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Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
1 = t= If: discretetime deterministic data sequence X 1 t=.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 1997 Slide L1–4 .1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.Deterministic Signals fy(t)g1 .1 y(t)e. Prentice Hall.
S (!)d! t=.1 y(t)y (t . Moses.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .i!k (k) = 1 t=. Stoica and R. 1997 . k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 X (k)e.
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. Stoica and R. 1997 Slide L1–6 .Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Moses.
(!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . Stoica and R.k) r(0) jr(k)j Z Note that r(k) = 21 .First Deﬁnition of PSD (! ) = where r X 1 k=.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .1 r(k)e. Prentice Hall. Moses. 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.
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. t=1 y(t)e. Moses.Second Deﬁnition of PSD 1 N y(t)e. Prentice Hall. 1997 Slide L1–8 . Stoica and R.
1997 Slide L1–9 .! ) Otherwise: (! ) 6= (.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. we can restrict attention to !2 . Moses. Thus. Then: (! ) = (.Properties of the PSD P1: (!) = (! + 2 ) for all !. Prentice Hall. Stoica and R.1=2 1=2] (!) 0 (t) is real. P2: ] () f 2 .
Transfer of PSD Through Linear Systems System Function: where q . Stoica and R.k = unit delay operator: q.1y(t) = y(t . 1997 Slide L1–10 . Moses. Prentice Hall. k) hk e. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .1 H (q) = X 1 k=0 hk q.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P.
]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Stoica and R. 1997 Slide L1–11 . Prentice Hall. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 .
1997 Slide L2–1 . Stoica and R. Prentice Hall.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e. 1997 Slide L2–2 . Moses. Prentice Hall.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. Stoica and R.
i!k (k)” by “^(k)”: r r ^(k)e.i!k ^c(!) = k=. Prentice Hall.1) Lecture notes to accompany Introduction to Spectral Analysis by P.1 X r(k)e. Moses. 1997 Slide L2–3 . Stoica and R.1 N .(N .Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.
k t=k+1 X Standard biased estimate: 1 N y(t)y (t . Prentice Hall. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. 1997 Slide L2–4 . k) k 0 ^ r(k) = N . Moses.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Stoica and R.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P.
1) r ^(k)e. Moses. Stoica and R. 1997 . Prentice Hall.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.i!t N t=1 X 2 = N .1 X = ^c(!) k=. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!).(N . N ^p(!) = 1 y(t)e.
( )] Lecture notes to accompany Introduction to Spectral Analysis by P.1 are small. the PSD error is large.Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. Thus. ( )g ^ ( ) . p! f^( ) . Stoica and R. Prentice Hall. ^p(!) and ^c(!) have poor performance. Intuitive explanation: r(k) . even for large N . jk =0 there are “so many” that when summed in ! . Moses. 1997 Slide L2–6 .
i!k k=.1) 1 = wB (k)r(k)e.i!k r k=. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. 1997 .1 jkj r(k)e.(N . Prentice Hall.i!k = 1.1 X wB (k) = 8 < : = Thus. ) d Z Ideally: WB (!) = Dirac impulse (!). jNj jkj N . Stoica and R.1 n o n o X ! X N . or triangular. 1 jkj N Bartlett. N k=.1) N . window E ^p(!) = 21 .(N . Moses. ( )WB (! . n o 0 k 1 .
Prentice Hall. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P.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 . 1997 . (!) may differ quite a bit from (!). Moses. WB 1=N . Stoica and R.
Moses. Prentice Hall. Stoica and R. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–9 . 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 .Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable.
WB ! !.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . severe bias As N . !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–10 . Prentice Hall. Stoica and R. so ! is asymptotically unbiased.
(!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) . Lecture notes to accompany Introduction to Spectral Analysis by P. dev = φ(ω) too  Resolvability properties depend on both bias and variance. (!1) ^p(!2) . Stoica and R. 1997 Slide L2–11 . Moses.
Moses. 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 . Prentice Hall. 1997 Slide L2–12 .i 2 . Stoica and R.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. 1 Direct computation of O N 2 ﬂops ( ) .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.
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. 1997 . 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=2point DFT computation.i2 =N .Radix–2 Fast Fourier Transform (FFT) N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = . y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. ~ 4 = 0 2 4 : : : N . Prentice Hall. Moses. Stoica and R.
