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

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

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

Stoica and R. 1997 Slide L1–8 .Second Definition of PSD 1 N y(t)e.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. t=1 y(t)e.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the finite DTFT of fy(t)g. Moses.

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

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

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

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

1997 Slide L2–2 .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.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Recall 2nd definition of (! ): 1 N y(t)e. Stoica and R. Moses.

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

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

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

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

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

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

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 . Moses. ^ 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.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Prentice Hall.

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

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

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

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

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

Moses. 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.1 N k=0 sampled. Stoica and R.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. N=8 ω 2 k N .

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

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

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

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

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

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

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

Prentice Hall. 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. 1997 Slide L3–10 .Daniell Method By a previous result. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. Stoica and R. Moses. for N 1.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J .

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

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

Prentice Hall. 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.

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

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

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

AR Signals: Yule-Walker Equations AR: m = 0. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. r(1) r(0) .1) : : : r(. r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. . 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) .n) . . . Moses. . . . 1997 Slide L4–5 . 2 1 a1 = 0 . Prentice Hall. r (. .

Stoica and R.1) : : : ^(.1) . . ^(. r ^(1) r(0) ^ ^. Moses.n) 1 r r ^2 . . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. . r .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 L4–6 .1 = 0 a . . Prentice Hall. .

(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) . . Find i=1 aiy(t . y(N . . 3 7 5 Y =4 y(n) y(n . . 1) y(n + 1) y(n) . Prentice Hall.1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . 1997 Slide L4–7 . . 1) : : : y (t . 1) y(N . . 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 ) . n)]T . ^ = . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.

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

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

Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.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. 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. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 2 kn = . 1997 . Prentice Hall.

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

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

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

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

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

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

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

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

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

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 . Stoica and R. Examples: communications radar.Line Spectra Many applications have signals with (near) sinusoidal components. 1997 . Prentice Hall.

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

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

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

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

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

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

Unwindowed Periodogram as an Approximate NLS Method

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

n=1
X

B B=N
N t=1

BY=

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

(finite DTFT)

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

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

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

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

Slide L5–10

High-Order Yule-Walker Method Recall:

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

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

n

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

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

Let

B (q) = 1 +

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

L

Then B

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

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

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

. r(L + 2) . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–13 . 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. . . Moses. Prentice Hall. i) = 0 k > L In matrix form for k 2 6 6 6 4 | = L + 1 ::: L + M 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 } : : : r(1) r(L + 1) : : : r(2) b = . Stoica and R. . .High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . r(L + M .

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

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

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

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

n] (m (m . 1997 Slide L6–3 . Moses.. Prentice Hall. Stoica and R. n)) Thus.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 " .. 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.

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

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

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

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

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

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

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

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

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

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

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

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

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

!) .t) t=1 X X = N where ( X 1 k=0 hk y(N . k) 2 ! . 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1 k=0 X 1 ei!k k = 0 : : : N . Stoica and R. 1 H (!) = hk e ! N ei(~.i!k = 1 eiN (~. Moses. Prentice Hall.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .!) .Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1997 .

and: narrow filter passband. power calculation from only 1 sample of filter output. Stoica and R. !).Filter Bank Interpretation of the Periodogram. Moses. Prentice Hall. for N = 50. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–5 . ! 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. con't jH (!)j as a function of (~ .

1997 Slide L7–6 . Split the available sample. Both approaches compromise bias for variance. This “multiwindow approach” is similar to the Daniell method.Possible Improvements to the Filter Bank Approach 1. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. This approach leads to Bartlett and Welch methods. 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. 2. Use several bandpass filters on the whole sample. Each filter covers a small band centered on ! . ~ provides several samples for power calculation. more data points for the power calculation stage. Prentice Hall.

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

1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.Capon Method. Stoica and R.1a=a R. Moses. 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.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P.1a(!) which should be the power of y (t) in a passband centered on ! . 1997 Slide L7–8 . Prentice Hall.

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

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

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

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

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

) Lecture notes to accompany Introduction to Spectral Analysis by P. The number of sources n is known. AOA). 1997 Slide L8–3 . Prentice Hall. Stoica and R. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.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. Moses. the array is calibrated.

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

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

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

H1(!c) e;i!c
. .

1

3 7 5

Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4

3 7 5

Then

y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .

()

f kg and fHk(!c)g. fHk(!c)g do not depend

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

Internal Noise External Noise XXXXX ? XX ll z l - Cabling and , Filtering : ,, Incoming Transducer Signal x(t ; k )

Re yk (t)] Lowpass Re yk (t)] - !! ~ Filter A/D cos(!ct) 6 y k (t) Oscillator -sin(!ct) ? ~ - Im yk (t)] Lowpass Im yk (t)] - !! Filter A/D

-

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

Slide L8–8

Multiple Emitter Case Given n emitters with received signals: DOAs:

fsk(t)gn=1 k

k

Linear sensors

) y(t) = a( 1)s1(t) +

+ a( n)sn(t) + e(t)

Let

A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:

y(t) = As(t) + e(t)
Use the planar wave assumption to find the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9

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

1997 . !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.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Moses.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.i(m. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i!s : : : e. Stoica and R.

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

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

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

Prentice Hall.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.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.i!c m ]T yF (t) = h a( )] s(t) | {z } The corresponding filter output is filter transfer function We can select h to enhance or attenuate signals coming from different DOAs. 1997 Slide L9–4 . Stoica and R.

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

Stoica and R. Prentice Hall. 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 . h a 0 . Here. Moses. con't Example: The response magnitude h a of a spatial filter (or beamformer) for a 10-element ULA.

1997 Slide L9–7 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. 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. hence filtering out interferences located outside the filter's beam (but possibly having the same temporal characteristics as the signal). by sweeping the filter through the DOA range of interest (“goniometer”).

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. Moses. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. n o n o The (dominant) peaks of h DOAs of the sources. Stoica and R.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 1997 . Prentice Hall. 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.

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

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

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

for DOA estimation. Prentice Hall. 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. MIN-NORM and ESPRIT methods of frequency estimation can be used. MUSIC. YW. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. almost without modification. Stoica and R. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS.

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

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

= U1 U2 ] 0 n n 0 V1 g n .) = n. Stoica and R.n 0 V2 g L n M .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 " # " # (. and the SVD of . is . 1997 Slide L9–15 . Moses.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 ~ . Prentice Hall.

(L 1).YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). Stoica and R. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. Prentice Hall. using 1 N y(t)~ (t) ^ .=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. Moses. 1997 Slide L9–16 .

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

..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. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L9–18 ( ) = d sin( )=c .i!c ( 1) 0 . 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. D= 0 e. where e. Moses. Prentice Hall.

Prentice Hall.1 A1 = Im. Stoica and R. 1997 Slide L9–19 . Moses.ESPRIT Method. so m m and .1 .1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 0]A = . the two subarrays are often the first m and last m array elements.1 A2 = 0 Im. con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efficient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.

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