 Slide L4–8 . .
1997 Slide L4–9 . 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 . Stoica and R. Moses.LevinsonDurbin Alg. 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. Prentice Hall. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. .
n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . jknj2) 2 2 n " n # " ~n 1 # Computation count: k ﬂops for the step k 2 ) n2 ﬂops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. Lecture notes to accompany Introduction to Spectral Analysis by P.LevinsonDurbin Alg. 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. Moses. Prentice Hall. Stoica and R. 2 kn = . 1997 .
Moses. Stoica and R. m) Thus. 1997 Slide L4–11 . r(k) = 0 for jkj > m and 2 2 = m r(k)e.m X Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) = jB(!)j k=. Prentice Hall. 1) + + bme(t .MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t .
1997 Slide L4–12 . Prentice Hall. Stoica and R.m ^BT (!) with a rectangular lag window of 2m + 1. with AR model order n . ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Moses.i!k k=.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. 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.
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 . k)] g = E f A(q)y(t)] A(q)y(t . Prentice Hall. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L4–13 .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). A(q)y(t) = B (q)e(t) B (!) 2 = m=.m k e. Moses.
1997 Slide L4–14 .ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. Estimate fai bj A(!) nonlinear estimation problem. Estimate fai r(k)g in (!) = P m . Moses.i!k k=. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Prentice Hall. Stoica and R.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method).
Prentice Hall. 1) + + K y(t . 1) + e and its variance + ^K y(t . Moses. 1997 Slide L4–15 . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . K ) 1a) Estimate the coefﬁcients modelling techniques.TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . for some large K e(t) ' y(t) + 1y(t . K ) ^2 = N 1 j^(t)j2 e N . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1) + 2y(t .
con't fe(t)g by ^(t) in the ARMA equation. Stoica and R. 1997 Slide L4–16 . y(t . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . Prentice Hall.TwoStage LeastSquares Method.y(t . ^(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. n) e ^(t . 1) : : : ^(t . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : . Moses.
the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. # 2 = r(m + M .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . 1) : : : r(m . least f^ g Note: For narrowband ARMA signals. = m + 1 ::: m + M a1 an . . . If M > n overdetermined squares solution for ai . 1997 Slide L4–17 . . = f^ g Y W system of equations. Stoica and R. . . r f^ g . n + 1) r(m . : : : r(m .. . n + 2) .6 4 Replace fr(k)g by f^(k)g and solve for faig. 5 . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. Moses. Prentice Hall. n + M ) . . fast Levinsontype algorithms exist for obtaining ai .. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . .
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. 1997 Slide L4–18 . Moses. Prentice Hall. Stoica and R.
Stoica and R. Prentice Hall.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L5–1 .
Examples: communications radar. Prentice Hall. Stoica and R.Line Spectra Many applications have signals with (near) sinusoidal components. 1997 . Moses. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 .
Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . ] (realistic and mathematically convenient) A3: e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0 (can be achieved by “slow” sampling) Slide L5–3 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . superimposed in white noise of k 2. Prentice Hall. Stoica and R. 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 . Moses. ] (prevents model ambiguities) f'k g = independent rv's.
i'j o = 1. Stoica and R. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . Prentice Hall. Moses.Covariance Function and PSD Note that: E E n i'p e. for p 6= j =2 .i'j o e Z n 1 i' d' 2 = 0.i'j o = E nei'p o E ne. e E xp(t)xj (t . k) = 2 ei!pk p j p n o Hence. for p = j e i'p e. r(k) = E fy(t)y (t . 1997 .
Moses. ^ 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 . Prentice Hall. Stoica and R.
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. Moses. . 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.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) .
Stoica and R.1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. B ) (Y . (B B). con't Then: F = (Y .Nonlinear Least Squares (NLS) Method.1B Y ] B B] . B k2 = . 1997 Slide L5–7 . B ) = kY . Moses.1B Y This gives: ^ = (B B). (B B).1B Y ] +Y Y . Prentice Hall.1B Y !=^ ! and ! = arg max Y B (B B ). Y B(B B).
! Difﬁcult Implementation: The NLS cost function F is multimodal. 1997 Slide L5–8 .5.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. it is difﬁcult to avoid convergence to local minima. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.