1997 Slide L2–14 . Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Moses. Stoica and R. 2k + 2c ck = 2 k.
1 N k=0 sampled. 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 . N=8 ω 2 k N .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall.
1997 Slide L3–1 . Moses. Prentice Hall. Stoica and R.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
(M .i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.BlackmanTukey Method Basic Idea: Weighted correlogram. with small weight applied to covariances r k with “large” k . Prentice Hall. Moses.1 X k=.1) w(k)^(k)e. 1997 Slide L3–2 . ^( ) jj ^BT (!) = M .
Prentice Hall.BlackmanTukey Method. con't ^BT (!) = 1 ^p( )W (! . Moses. 1997 . Stoica and R. Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. )d 2 .
Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . 1997 Slide L3–4 .1 X . Moses. 0 Z  {z } If W (!) 0 (.1) Ne = k=. )d 2 . Prentice Hall.(M (0) w Z w (k ) = equiv time width 1 2 . Stoica and R. W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.
bias decreases and variance increases. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). once M is given. 1997 Slide L3–5 .Window Design. As M increases. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Stoica and R. Prentice Hall. Once M is given. ) Choose M as a tradeoff between variance and bias. Ne (and hence ﬁxed.
Moses. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L3–6 . M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window.Window Examples Triangular Window.
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
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. for N 1. 1997 Slide L3–10 . Stoica and R. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.Daniell Method By a previous result. 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 .
con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. ^D(!) ' 1 ^p(!)d! 2 . Moses. for N 1.Daniell Method. 1997 Slide L3–11 . Then. Stoica and R.
Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Lecture notes to accompany Introduction to Spectral Analysis by P. more general for Welch). Prentice Hall. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. ^ () – Implemented by averaging subsample periodograms. 1997 . Moses. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. BT periodogram – Local smoothing/averaging of spectral window.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. Stoica and R. Daniell Periodogram – Approximate interpretation: spectral window.
Moses.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L4–1 .
θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. Stoica and R. ! can approximate arbitrarily well any continuous PSD. Note. Prentice Hall.θ) Estimate parameters in φ(ω.i!k (!) = P jkj n k e. Moses. provided m and n are chosen sufﬁciently large. 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.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. 1997 Slide L4–2 ( ) .i! .θ) ^ θ Estimate PSD ^ ^ =φ(ω. P By Weierstrass theorem.
a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.AR.1 + + bmz. and ARMA Models By Spectral Factorization theorem. Stoica and R. MA. Moses..g.m and. e. 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. 1997 .1 + + anz.n B (z) = 1 + b1z. Prentice Hall.
j )y (t . Moses.ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . 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 . Prentice Hall.k = j =0 = 0 for k > m B (q) = 1 h q. i) = m j =0 bj E fe(t . Stoica and R. 1997 Slide L4–4 . k) and take E f g to give: X r (k ) + X 2 m bj hj . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. i) = X m j =0 bj e(t .
r(1) r(0) . r (. .1) . . Prentice Hall. . . .AR Signals: YuleWalker Equations AR: m = 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(. Moses. 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. . 1997 Slide L4–5 . . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.1) : : : r(.n) .
Moses. .AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(.1) : : : ^(. . . 1997 Slide L4–6 . . . r .n) 1 r r ^2 . Stoica and R.1 = 0 a . ^(.1) . . Prentice Hall. 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 ^(1) r(0) ^ ^.
. 1) : : : y (t . 1997 Slide L4–7 .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . Find i=1 aiy(t . n)]T . .(Y Y ). ^ = . Prentice Hall. . . . . 3 7 5 Y =4 y(n) y(n . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 1) y(n + 1) y(n) . Stoica and R. 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 ) .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . y(N . 1) y(N . Moses. n) .
{z . .. Moses. n . Prentice Hall. 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.1 1 . . 1997 Slide L4–8 . Stoica and R.Levinson–Durbin Algorithm Fast... . orderrecursive solution to YW equations 2 6 6 6 4  0 . .n . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 .. . 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k).1 .0 . ..
. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. con't Relevant Properties of R: Rx = y $ Rx = y. Prentice Hall. Stoica and R. 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.LevinsonDurbin Alg. 1997 Slide L4–9 . Moses. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 .
