Basic Definitions and The Spectral Estimation Problem

Lecture 1

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

Slide L1–1

Informal Definition of Spectral Estimation

Given: A finite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density

! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)

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

Slide L1–2

Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity finding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar

Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3

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

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

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

(!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . Prentice Hall.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Stoica and R. (!)d! Z (!)d! = infinitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P.First Definition of PSD (! ) = where r X 1 k=.1 r(k)e. k)g r(k) = r (. 1997 Slide L1–7 .k) r(0) jr(k)j Z Note that r(k) = 21 . 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.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–8 .Second Definition of PSD 1 N y(t)e. Moses. Stoica and R. t=1 y(t)e. Prentice Hall.

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

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

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

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

1997 Slide L2–2 . 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. Moses. Prentice Hall. Stoica and R.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e.

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

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

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

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

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

(!) may differ quite a bit from (!). Moses. 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. Prentice Hall. 1997 .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). WB 1=N . 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. Stoica and R. Moses.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. 1997 Slide L2–9 . Prentice Hall. 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 .

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

Periodogram Variance As N !1 E ^p(!1) . Stoica and R. dev = φ(ω) too - Resolvability properties depend on both bias and variance. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–11 . (!1) ^p(!2) . Moses. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. Prentice Hall.

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

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

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

1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L2–15 .Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g | N {z } Goals: Apply a radix-2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Prentice Hall. N=8 ω 2 k N . Moses.1 N k=0 sampled.

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

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

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

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

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

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

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

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

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

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

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

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

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

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

r(1) r(0) .n) . r (. . Prentice Hall. Moses. . .AR Signals: Yule-Walker Equations AR: m = 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) .1) : : : r(. 2 1 a1 = 0 . Stoica and R. r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. Lecture notes to accompany Introduction to Spectral Analysis by P. .

. Prentice Hall. 1997 Slide L4–6 .1) : : : ^(. . ^(.n) 1 r r ^2 . .1 = 0 a . .1) . . r . r ^(1) r(0) ^ ^. Stoica and R. Moses. r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P.AR Spectral Estimation: YW Method Yule-Walker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. .

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

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

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

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

MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . 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. Moses.i!k (!) = jB(!)j k=. 1) + + bme(t . Stoica and R. Prentice Hall.

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

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

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

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

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

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

Prentice Hall.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low low-medium medium-high medium-high medium low-medium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2-Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–18 . Moses. Stoica and R.

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

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 . Prentice Hall. Stoica and R.Line Spectra Many applications have signals with (near) sinusoidal components. Moses. 1997 . !1 !2 !3 - An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Examples: communications radar.

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

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

Moses. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L5–5 . Stoica and R.Parameter Estimation Estimate either: f!k k 'k gn=1 k 2 (Signal Model) f!k 2gn=1 2 k k Once (PSD Model) ^ Major Estimation Problem: f!k g f!kg are determined: ^ X f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p p=1 OR: Both k and 'k can be derived by a least squares method from f^ g f^ g X y(t) = with n k= k=1 k ei'k .

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

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

it is difficult to avoid convergence to local minima. Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10. 1997 Slide L5–8 . Prentice Hall. ! Difficult Implementation: The NLS cost function F is multimodal.5.

Unwindowed Periodogram as an Approximate NLS Method

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

n=1
X

B B=N
N t=1

BY=

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

(finite DTFT)

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

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

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

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

Slide L5–10

High-Order Yule-Walker Method Recall:

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

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

n

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

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

Let

B (q) = 1 +

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

L

Then B

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

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

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

Prentice Hall. .High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . 1) : : : r(M ) r(L + M ) 4 4 = = {z } | {z r(L) r(L + 1) This is a high-order (if L > n) and overdetermined (if M > L) system of YW equations. . 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 = . r(L + M . . . r(L + 2) . Stoica and R. Moses. . Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

1997 Slide L6–3 . Prentice Hall.. Moses.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm.n] (m (m . m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm. 2 R = S G] 6 4 1 3 " .. n)) Thus. Stoica and R.

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

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

1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Here. Moses.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudo-spectrum” function: 1 ^G a(!) ! 2 . a(z) = 1 z. 1997 Slide L6–6 .1 : : : z. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Prentice Hall.1)GG a(z) = 0 that are closest to the unit circle.(m. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.

If: =n+1 m=n+1 Then: ^ g G = ^1. Stoica and R.1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). ) f!kgn=1 can be found from the roots of ^ k aT (z. 1997 Slide L6–7 .

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

1) 1 ^ g " # that are closest to the unit circle. Prentice Hall.Min-Norm Method. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–9 . Stoica and R. con't Spectral Min-Norm f!gn=1 = ^k the locations of the n highest peaks in the “pseudo-spectrum” 2 1 = a (!) 1 ^ g " # Root Min-Norm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. Moses.

