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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
Stoica and R. Prentice Hall.1 y(t)e. 1997 Slide L1–4 . Moses.1 = t= If: discretetime deterministic data sequence X 1 t=.Deterministic Signals fy(t)g1 .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.
i!k (k) = 1 t=. Stoica and R. S (!)d! t=. 1997 .Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=. Prentice Hall.1 y(t)y (t . k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P.1 X (k)e. Moses.
1997 Slide L1–6 . Moses.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
Prentice Hall. k)g r(k) = r (.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Stoica and R. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . 1997 Slide L1–7 .First Deﬁnition of PSD (! ) = where r X 1 k=.k) r(0) jr(k)j Z Note that r(k) = 21 .1 r(k)e. Moses. (!)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. Prentice Hall. Stoica and R. Moses. 1997 Slide L1–8 .Second Deﬁnition of PSD 1 N y(t)e.
we can restrict attention to !2 . Moses.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Then: (! ) = (. Thus. Stoica and R. Prentice Hall. 1997 Slide L1–9 . P2: ] () f 2 .Properties of the PSD P1: (!) = (! + 2 ) for all !.1=2 1=2] (!) 0 (t) is real.! ) Otherwise: (! ) 6= (.
Transfer of PSD Through Linear Systems System Function: where q .1 H (q) = X 1 k=0 hk q. Prentice Hall. Moses.1y(t) = y(t . 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P.k = unit delay operator: q. Stoica and R. 1997 Slide L1–10 . k) hk e.
1997 Slide L1–11 . Moses. Prentice Hall. Stoica and R.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L2–1 . Moses. Stoica and R. Prentice Hall.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 N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).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. Moses. 1997 Slide L2–2 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Stoica and R.1 N .i!k (k)” by “^(k)”: r r ^(k)e.1 X r(k)e.i!k ^c(!) = k=.1) Lecture notes to accompany Introduction to Spectral Analysis by P.(N . Prentice Hall.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. Moses. 1997 Slide L2–3 .
1997 Slide L2–4 .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. k t=k+1 X Standard biased estimate: 1 N y(t)y (t . Stoica and R. k) k 0 ^ r(k) = N . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. Prentice Hall. Moses.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t .
i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.i!t N t=1 X 2 = N .(N .Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Stoica and R. Prentice Hall. Moses. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.1 X = ^c(!) k=.1) r ^(k)e. N ^p(!) = 1 y(t)e. 1997 .
jk =0 there are “so many” that when summed in ! . ( )g ^ ( ) . even for large N .1 are small. Moses. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. the PSD error is large. p! f^( ) . Prentice Hall.Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance. ^p(!) and ^c(!) have poor performance. Thus. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–6 . Stoica and R. Intuitive explanation: r(k) .
Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. or triangular.1) N . jNj jkj N .1 X wB (k) = 8 < : = Thus.i!k r k=.i!k k=. n o 0 k 1 .(N . ) d Z Ideally: WB (!) = Dirac impulse (!). ( )WB (! .1) 1 = wB (k)r(k)e.1 n o n o X ! X N .i!k = 1. 1997 .1 jkj r(k)e. Moses.(N . N k=.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. 1 jkj N Bartlett. Prentice Hall. Stoica and R. window E ^p(!) = 21 .
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 .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Stoica and R. (!) may differ quite a bit from (!). Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. WB 1=N . Moses.
Moses.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . 1997 Slide L2–9 . Stoica and R. Prentice Hall. ^ 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.
Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . WB ! !. Moses. Stoica and R. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L2–10 . severe bias As N . so ! is asymptotically unbiased.
Stoica and R. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–11 . dev = φ(ω) too  Resolvability properties depend on both bias and variance. Prentice Hall.Periodogram Variance As N !1 E ^p(!1) . (!1) ^p(!2) .
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 . Moses. 1997 Slide L2–12 . Prentice Hall.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1 Direct computation of O N 2 ﬂops ( ) .Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.i!t 2 k and W = e.i 2 .
1997 . Prentice Hall. Moses.1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P.i2 =N . ~ 4 = 0 2 4 : : : N . 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : 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 = . 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. Slide L2–13 t=1 ~ ~ f y(t) . Stoica and R.
Stoica and R.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 2k + 2c ck = 2 k.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Prentice Hall. Moses. 1997 Slide L2–14 . Lecture notes to accompany Introduction to Spectral Analysis by P.
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. Prentice Hall.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–15 .1 N k=0 sampled. N=8 ω 2 k N .
Moses. Stoica and R.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–1 . 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. Moses.1) w(k)^(k)e. with small weight applied to covariances r k with “large” k .BlackmanTukey Method Basic Idea: Weighted correlogram. Stoica and R. 1997 Slide L3–2 . ^( ) jj ^BT (!) = M .1 X k=.(M . Prentice Hall.
Moses. Prentice Hall.BlackmanTukey Method. Stoica and R. 1997 . 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 . con't ^BT (!) = 1 ^p( )W (! .
W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. )d 2 .(M (0) w Z w (k ) = equiv time width 1 2 . 0 Z  {z } If W (!) 0 (.1) Ne = k=. 1997 Slide L3–4 . Stoica and R.1 X . Prentice Hall. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . Moses.