Moses. Prentice Hall. jknj2) 2 2 n " n # " ~n 1 # Computation count: k ﬂops for the step k 2 ) n2 ﬂops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 .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. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . 2 kn = .
Prentice Hall. 1) + + bme(t . 1997 Slide L4–11 . r(k) = 0 for jkj > m and 2 2 = m r(k)e.i!k (!) = jB(!)j k=.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Moses. Stoica and R.m X Lecture notes to accompany Introduction to Spectral Analysis by P. m) Thus.
Moses. Prentice Hall.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Stoica and R. 1997 Slide L4–12 .m ^BT (!) with a rectangular lag window of 2m + 1. with AR model order n . Lecture notes to accompany Introduction to Spectral Analysis by P. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. ^(!) 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.i!k k=.
1997 Slide L4–13 . j ) Lecture notes to accompany Introduction to Spectral Analysis by P. k)] g = X n X n j =0 p=0 aj ap r(k + p . k)] g = E f A(q)y(t)] A(q)y(t . Moses. Prentice Hall.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). Stoica and R.m k e.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=.
Prentice Hall. Moses. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Estimate fai r(k)g in (!) = P m . 1997 Slide L4–14 .ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai bj A(!) nonlinear estimation problem.i!k k=.
1997 Slide L4–15 .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1) + + K y(t . Stoica and R. 1) + 2y(t . 1) + e and its variance + ^K y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. Moses. K ) ^2 = N 1 j^(t)j2 e N . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. for some large K e(t) ' y(t) + 1y(t . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t .
Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . Stoica and R. Prentice Hall. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P.TwoStage LeastSquares Method. con't fe(t)g by ^(t) in the ARMA equation. 1) : : : ^(t . Moses. n) e ^(t . ^(t) ' . 1) : : : . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques.y(t . 1997 Slide L4–16 . y(t .
Stoica and R. . Prentice Hall. n + 2) . 1) : : : r(m . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. n + 1) r(m . If M > n overdetermined squares solution for ai . n + M ) . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . r f^ g . .. 5 . fast Levinsontype algorithms exist for obtaining ai . .6 4 Replace fr(k)g by f^(k)g and solve for faig. r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. = m + 1 ::: m + M a1 an . . . Moses. . least f^ g Note: For narrowband ARMA signals. .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . # 2 = r(m + M . . 1997 Slide L4–17 . : : : r(m .. = f^ g Y W system of equations.
Prentice Hall. Stoica and R. 1997 Slide L4–18 .Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
1997 Slide L5–1 . Stoica and R.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.
Prentice Hall. 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 .Line Spectra Many applications have signals with (near) sinusoidal components. Moses. Examples: communications radar. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
] (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. Moses. Prentice Hall. power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . 1997 .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . superimposed in white noise of k 2. ] (prevents model ambiguities) f'k g = independent rv's. Stoica and R. uniformly distributed on .
i'j o e Z n 1 i' d' 2 = 0.i'j o = 1. r(k) = E fy(t)y (t .i'j o = E nei'p o E ne. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . e E xp(t)xj (t . for p 6= j =2 . k) = 2 ei!pk p j p n o Hence. Prentice Hall. Moses. for p = j e i'p e. 1997 .Covariance Function and PSD Note that: E E n i'p e. Stoica and R. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P.
^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.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 . Stoica and R. Prentice Hall. Moses. 1997 Slide L5–5 .
. 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. Moses. 1997 Slide L5–6 . Prentice Hall.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . . X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . .
1B Y ] +Y Y .1B Y ] B B] . B k2 = .1B Y This gives: ^ = (B B). (B B). Y B(B B).Nonlinear Least Squares (NLS) Method. Stoica and R. B ) (Y . 1997 Slide L5–7 . Prentice Hall. Moses.1B Y !=^ ! and ! = arg max Y B (B B ).1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. B ) = kY . con't Then: F = (Y . (B B).
Prentice Hall. Moses. it is difﬁcult to avoid convergence to local minima. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. ! Difﬁcult Implementation: The NLS cost function F is multimodal.5. 1997 Slide L5–8 .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.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. f!kgn=1. Stoica and R. Prentice Hall.HighOrder YuleWalker Method. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. 1997 Slide L5–12 . Moses. along with L .