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

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

1S1S2 ^^ ^^ f!kgn=1 = . Prentice Hall.ESPRIT Implementation From the eigendecomposition of R. then S1 and S2 . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). 1997 Slide L6–12 . Stoica and R. arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. find S .

Moses.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS Yule-Walker Pisarenko MUSIC Min-Norm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small medium-high medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for medium-resolution applications Use ESPRIT for high-resolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. 1997 .

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

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

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

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

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

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

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

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

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

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

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

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

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

The number of sources n is known. Stoica and R. the array is calibrated. Moses. AOA).Simplifying Assumptions Far-field sources in the same plane as the array of sensors Non-dispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. (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. Prentice Hall. 1997 Slide L8–3 .

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

k ) ' jHk (!c)j (t)cos !ct + '(t) . Moses.Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. 1997 . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Stoica and R. Prentice Hall. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . k) ' (t) '(t . !c k ] hk (t) x(t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. k ) ' (t) cos !ct + '(t) .

Moses.!ct = (t)f ei (t) + e.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. Lecture notes to accompany Introduction to Spectral Analysis by P.Complex Signal Representation The noise-free output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i!ct ~ = yk(t) cos(!ct) . Prentice Hall. 1997 Slide L8–6 or .i 2!ct+ (t)] g n o | {z } | {z } Lowpass filter 2z(t)e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!ct to obtain (t)ei (t) lowpass highpass Hence. Stoica and R. by low-pass filtering and sampling the signal yk (t)=2 = yk(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

Moses. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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 . Stoica and R.

Prentice Hall. Moses. !s = spatial frequency The function !s 7! a( ) is one-to-one for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. Stoica and R. 1997 .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.i(m.i!s : : : e.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.

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

1997 Slide L9–2 . Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering Spatial filtering useful for DOA discrimination (similar to frequency discrimination of time-series filtering) Nonparametric DOA estimation There is a strong analogy between temporal filtering and spatial filtering. Prentice Hall.

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

1997 Slide L9–4 . 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. Moses.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 (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.

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

Prentice Hall. Moses. Stoica and R. Here. con't Example: The response magnitude h a of a spatial filter (or beamformer) for a 10-element ULA.Spatial Filtering. h a 0 . 1997 Slide L9–6 . 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. 1997 Slide L9–7 . Moses. To locate an emitter in the field of view.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. Prentice Hall. hence filtering out interferences located outside the filter's beam (but possibly having the same temporal characteristics as the signal). Lecture notes to accompany Introduction to Spectral Analysis by P. by sweeping the filter through the DOA range of interest (“goniometer”).

1997 . Stoica and R. Moses. n o n o The (dominant) peaks of h DOAs of the sources. and evaluate the powers of the filtered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. ( )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.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Prentice Hall.

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

Stoica and R. Prentice Hall. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P.Implementation of Beamforming 1 N y(t)y (t) ^ R=N t=1 X The beamforming DOA estimates are: f^kg = the locations of the n largest peaks of a Ra . 1997 . Moses. ( )^ ( ) This is the direct spatial analog of the Blackman-Tukey periodogram. Resolution Threshold: inf j k . 1 = 1.

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

Stoica and R. 1997 Slide L9–12 . MIN-NORM and ESPRIT methods of frequency estimation can be used. YW. 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.Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular. Prentice Hall. Moses. for DOA estimation. MUSIC.

1A y(t) t = 1 : : : N s X Then 1 N k I .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]y(t) = N t=1 ^ = trf I .1A ]Rg X f kg For N . A(A A). 1997 Slide L9–13 =1 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. As(t)k2 min(t)g N f k g fs t=1 X | Minimizing f over s gives f ( s) {z } ^(t) = (A A). this is precisely the form of the NLS method of frequency estimation. Stoica and R. A(A A). A(A A). Prentice Hall.Nonlinear Least Squares Method 1 N ky(t) .1A ]Rg ^ Thus. f ^k g = arg max trf A(A A).

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

Stoica and R.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (.n 0 V2 g L n M . 1997 Slide L9–15 .) = n. and the SVD of .n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank |{z} |{z} Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. is .Yule-Walker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ . = 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.=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. Prentice Hall. Moses. Stoica and R.YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). using 1 N y(t)~ (t) ^ . 1997 Slide L9–16 . (L 1).

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

Stoica and R.. 1997 Slide L9–18 ( ) = d sin( )=c . where e.. D= 0 e.i!c ( 1) 0 .i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Prentice Hall. 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. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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