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Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
Deterministic Signals fy(t)g1 . Prentice Hall. Moses.1 = t= If: discretetime deterministic data sequence X 1 t=. Stoica and R. 1997 Slide L1–4 .1 y(t)e.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.
Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .i!k (k) = 1 t=.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.1 y(t)y (t . S (!)d! t=. 1997 .1 X (k)e. Stoica and R. Moses. Prentice Hall. k) Slide L1–5 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=. 1997 Slide L1–6 . Prentice Hall.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. Moses. Stoica and R.
Stoica and R. 1997 Slide L1–7 . (!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 r(k)e.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Moses. k)g r(k) = r (.First Deﬁnition of PSD (! ) = where r X 1 k=.k) r(0) jr(k)j Z Note that r(k) = 21 . (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .
Moses. Stoica and R. t=1 y(t)e. Prentice Hall.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.Second Deﬁnition of PSD 1 N y(t)e. 1997 Slide L1–8 .
! ) Otherwise: (! ) 6= (. Prentice Hall. we can restrict attention to !2 . Then: (! ) = (. Stoica and R.Properties of the PSD P1: (!) = (! + 2 ) for all !. 1997 Slide L1–9 .1=2 1=2] (!) 0 (t) is real. Thus.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. P2: ] () f 2 .
i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1y(t) = y(t . Stoica and R. 1997 Slide L1–10 . Moses. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t . k) hk e.k = unit delay operator: q.Transfer of PSD Through Linear Systems System Function: where q .1 H (q) = X 1 k=0 hk q.
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 . Stoica and R. Prentice Hall. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Moses. 1997 Slide L1–11 .
Stoica and R. 1997 Slide L2–1 . Prentice Hall. Moses.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P.
Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e.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). Moses. 1997 Slide L2–2 . Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
(N .Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. Moses.1 N .i!k ^c(!) = k=. Prentice Hall.i!k (k)” by “^(k)”: r r ^(k)e.1 X r(k)e. Stoica and R.1) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–3 .
k) k 0 ^ r(k) = N . Moses. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. 1997 Slide L2–4 .Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Stoica and R. k t=k+1 X Standard biased estimate: 1 N y(t)y (t .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1) r ^(k)e. Stoica and R.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. N ^p(!) = 1 y(t)e.1 X = ^c(!) k=.i!t N t=1 X 2 = N .(N . 1997 .Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Prentice Hall.
jk =0 there are “so many” that when summed in ! .1 are small. 1997 Slide L2–6 . ( )g ^ ( ) . Intuitive explanation: r(k) . p! f^( ) . ^p(!) and ^c(!) have poor performance.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. Prentice Hall. Thus. Moses. even for large N . Stoica and R. the PSD error is large. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. r(k) may be large for large jkj ^ Even if the errors r k r k Nj.
1997 .i!k k=. window E ^p(!) = 21 . n o 0 k 1 .1 jkj r(k)e.(N . Moses. or triangular.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.i!k r k=.1 n o n o X ! X N .1 X wB (k) = 8 < : = Thus. ( )WB (! .i!k = 1.1) N .(N . jNj jkj N . Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.1) 1 = wB (k)r(k)e. ) d Z Ideally: WB (!) = Dirac impulse (!). 1 jkj N Bartlett. Stoica and R. N k=. Prentice Hall.
Stoica and R. (!) may differ quite a bit from (!). Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). WB 1=N . 1997 . Prentice Hall. for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N .
^ 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. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . Moses.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. 1997 Slide L2–9 . Prentice Hall.
!1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . WB ! !. so ! is asymptotically unbiased. Moses. 1997 Slide L2–10 . severe bias As N .
Prentice Hall. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. dev = φ(ω) too  Resolvability properties depend on both bias and variance. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L2–11 . (!1) ^p(!2) .Periodogram Variance As N !1 E ^p(!1) .
N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N .1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 1 Direct computation of O N 2 ﬂops ( ) .i!t 2 k and W = e.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. 1997 Slide L2–12 . Moses. Stoica and R.i 2 . Prentice Hall.
Stoica and R. Slide L2–13 t=1 ~ ~ f y(t) .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. 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 = . 1997 . 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . ~ 4 = 0 2 4 : : : N .i2 =N . Moses. 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L2–14 . Moses. Stoica and R.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 2k + 2c ck = 2 k.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus.