Moses. Prentice Hall. . . 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. r(L + M . r(L + 2) . 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 = . 1997 Slide L5–13 . .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
if the MinimumNorm solution b is used. Prentice Hall. 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). diagonal and nonsingular Thus. (U V )b = . Lecture notes to accompany Introduction to Spectral Analysis by P. y = .1U Important property: The additional (L . The MinimumNorm solution is b = . n) spurious zeros of B (q ) are located strictly inside the unit circle. Stoica and R. 1997 Slide L5–14 . Moses.HighOrder and Overdetermined YW Equations.V .
Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.V ^ . Lecture notes to accompany Introduction to Spectral Analysis by P.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.HOYW Equations. f^ g When the SNR is low. . Moses. Compute ^ = . V be deﬁned similarly to U . this is the price paid for increased accuracy when L > n. SVD of . 1997 Slide L5–15 . Prentice Hall. r . this approach may give spurious frequency estimates when L > n. Stoica and R. V from the Let U .
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. Moses. 1997 Slide L6–1 .
. Moses. 1997 Slide L6–2 ..The Covariance Matrix Equation Let: a(!) = 1 e.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . Stoica and R. m + 1) . 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 . . 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .i! : : : e. Prentice Hall.i(m. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
2 R = S G] 6 4 1 3 " . 1997 Slide L6–3 .n] (m (m .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.. Stoica and R..ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. n)) Thus.
. since S G j j 6= 0 4 . Prentice Hall. 0 n 3 7 5 with C (since rank S .. Moses. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . 2 . 1997 . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.1) = AC S = A(PA S ( ) = rank(A) = n). = = nonsingular 0 n. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R... Therefore.Eigendecomposition of R and Its Properties.
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. Prentice Hall. Stoica and R. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. 1997 Slide L6–5 .MUSIC Method a (!1) . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus.
(m. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 : : : z. a(z) = 1 z.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Here.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 . Stoica and R. Moses.1)GG a(z) = 0 that are closest to the unit circle. 1997 Slide L6–6 .
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). If: =n+1 m=n+1 Then: ^ g G = ^1. Prentice Hall. 1997 Slide L6–7 . ) f!kgn=1 can be found from the roots of ^ k aT (z. Stoica and R. Moses.
Stoica and R. g # Lecture notes to accompany Introduction to Spectral Analysis by P. but only one vector in G (as in Pisarenko). R( ) Let " 1 = the vector in R(G). Moses. with ﬁrst element equal ^ ^ to one. Prentice Hall.MinNorm Method Goals: Reduce computational burden. and reduce risk of false frequency estimates. 1997 Slide L6–8 . that has minimum Euclidean norm. Uses m n (as in MUSIC).
Moses. Stoica and R.MinNorm Method. Prentice Hall.1) 1 ^ g " # that are closest to the unit circle. 1997 Slide L6–9 . Lecture notes to accompany Introduction to Spectral Analysis by P. 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.
1997 Slide L6–10 .Let S ^= S g1 . Stoica and R. Moses.1 exists iff = k k2 6= 1 (This holds. k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. for N 1.S(S S ). at least. Prentice Hall. k k2) ) ^ = .S =(1 .1 g + S S . k k2) = (S S ) ) (S S ).) ^^ I=S S= Multiplying the above equation by gives: (1 . g " # MinNorm solution: As: ^ = .1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .1 = =(1 . (S S ).
1]A Then A2 Also. let = A1D. where e.i!n S1 = Im.ESPRIT Method Let A1 = Im.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.. Prentice Hall. D= 0 e. Then S2 = A2C = A1DC = S1 C . determined as is uniquely = (S1S1).i!1 0 .1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.1 0]A A2 = 0 Im. 1997 Slide L6–11 .1 0]S S2 = 0 Im. Stoica and R. Moses.1DC {z } So has the same eigenvalues as D ..
then S1 and S2 .1S1S2 ^^ ^^ f!kgn=1 = .ESPRIT Implementation From the eigendecomposition of R. Stoica and R. arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. ﬁnd S . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). 1997 Slide L6–12 . Prentice Hall.
Prentice Hall. Stoica and R. Moses.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. 1997 .