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
n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. f!kgn=1. along with L . 1997 Slide L5–12 . Stoica and R. Moses.HighOrder YuleWalker Method. Prentice Hall. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots.
Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. . Moses. r(L + M . 1997 Slide L5–13 . . 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. Stoica and R. r(L + 2) .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . .
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).1U Important property: The additional (L .HighOrder and Overdetermined YW Equations. y = . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. if the MinimumNorm solution b is used. n) spurious zeros of B (q ) are located strictly inside the unit circle. 1997 Slide L5–14 . Prentice Hall. Moses. The MinimumNorm solution is b = . (U V )b = . diagonal and nonsingular Thus.V .
1997 Slide L5–15 . Prentice Hall. Moses. . V be deﬁned similarly to U . Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.HOYW Equations. SVD of . Lecture notes to accompany Introduction to Spectral Analysis by P. r .V ^ . Stoica and R. Compute ^ = . V from the Let U . f^ g When the SNR is low. this is the price paid for increased accuracy when L > n. this approach may give spurious frequency estimates when L > n.
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L6–1 . Stoica and R. Moses.
Prentice Hall. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .i(m. Stoica and R. . Moses. m + 1) .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .The Covariance Matrix Equation Let: a(!) = 1 e.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 . 1997 Slide L6–2 ...
m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. 2 R = S G] 6 4 1 3 " .. n)) Thus. 1997 Slide L6–3 . Stoica and R. Moses.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.n] (m (m . Prentice Hall..
Stoica and R... =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. Moses. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . Therefore. Prentice Hall.1) = AC S = A(PA S ( ) = rank(A) = n). 2 . 0 n 3 7 5 with C (since rank S .Eigendecomposition of R and Its Properties. . since S G j j 6= 0 4 . = = nonsingular 0 n.. 1997 .
1997 Slide L6–5 . 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. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus.MUSIC Method a (!1) . Moses. Stoica and R. .
a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Here.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Moses. a(z) = 1 z. 1997 Slide L6–6 .(m.1)GG a(z) = 0 that are closest to the unit circle.1 : : : z. Prentice Hall. Stoica and R. 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 .
) f!kgn=1 can be found from the roots of ^ k aT (z. Moses. Prentice Hall.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Stoica and R. 1997 Slide L6–7 . If: =n+1 m=n+1 Then: ^ g G = ^1.1)^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.
g # Lecture notes to accompany Introduction to Spectral Analysis by P. that has minimum Euclidean norm. Stoica and R. but only one vector in G (as in Pisarenko).MinNorm Method Goals: Reduce computational burden. R( ) Let " 1 = the vector in R(G). Prentice Hall. Uses m n (as in MUSIC). 1997 Slide L6–8 . with ﬁrst element equal ^ ^ to one. and reduce risk of false frequency estimates. Moses.
Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.1) 1 ^ g " # that are closest to the unit circle.MinNorm Method. 1997 Slide L6–9 . 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.
at least. Moses. (S S ).1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . k k2) ) ^ = . k k2) = (S S ) ) (S S ). k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P.Let S ^= S g1 . g " # MinNorm solution: As: ^ = .S =(1 . Stoica and R.S(S S ).1 g + S S .1 = =(1 . for N 1.) ^^ I=S S= Multiplying the above equation by gives: (1 . Prentice Hall.1 exists iff = k k2 6= 1 (This holds. 1997 Slide L6–10 .
where e. Prentice Hall. Then S2 = A2C = A1DC = S1 C . Stoica and R.i!1 0 .1]A Then A2 Also.. determined as is uniquely = (S1S1).ESPRIT Method Let A1 = Im. 1997 Slide L6–11 ..1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.i!n S1 = Im.1DC {z } So has the same eigenvalues as D . Moses.1 0]A A2 = 0 Im.1 0]S S2 = 0 Im. D= 0 e.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. let = A1D.
^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). 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. ﬁnd S . then S1 and S2 . Prentice Hall. Stoica and R.ESPRIT Implementation From the eigendecomposition of R. 1997 Slide L6–12 . Moses.1S1S2 ^^ ^^ f!kgn=1 = .