Prentice Hall. Moses.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. 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 radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Stoica and R. N=8 ω 2 k N .1 N k=0 sampled.
1997 Slide L3–1 . Prentice Hall. Stoica and R. Moses.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
(M . Stoica and R.1 X k=. with small weight applied to covariances r k with “large” k .1) w(k)^(k)e.BlackmanTukey Method Basic Idea: Weighted correlogram. 1997 Slide L3–2 . Moses. 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. ^( ) jj ^BT (!) = M .
)d 2 . Moses. 1997 . Prentice Hall. 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.BlackmanTukey Method. con't ^BT (!) = 1 ^p( )W (! . Stoica and R.
(M (0) w Z w (k ) = equiv time width 1 2 . 1997 Slide L3–4 . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . Moses. Stoica and R. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . 0 Z  {z } If W (!) 0 (.1) Ne = k=. )d 2 .1 X . Prentice Hall.
Once M is given. bias decreases and variance increases. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. Ne (and hence ﬁxed. As M increases. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. once M is given.Window Design. Stoica and R. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. ) Choose M as a tradeoff between variance and bias. Moses. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). 1997 Slide L3–5 .
1997 Slide L3–6 . Moses. Stoica and R. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window.Window Examples Triangular Window.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Moses.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J .J X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–10 . f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . Prentice Hall. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.Daniell Method By a previous result. for N 1. Stoica and R.
Stoica and R. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Moses. Then. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N .Daniell Method. ^D(!) ' 1 ^p(!)d! 2 . 1997 Slide L3–11 . for N 1.
^ () – Implemented by averaging subsample periodograms. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Daniell Periodogram – Approximate interpretation: spectral window. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. more general for Welch). ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. BT periodogram – Local smoothing/averaging of spectral window. Stoica and R. Prentice Hall.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. 1997 . ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett.
Prentice Hall. Moses. Stoica and R. 1997 Slide L4–1 .Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. Moses. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.θ) Estimate parameters in φ(ω. Prentice Hall.i! .θ) ^ θ Estimate PSD ^ ^ =φ(ω. ! can approximate arbitrarily well any continuous PSD.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.i!k (!) is a rational function in e. 1997 Slide L4–2 ( ) .i!k (!) = P jkj n k e. Note. P By Weierstrass theorem. provided m and n are chosen sufﬁciently large.
g. 1997 .m and. MA.AR. Stoica and R.1 + + anz. Prentice Hall.1 + + bmz. e. 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.. and ARMA Models By Spectral Factorization theorem. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.n B (z) = 1 + b1z.
1997 Slide L4–4 . Prentice Hall. k) and take E f g to give: X r (k ) + X 2 m bj hj .k = j =0 = 0 for k > m B (q) = 1 h q. Stoica and R. j ) (b0 = 1) Multiply by y (t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Moses. k)g Lecture notes to accompany Introduction to Spectral Analysis by P. j )y (t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . i) = X m j =0 bj e(t . i) = m j =0 bj E fe(t .
r(1) r(0) . . 2 1 a1 = 0 . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. 1997 Slide L4–5 . r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. .1) . . Prentice Hall.AR Signals: YuleWalker Equations AR: m = 0.n) . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. . Moses. .1) : : : r(. . . r (.
1) . Stoica and R. . . 1997 Slide L4–6 .AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. ^(.1 = 0 a . . r . .1) : : : ^(. r ^(1) r(0) ^ ^. . Moses.n) 1 r r ^2 . .
y(N . i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . 1) : : : y (t . Moses. . 2) Lecture notes to accompany Introduction to Spectral Analysis by P.1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . . . . n)]T . n) .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . 1) y(n + 1) y(n) . Find i=1 aiy(t .(Y Y ). Stoica and R. ^ = . 1) y(N . . 3 7 5 Y =4 y(n) y(n . Prentice Hall. 1997 Slide L4–7 . .
. . 1997 Slide L4–8 ..1 . 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.0 . Prentice Hall. . {z .. .. Moses. n .. ..1 1 .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). Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . . orderrecursive solution to YW equations 2 6 6 6 4  0 .Levinson–Durbin Algorithm Fast.