Prentice Hall. Moses. 1997 Slide L7–1 .Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Parametric Approach: Parameterize ﬁnitedimensional model. Nonparametric Approach: Implicitly smooth ! !=.Basic Ideas Two main PSD estimation approaches: 1. Stoica and R. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Moses. !+ ] N >1 1 2 is more general than 1. but 2 requires to ensure that the number of estimated values = = ) is < N . 1997 Slide L7–2 . Prentice Hall. (!) by a 2. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Moses. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. as well as (b) and (c). jH ( )j2 ( )d = ' 21 !+ !. are conﬂicting. 1997 . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Stoica and R. 2 ! + 2 ] Note that assumptions (a) and (b). !c @Q Q ! .with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) .Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) .
!) .Filter Bank Interpretation of the Periodogram 1 N y(t)e. k) 2 ! .t) t=1 X X = N where ( X 1 k=0 hk y(N . 1 k=0 X 1 ei!k k = 0 : : : N . 1997 . 1 H (!) = hk e ! N ei(~. Moses. 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. Stoica and R.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .!) .i!k = 1 eiN (~. Prentice Hall.
!). 1997 Slide L7–5 . power calculation from only 1 sample of ﬁlter output.Filter Bank Interpretation of the Periodogram. and: narrow ﬁlter passband. con't jH (!)j as a function of (~ . Stoica and R. ! 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. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. for N = 50. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P.Possible Improvements to the Filter Bank Approach 1. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Stoica and R. Each ﬁlter covers a small band centered on ! . Use several bandpass ﬁlters on the whole sample. 2. more data points for the power calculation stage. Moses. and bandpass ﬁlter each subsample. This approach leads to Bartlett and Welch methods. ~ provides several samples for power calculation. Both approaches compromise bias for variance. This “multiwindow approach” is similar to the Daniell method. Prentice Hall. Split the available sample. 1997 Slide L7–6 .
Stoica and R. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e. yF (t) = X m k=0  hk y(t .i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.im! ]T hk e.i! : : : e. Moses.Capon Method Idea: Datadependent bandpass ﬁlter design. = h0 h1 : : : hm] . y(t . 1997 Slide L7–7 . k) 2 6 4  . Prentice Hall.
Stoica and R.Capon Method.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.1a(!) which should be the power of y (t) in a passband centered on ! .1a=a R. Moses. Prentice Hall. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. 1997 Slide L7–8 . con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P.
but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Moses. bias decreases and variance increases. .Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. 1997 Slide L7–9 . Capon uses one bandpass ﬁlter only. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
jkj ^BT (!) = r(k)e. 1997 Slide L7–10 .i!k ^ k=.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .m m + 1 1 m m ^(t .i!(t. Stoica and R. s)e. Moses. Prentice Hall. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .
Moses. Prentice Hall. C ! generally has less statistical variability than the AR PSD estimator. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Due to the loworder AR terms in the average. C ! generally has worse resolution and bias properties than the AR method. Stoica and R. 1997 Slide L7–11 .Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k.
Moses. Prentice Hall.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–1 . Stoica and R.
.@ ..R . @. . antennas. @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . @. Moses.@ . 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. sonar.. seismometers Applications: Radar. . . @. Prentice Hall. v Source n @. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. mechanical Receiving sensors: Hydrophones. Sensor 1 @. communications. 1997 Slide L8–2 . . Stoica and R. electromagnetic. Emitted energy: Acoustic.
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. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Prentice Hall. AOA). Stoica and R. The number of sources n is known. the array is calibrated.) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L8–3 .
1997 Slide L8–4 . Lecture notes to accompany Introduction to Spectral Analysis by P. thermal noise in sensor electronics. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. 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. Prentice Hall. k) + ek (t) ( = convolution operator)... Moses. Basic Problem: Estimate the time delays known but x t unknown.g.g. Stoica and R.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Then the output of sensor k is yk (t) = hk (t) x(t .
!c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. 1997 . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Moses. Stoica and R. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . k ) ' jHk (!c)j (t)cos !ct + '(t) . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k) ' (t) '(t . !c k ] hk (t) x(t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. k ) ' (t) cos !ct + '(t) . Prentice Hall.Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c .