1997 . Prentice Hall. Stoica and R.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Stoica and R. 1997 Slide L7–1 . Prentice Hall.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
!+ ] N >1 1 2 is more general than 1. Moses. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. by assuming that ! is nearly constant over the bands f ( )g ( ) !. 1997 Slide L7–2 . but 2 requires to ensure that the number of estimated values = = ) is < N . Lecture notes to accompany Introduction to Spectral Analysis by P.Basic Ideas Two main PSD estimation approaches: 1. Nonparametric Approach: Implicitly smooth ! !=. Parametric Approach: Parameterize ﬁnitedimensional model. (!) by a 2. Prentice Hall. Stoica and R.
1997 . Moses.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) .Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . jH ( )j2 ( )d = ' 21 !+ !. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . 2 ! + 2 ] Note that assumptions (a) and (b). are conﬂicting. !c @Q Q ! . Prentice Hall. Stoica and R. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . as well as (b) and (c).
k) 2 ! .!) . 1 k=0 X 1 ei!k k = 0 : : : N . Moses.t) t=1 X X = N where ( X 1 k=0 hk y(N . 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.!) .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . 1997 .Filter Bank Interpretation of the Periodogram 1 N y(t)e. Stoica and R.i!k = 1 eiN (~. 1 H (!) = hk e ! N ei(~.
Filter Bank Interpretation of the Periodogram. for N = 50. Stoica and R. con't jH (!)j as a function of (~ . ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–5 . !). and: narrow ﬁlter passband. power calculation from only 1 sample of ﬁlter output. Prentice Hall. ! 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. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. and bandpass ﬁlter each subsample. This approach leads to Bartlett and Welch methods. 2. Moses. 1997 Slide L7–6 . Use several bandpass ﬁlters on the whole sample. more data points for the power calculation stage. Both approaches compromise bias for variance. This “multiwindow approach” is similar to the Daniell method. Stoica and R. ~ provides several samples for power calculation. Prentice Hall. Split the available sample.Possible Improvements to the Filter Bank Approach 1. Each ﬁlter covers a small band centered on ! . and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering.
Prentice Hall. 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! : : : e. = h0 h1 : : : hm] .i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. yF (t) = X m k=0  hk y(t . Moses.Capon Method Idea: Datadependent bandpass ﬁlter design. k) 2 6 4  .im! ]T hk e. y(t . 1997 Slide L7–7 . Stoica and R.
n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. 1997 Slide L7–8 .Capon Method.1a=a R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .1a(!) which should be the power of y (t) in a passband centered on ! . Prentice Hall.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. Stoica and R. Moses. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P.
bias decreases and variance increases. . 1997 Slide L7–9 . Moses. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Capon uses one bandpass ﬁlter only.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. Moses. jkj ^BT (!) = r(k)e.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . Prentice Hall.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .m m + 1 1 m m ^(t . 1997 Slide L7–10 . Stoica and R.i!k ^ k=. s)e.i!(t.
Due to the loworder AR terms in the average. 1997 Slide L7–11 . C ! generally has worse resolution and bias properties than the AR method. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. Moses. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). C ! generally has less statistical variability than the AR PSD estimator.
Moses.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L8–1 . Stoica and R.
antennas. seismology.@ . 1997 Slide L8–2 . communications.. . mechanical Receiving sensors: Hydrophones. @. Emitted energy: Acoustic. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. @. . . v Source n @. @.. 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. Prentice Hall.@ .. Moses. seismometers Applications: Radar. Stoica and R.R . @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . Sensor 1 @. . @. electromagnetic. sonar.
the array is calibrated. Prentice Hall.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. Moses. AOA). The number of sources n is known. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L8–3 .
g. () 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. thermal noise in sensor electronics. background noise. Stoica and R. k) + ek (t) ( = convolution operator)..g. Moses. etc. Basic Problem: Estimate the time delays known but x t unknown. Prentice Hall.. Then the output of sensor k is yk (t) = hk (t) x(t .) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). at the “ﬁrst” sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k “noise” at the kth sensor (e. 1997 Slide L8–4 .Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.
k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Stoica and R. k ) ' (t) cos !ct + '(t) .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . 1997 . k) ' (t) '(t . k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . !c k ] hk (t) x(t .