LevinsonDurbin Alg. 1997 Slide L4–9 . con't Relevant Properties of R: Rx = y $ Rx = y. Stoica and R. Prentice Hall. Moses. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . . 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. Lecture notes to accompany Introduction to Spectral Analysis by P.LevinsonDurbin Alg. con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. 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. 1997 . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Prentice Hall. 2 kn = .
m) Thus. 1) + + bme(t . r(k) = 0 for jkj > m and 2 2 = m r(k)e.i!k (!) = jB(!)j k=. Prentice Hall.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Stoica and R.m X Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L4–11 .
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.m ^BT (!) with a rectangular lag window of 2m + 1. Moses.i!k k=.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–12 . with AR model order n .
Stoica and R. j ) Lecture notes to accompany Introduction to Spectral Analysis by P.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).m k e. A(q)y(t) = B (q)e(t) B (!) 2 = m=. Prentice Hall. 1997 Slide L4–13 . Moses. k)] g = E f A(q)y(t)] A(q)y(t . 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 .
Moses. Estimate fai r(k)g in (!) = P m .m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai bj A(!) nonlinear estimation problem.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. Stoica and R. Prentice Hall.i!k k=. 1997 Slide L4–14 . can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P.
f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . K ) ^2 = N 1 j^(t)j2 e N . 1) + 2y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. 1997 Slide L4–15 . for some large K e(t) ' y(t) + 1y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1) + + K y(t . 1) + e and its variance + ^K y(t .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . Stoica and R. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
Stoica and R. 1) : : : .TwoStage LeastSquares Method. Moses. 1) : : : ^(t . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(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. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. y(t .y(t . n) e ^(t . ^(t) ' . Prentice Hall. 1997 Slide L4–16 . con't fe(t)g by ^(t) in the ARMA equation.
Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . . : : : r(m . Moses. .. n + M ) . r f^ g . # 2 = r(m + M . fast Levinsontype algorithms exist for obtaining ai . . 1997 Slide L4–17 . n + 1) r(m . If M > n overdetermined squares solution for ai . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . Stoica and R. 5 . least f^ g Note: For narrowband ARMA signals. = m + 1 ::: m + M a1 an . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. . n + 2) . Prentice Hall. . 1) : : : r(m . . .6 4 Replace fr(k)g by f^(k)g and solve for faig. the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. = f^ g Y W system of equations.. .
Prentice Hall. Stoica and R.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–18 . Moses.
Stoica and R. Prentice Hall.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–1 . Moses.
Prentice Hall. Moses. 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 . 1997 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P.Line Spectra Many applications have signals with (near) sinusoidal components. Examples: communications radar.
1997 . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . Moses. ] (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 . Stoica and R. superimposed in white noise of k 2. ] (prevents model ambiguities) f'k g = independent rv's. uniformly distributed on .
Prentice Hall. Moses.i'j o = E nei'p o E ne.i'j o = 1. e E xp(t)xj (t .Covariance Function and PSD Note that: E E n i'p e. for p = j e i'p e. r(k) = E fy(t)y (t . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P.i'j o e Z n 1 i' d' 2 = 0. k) = 2 ei!pk p j p n o Hence. Stoica and R. for p 6= j =2 . 1997 . k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! .
1997 Slide L5–5 . Prentice Hall.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. Moses. Stoica and R.
. Prentice Hall. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. . 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 . 1997 Slide L5–6 . Moses.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . .
con't Then: F = (Y . Y B(B B). 1997 Slide L5–7 . (B B).1B Y !=^ ! and ! = arg max Y B (B B ). Prentice Hall.1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. B k2 = . B ) = kY . Moses.1B Y ] +Y Y .1B Y This gives: ^ = (B B). (B B). B ) (Y .1B Y ] B B] .Nonlinear Least Squares (NLS) Method. Stoica and R.
it is difﬁcult to avoid convergence to local minima.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. Moses. Stoica and R. 1997 Slide L5–8 . Prentice Hall.5. Lecture notes to accompany Introduction to Spectral Analysis by P. ! Difﬁcult Implementation: The NLS cost function F is multimodal.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Stoica and R. 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. Prentice Hall. Moses. 1997 Slide L5–12 .HighOrder YuleWalker Method. along with L . n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P.
r(L + 2) . 1997 Slide L5–13 . Prentice Hall. . . . r(L + M . . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. . 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 = . 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . Moses.