Stoica and R.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!ct to obtain (t)ei (t) lowpass highpass Hence.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. Moses.!ct = (t)f ei (t) + e. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–6 or . by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i!c k + ek (t) where s(t) is the complex envelope of x(t). Prentice Hall.i!ct ~ = yk(t) cos(!ct) . 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.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
1) c Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–10 . Moses. Prentice Hall.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.
!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. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i!s : : : e.i(m.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Stoica and R. 1997 . Moses.
1997 Slide L9–1 .Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall.
Stoica and R. Prentice Hall.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Moses. 1997 Slide L9–2 . Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Stoica and R. Prentice Hall. k) = h y(t) k=0 h = ho : : : hm.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .i! : : : e. Lecture notes to accompany Introduction to Spectral Analysis by P. m + 1)]T If u m.i(m.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .1] y(t) = u(t) : : : u(t . 1997 Slide L9–3 .
Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.i!c 2 : : : e. 1997 Slide L9–4 .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. Prentice Hall. Moses. 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.
i! m  e {z a( ) aa m! point ( ) qq ( ) 1 C C C C C Cs(t) C C C C C A }  ? @ ? @ @ h  1 @ R @  P h a( )]s(t)  hm.1 q . B . C C B C B C B C B C B A @ . Moses. Stoica and R. Prentice Hall.? B P C B C B B B .i m. B B @ .B . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P..i! C @ h a(!)]u(t) R @ C . Cu(t) C B .@ 0 B 1 C h @@ C B B e.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.i! Be 2 B !! B B B B . ! hm. 1997 Slide L9–5 . s qq h  ? 1 ?  m.  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 2.1 ?  1 ..
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 . Moses. Prentice Hall. 1997 Slide L9–6 . Stoica and R.Spatial Filtering. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Here.
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. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). Moses. Prentice Hall. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–7 . To locate an emitter in the ﬁeld of view.
1997 . ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. n o n o The (dominant) peaks of h DOAs of the sources. 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.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Moses. Prentice Hall. Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest.
() Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. Stoica and R. y t can be considered as impinging on the array from all DOAs. Prentice Hall. 1997 Slide L9–9 . Moses.
pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Resolution Threshold: inf j k .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 . Stoica and R. Moses. 1 = 1. 1997 . ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. Prentice Hall. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. Moses.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.1a( ): Performance: Slightly superior to Beamforming. Prentice Hall. 1997 Slide L9–11 . They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( )=a ( )R. Both Beamforming and Capon are nonparametric approaches. Lecture notes to accompany Introduction to Spectral Analysis by P.1a( ) E jyF (t)j2 = 1=a ( )R.
YW. Lecture notes to accompany Introduction to Spectral Analysis by P. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS.Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular. MINNORM and ESPRIT methods of frequency estimation can be used. for DOA estimation. Moses. 1997 Slide L9–12 . almost without modiﬁcation. Stoica and R. MUSIC. Prentice Hall.
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). f ^k g = arg max trf A(A A).1A y(t) t = 1 : : : N s X Then 1 N k I .1A ]Rg X f kg For N . A(A A). A(A A). A(A A). this is precisely the form of the NLS method of frequency estimation.1A ]Rg ^ Thus. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares Method 1 N ky(t) . 1997 Slide L9–13 =1 . Stoica and R.1A ]y(t) = N t=1 ^ = trf I .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .
Prentice Hall. Stoica and R. 1997 Slide L9–14 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search.
Stoica and R. is . and the SVD of . Prentice Hall.) = n. 1997 Slide L9–15 .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 ~ ~ 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 " # " # (. Moses.n 0 V2 g L n M . = U1 U2 ] 0 n n 0 V1 g n .
Stoica and R. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. using 1 N y(t)~ (t) ^ . (L 1).=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). Prentice Hall. Moses. 1997 Slide L9–16 .
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. that is. 1997 Slide L9–17 . Lecture notes to accompany Introduction to Spectral Analysis by P.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Stoica and R. Prentice Hall.
Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D..i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Moses. where e. Prentice Hall.i!c ( 1) 0 .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. D= 0 e. 1997 Slide L9–18 ( ) = d sin( )=c .
1 0]A = .1]A Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. so m m and . the two subarrays are often the ﬁrst m and last m array elements. Stoica and R. con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA. Moses.1 A1 = Im.1 A2 = 0 Im. 1997 Slide L9–19 .1 .ESPRIT Method.
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