Stoica and R.i!c k + ek (t) where s(t) is the complex envelope of x(t).i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.!ct = (t)f ei (t) + e.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. 1997 Slide L8–6 or .i!ct to obtain (t)ei (t) lowpass highpass Hence. Lecture notes to accompany Introduction to Spectral Analysis by P. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!ct ~ = yk(t) cos(!ct) . Moses. Prentice Hall.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
Stoica and R. 1997 Slide L8–10 .Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . Moses. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
i(m. Prentice Hall. !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.i!s : : : e.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Moses. 1997 . Stoica and R.
Stoica and R.Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 1997 Slide L9–1 .
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–2 .Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Moses. Prentice Hall. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.i! : : : e. k) = h y(t) k=0 h = ho : : : hm.i(m. Moses.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . Prentice Hall.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . m + 1)]T If u m. Stoica and R. 1997 Slide L9–3 .1] y(t) = u(t) : : : u(t .
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.i!c 2 : : : e. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–4 . Stoica and R.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Prentice Hall.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.
Prentice Hall. B . 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..B . Cu(t) C B . ! hm. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P..@ 0 B 1 C h @@ C B B e.i! C @ h a(!)]u(t) R @ C . s qq h  ? 1 ?  m.? B P C B C 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.i! Be 2 B !! B B B B . 1997 Slide L9–5 .1 q . C C B C B C B C B C B A @ .1 ?  1 .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q. Stoica and R.i m. B B @ .
h a 0 . where 0 j ( )j = ( ) = 25 0 30 −30 Th et a (d eg ) 60 −60 90 0 2 4 6 Magnitude 8 10 −90 Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering. 1997 Slide L9–6 . Here. Stoica and R. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Prentice Hall. Moses.
To locate an emitter in the ﬁeld of view. Stoica and R.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. 1997 Slide L9–7 . by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Prentice Hall. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Prentice Hall. 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. n o n o The (dominant) peaks of h DOAs of the sources. 1997 .
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. 1997 Slide L9–9 . Moses. y t can be considered as impinging on the array from all DOAs. Stoica and R. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 . Resolution Threshold: inf j k . pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Stoica and R. 1 = 1. 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 . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Both Beamforming and Capon are nonparametric approaches.1a( ): Performance: Slightly superior to Beamforming. Prentice Hall. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( )=a ( )R.1a( ) E jyF (t)j2 = 1=a ( )R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Moses. 1997 Slide L9–11 .
MUSIC. YW. Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. almost without modiﬁcation. for DOA estimation. 1997 Slide L9–12 .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. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Stoica and R. MINNORM and ESPRIT methods of frequency estimation can be used.
1A ]Rg X f kg For N .1A y(t) t = 1 : : : N s X Then 1 N k I . 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). f ^k g = arg max trf A(A A).Nonlinear Least Squares Method 1 N ky(t) . Prentice Hall. 1997 Slide L9–13 =1 . A(A A). Lecture notes to accompany Introduction to Spectral Analysis by P.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]Rg ^ Thus. A(A A). Moses. Stoica and R.1A ]y(t) = N t=1 ^ = trf I . this is precisely the form of the NLS method of frequency estimation.
Moses. 1997 Slide L9–14 . Stoica and R.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
is . Stoica and R. 1997 Slide L9–15 .n 0 V2 g L n M .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 ~ .) = n. Moses.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. Prentice Hall. and the SVD of . = U1 U2 ] 0 n n 0 V1 g n .
is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. (L 1).=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. 1997 Slide L9–16 . using 1 N y(t)~ (t) ^ .YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). Stoica and R. Prentice Hall. Moses.
Stoica and R. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. 1997 Slide L9–17 . Prentice Hall. 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. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. that is.
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 ( 1) 0 .ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. 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. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.. D= 0 e. where e. Prentice Hall.. Stoica and R.
ESPRIT Method. the two subarrays are often the ﬁrst m and last m array elements. 1997 Slide L9–19 .1 A1 = Im. so m m and .1 A2 = 0 Im.1 0]A = . Prentice Hall.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. 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 .
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