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). y = . 1997 Slide L5–14 . (U V )b = .V . diagonal and nonsingular Thus. The MinimumNorm solution is b = . Moses. Stoica and R. n) spurious zeros of B (q ) are located strictly inside the unit circle. if the MinimumNorm solution b is used. Prentice Hall.1U Important property: The additional (L .HighOrder and Overdetermined YW Equations. Lecture notes to accompany Introduction to Spectral Analysis by P.
r . Moses. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. f^ g When the SNR is low. Compute ^ = . this approach may give spurious frequency estimates when L > n.HOYW Equations. 1997 Slide L5–15 . .1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. SVD of .V ^ . V from the Let U . V be deﬁned similarly to U . Prentice Hall. this is the price paid for increased accuracy when L > n.
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L6–1 . Moses.
. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .i(m. 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 . Moses.. .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . Stoica and R. m + 1) .i! : : : e. 1997 Slide L6–2 . 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.The Covariance Matrix Equation Let: a(!) = 1 e.
.. 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.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Prentice Hall. n)) Thus. Moses. 1997 Slide L6–3 . 2 R = S G] 6 4 1 3 " .n] (m (m . Stoica and R.
2 .. Therefore. Moses. 0 n 3 7 5 with C (since rank S . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. . Stoica and R.. = = nonsingular 0 n.Eigendecomposition of R and Its Properties. Prentice Hall. 1997 .1) = AC S = A(PA S ( ) = rank(A) = n). 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . since S G j j 6= 0 4 ..
1997 Slide L6–5 .MUSIC Method a (!1) . . Prentice Hall. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Stoica and R. 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.
Prentice Hall.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 .1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Moses.1)GG a(z) = 0 that are closest to the unit circle. a(z) = 1 z.(m. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.1 : : : z. 1997 Slide L6–6 . Here. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. If: =n+1 m=n+1 Then: ^ g G = ^1.1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). 1997 Slide L6–7 . ) f!kgn=1 can be found from the roots of ^ k aT (z. Stoica and R. Moses.
but only one vector in G (as in Pisarenko). Moses. 1997 Slide L6–8 . g # Lecture notes to accompany Introduction to Spectral Analysis by P. and reduce risk of false frequency estimates. with ﬁrst element equal ^ ^ to one. that has minimum Euclidean norm. R( ) Let " 1 = the vector in R(G).MinNorm Method Goals: Reduce computational burden. Stoica and R. Prentice Hall. Uses m n (as in MUSIC).
MinNorm Method. Moses. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–9 . con't Spectral MinNorm f!gn=1 = ^k the locations of the n highest peaks in the “pseudospectrum” 2 1 = a (!) 1 ^ g " # Root MinNorm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z.1) 1 ^ g " # that are closest to the unit circle. Stoica and R.
S(S S ). Stoica and R.1 g + S S . g " # MinNorm solution: As: ^ = . k k2) = (S S ) ) (S S ). at least.1 = =(1 . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. k k2) ) ^ = . Moses.) ^^ I=S S= Multiplying the above equation by gives: (1 .Let S ^= S g1 . (S S ).1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .S =(1 . for N 1. 1997 Slide L6–10 .1 exists iff = k k2 6= 1 (This holds.
determined as is uniquely = (S1S1).1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. D= 0 e..1 0]A A2 = 0 Im. Moses.i!1 0 .1]A Then A2 Also.i!n S1 = Im. let = A1D..1DC {z } So has the same eigenvalues as D . Stoica and R. 1997 Slide L6–11 . where e. Prentice Hall.ESPRIT Method Let A1 = Im.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. Then S2 = A2C = A1DC = S1 C .1 0]S S2 = 0 Im.
Moses. Stoica and R.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). ﬁnd S . 1997 Slide L6–12 .1S1S2 ^^ ^^ f!kgn=1 = . 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. Prentice Hall.
Stoica and R. Prentice Hall.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 .
1997 Slide L7–1 . Moses. Stoica and R.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
(!) by a 2. 1997 Slide L7–2 .Basic Ideas Two main PSD estimation approaches: 1. Prentice Hall. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Nonparametric Approach: Implicitly smooth ! !=. by assuming that ! is nearly constant over the bands f ( )g ( ) !. !+ ] N >1 1 2 is more general than 1. but 2 requires to ensure that the number of estimated values = = ) is < N . Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Parametric Approach: Parameterize ﬁnitedimensional model.
are conﬂicting.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . Moses. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) .with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . as well as (b) and (c). Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. 2 ! + 2 ] Note that assumptions (a) and (b). 1997 . Prentice Hall. Stoica and R. !c @Q Q ! . jH ( )j2 ( )d = ' 21 !+ !. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! .
Filter Bank Interpretation of the Periodogram 1 N y(t)e. Prentice Hall. 1 H (!) = hk e ! N ei(~. 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 . k) 2 ! .!) .!) .i!k = 1 eiN (~.t) t=1 X X = N where ( X 1 k=0 hk y(N . Stoica and R. 1 k=0 X 1 ei!k k = 0 : : : N . Moses.
power calculation from only 1 sample of ﬁlter output. ! 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. Prentice Hall. for N = 50. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–5 . con't jH (!)j as a function of (~ . Moses. Stoica and R. !).Filter Bank Interpretation of the Periodogram. and: narrow ﬁlter passband.
This “multiwindow approach” is similar to the Daniell method. more data points for the power calculation stage. This approach leads to Bartlett and Welch methods. Each ﬁlter covers a small band centered on ! . 1997 Slide L7–6 . ~ provides several samples for power calculation.Possible Improvements to the Filter Bank Approach 1. and bandpass ﬁlter each subsample. Split the available sample. Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Both approaches compromise bias for variance. Use several bandpass ﬁlters on the whole sample. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. 2.
Capon Method Idea: Datadependent bandpass ﬁlter design. k) 2 6 4  . Stoica and R. = h0 h1 : : : hm] . Moses. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.i! : : : e. yF (t) = X m k=0  hk y(t . 1997 Slide L7–7 .im! ]T hk e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. y(t . Prentice Hall.
1997 Slide L7–8 .1a(!) which should be the power of y (t) in a passband centered on ! .1a=a R.Capon Method. Prentice Hall.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.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. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. Stoica and R.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.
Prentice Hall. Capon uses one bandpass ﬁlter only. bias decreases and variance increases.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. . but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Stoica and R. Moses. 1997 Slide L7–9 .
1997 Slide L7–10 .m m + 1 1 m m ^(t . jkj ^BT (!) = r(k)e. s)e.i!(t.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . Prentice Hall.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.i!k ^ k=. Moses. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. Stoica and R.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .
AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Stoica and R. Due to the loworder AR terms in the average. 1997 Slide L7–11 . Prentice Hall. Moses. C ! generally has worse resolution and bias properties than the AR method. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). C ! generally has less statistical variability than the AR PSD estimator.
Moses. 1997 Slide L8–1 . Prentice Hall. Stoica and R.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P.
seismology.. @. 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. v Source n @.R . Emitted energy: Acoustic.@ . @. @. 1997 Slide L8–2 . Sensor 1 @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . Stoica and R. . @. .. .@ . antennas. sonar. mechanical Receiving sensors: Hydrophones. Prentice Hall. Moses. electromagnetic. seismometers Applications: Radar. @. communications.
1997 Slide L8–3 . The number of sources n is known.Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival.) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. the array is calibrated. AOA). 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.
g. at the “ﬁrst” sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k “noise” at the kth sensor (e.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. background noise... etc. Stoica and R. 1997 Slide L8–4 .g.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. thermal noise in sensor electronics. Basic Problem: Estimate the time delays known but x t unknown. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. k) + ek (t) ( = convolution operator). Then the output of sensor k is yk (t) = hk (t) x(t . Prentice Hall.
k ) ' jHk (!c)j (t)cos !ct + '(t) . Moses. !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. !c k ] hk (t) x(t . 1997 . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . k ) ' (t) cos !ct + '(t) . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . Prentice Hall. k) ' (t) '(t . Stoica and R.Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c .
i!ct to obtain (t)ei (t) lowpass highpass Hence.i!c k + ek (t) where s(t) is the complex envelope of x(t). 1997 Slide L8–6 or . 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. Lecture notes to accompany Introduction to Spectral Analysis by P.i!ct ~ = yk(t) cos(!ct) .i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. Stoica and R. Moses.!ct = (t)f ei (t) + e.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. Prentice Hall.
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 . 1997 Slide L8–10 . Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.
!s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. 1997 . Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Stoica and R. 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. Prentice Hall.i!s : : : e.i(m.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–1 . Stoica and R. Moses. Prentice Hall.
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. 1997 Slide L9–2 . Prentice Hall.
Prentice Hall. k) = h y(t) k=0 h = ho : : : hm. Moses.i(m. 1997 Slide L9–3 . Stoica and R.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .i! : : : e.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. Lecture notes to accompany Introduction to Spectral Analysis by P. m + 1)]T If u m.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .1] y(t) = u(t) : : : u(t .
Prentice Hall.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. 1997 Slide L9–4 . Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Stoica and R. Moses.i!c 2 : : : e.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. Lecture notes to accompany Introduction to Spectral Analysis by P.
@ 0 B 1 C h @@ C B B e.B .i! C @ h a(!)]u(t) R @ C .1 q . 1997 Slide L9–5 . Prentice Hall. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P. 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.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q..? B P C B C B B B . Moses.i! Be 2 B !! B B B B . C C B C B C B C B C B A @ .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. s qq h  ? 1 ?  m.i m. B B @ . Cu(t) C B .1 ?  1 . ! hm. Stoica and R.
1997 Slide L9–6 . Moses. Prentice Hall. Here. Stoica and R. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. 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. h a 0 .Spatial Filtering.
1997 Slide L9–7 . Prentice Hall. by sweeping the ﬁlter through the DOA range of interest (“goniometer”).Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. To locate an emitter in the ﬁeld of view. Moses. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 . ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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. Stoica and R. Moses. 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. 1997 Slide L9–9 . 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.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. Stoica and R. Moses.
Prentice Hall.Implementation of Beamforming 1 N y(t)y (t) ^ R=N t=1 X The beamforming DOA estimates are: f^kg = the locations of the n largest peaks of a Ra . Resolution Threshold: inf j k . pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Moses. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. 1 = 1. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. Stoica and R. 1997 .
Moses.1a( )=a ( )R. Stoica and R.1a( ) E jyF (t)j2 = 1=a ( )R. Prentice Hall.1a( ): Performance: Slightly superior to Beamforming. Both Beamforming and Capon are nonparametric approaches.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. 1997 Slide L9–11 . Lecture notes to accompany Introduction to Spectral Analysis by P.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).
MUSIC. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–12 . Moses. almost without modiﬁcation. YW.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. Stoica and R. MINNORM and ESPRIT methods of frequency estimation can be used. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. for DOA estimation. Prentice Hall.
A(A A). Stoica and R. A(A A). Lecture notes to accompany Introduction to Spectral Analysis by P.1A ]y(t) = N t=1 ^ = trf I .1A ]Rg ^ Thus. f ^k g = arg max trf A(A A).1A y(t) t = 1 : : : N s X Then 1 N k I . this is precisely the form of the NLS method of frequency estimation. A(A A). 1997 Slide L9–13 =1 . Moses. As(t)k2 min(t)g N f k g fs t=1 X  Minimizing f over s gives f ( s) {z } ^(t) = (A A).Nonlinear Least Squares Method 1 N ky(t) . Prentice Hall.1A ]Rg X f kg For N .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .
Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. 1997 Slide L9–14 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P. = U1 U2 ] 0 n n 0 V1 g n . and the SVD of . Stoica and R. is .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (.YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ .) = n.n 0 V2 g L n M . Prentice Hall. Moses. 1997 Slide L9–15 .
(L 1).YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. using 1 N y(t)~ (t) ^ . Stoica and R. Moses.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–16 . Prentice Hall.
Stoica and R. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Moses. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. 1997 Slide L9–17 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. that is.
. where e. Stoica and R. 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. Moses.. Lecture notes to accompany Introduction to Spectral Analysis by P.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. 1997 Slide L9–18 ( ) = d sin( )=c . Prentice Hall. D= 0 e.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.i!c ( 1) 0 .
1 0]A = . Prentice Hall.1 . Stoica and R. Moses.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 A2 = 0 Im. so m m and .ESPRIT Method. con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.1 A1 = Im. the two subarrays are often the ﬁrst m and last m array elements. 1997 Slide L9–19 .
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