1997 Slide L3–5 . Once M is given. once M is given. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Ne (and hence ﬁxed. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. ) Choose M as a tradeoff between variance and bias. bias decreases and variance increases. Moses. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level).Window Design. As M increases. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold.
Prentice Hall.Window Examples Triangular Window. 1997 Slide L3–6 . M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular 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
Daniell Method By a previous result. Prentice Hall. for N 1. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . 1997 Slide L3–10 . k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.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 . Stoica and R. Moses.J X Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. ^D(!) ' 1 ^p(!)d! 2 . Prentice Hall. 1997 Slide L3–11 . Moses. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Lecture notes to accompany Introduction to Spectral Analysis by P. Then. for N 1.Daniell Method. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window.
Moses. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Prentice Hall. ^ () – Implemented by averaging subsample periodograms.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. Lecture notes to accompany Introduction to Spectral Analysis by P. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. 1997 . more general for Welch). Daniell Periodogram – Approximate interpretation: spectral window. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Stoica and R. BT periodogram – Local smoothing/averaging of spectral window.
Prentice Hall.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. 1997 Slide L4–1 .
Note.i!k (!) is a rational function in e.i!k (!) = P jkj n k e. Moses. P By Weierstrass theorem.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. 1997 Slide L4–2 ( ) .i! .θ) Estimate parameters in φ(ω.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. provided m and n are chosen sufﬁciently large. ! can approximate arbitrarily well any continuous PSD.θ) ^ θ Estimate PSD ^ ^ =φ(ω. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
1997 . Moses. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.1 + + anz. e. Prentice Hall.1 + + bmz.m and. MA.AR.. 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. Stoica and R.n B (z) = 1 + b1z.g.
k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . i) = X m j =0 bj e(t . 1997 Slide L4–4 . j )y (t . j ) (b0 = 1) Multiply by y (t . k) and take E f g to give: X r (k ) + X 2 m bj hj . Prentice Hall.k = j =0 = 0 for k > m B (q) = 1 h q. i) = m j =0 bj E fe(t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.
Moses.1) : : : r(. . 2 1 a1 = 0 . . 1997 Slide L4–5 . Lecture notes to accompany Introduction to Spectral Analysis by P.n) .AR Signals: YuleWalker Equations AR: m = 0. Stoica and R. r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations.1) . Prentice Hall. r(1) r(0) . . r (. . . . 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(. .
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) : : : ^(. .1 = 0 a . Stoica and R. r .n) 1 r r ^2 .1) . . ^(. . 1997 Slide L4–6 . Moses. r ^(1) r(0) ^ ^. 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. . . .
1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : y (t . . . n) . 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 . Stoica and R. 3 7 5 Y =4 y(n) y(n . 1) y(N . . Prentice Hall. ^ = . 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 ) . . 1997 Slide L4–7 . 1) y(n + 1) y(n) . Find i=1 aiy(t . n)]T .(Y Y ). . Moses.
. 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. . orderrecursive solution to YW equations 2 6 6 6 4  0 .0 . .Levinson–Durbin Algorithm Fast.. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 .1 1 . .n .1 .. .. Moses. {z . .. 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).. Prentice Hall. 1997 Slide L4–8 . n .
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. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. Prentice Hall.LevinsonDurbin Alg. con't Relevant Properties of R: Rx = y $ Rx = y. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . 1997 Slide L4–9 . Moses. . Stoica and R.
2 kn = . Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . Prentice Hall. 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.LevinsonDurbin Alg. 1997 .
Prentice Hall.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . 1) + + bme(t . Stoica and R. Moses.i!k (!) = jB(!)j k=. r(k) = 0 for jkj > m and 2 2 = m r(k)e.m X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–11 . m) Thus.
Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Stoica and R. Moses.i!k k=.m ^BT (!) with a rectangular lag window of 2m + 1. Prentice Hall.MA Spectrum Estimation Two main ways to Estimate (! ): 1. 1997 Slide L4–12 . Lecture notes to accompany Introduction to Spectral Analysis by P. with AR model order n .
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 . Moses. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.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=. 1997 Slide L4–13 .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). Prentice Hall.m k e.
m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Moses. 1997 Slide L4–14 . 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 .i!k k=. Prentice Hall.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. Estimate fai bj A(!) nonlinear estimation problem.
1) + e and its variance + ^K y(t . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . Stoica and R. 1997 Slide L4–15 . 1) + + K y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate.TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 1) + 2y(t . Prentice Hall. K ) ^2 = N 1 j^(t)j2 e N . for some large K e(t) ' y(t) + 1y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. Moses. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P.
y(t . 1) : : : ^(t . Moses. n) e ^(t . con't fe(t)g by ^(t) in the ARMA equation. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . ^(t) ' . 1997 Slide L4–16 . Stoica and R. Prentice Hall. e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques.TwoStage LeastSquares Method. 1) : : : . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P.y(t .
least f^ g Note: For narrowband ARMA signals. .. 1997 Slide L4–17 . . . . . # 2 = r(m + M . = f^ g Y W system of equations. . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n.. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . . Moses.Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . : : : r(m . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. n + M ) . 5 . Stoica and R. 1) : : : r(m . Prentice Hall. fast Levinsontype algorithms exist for obtaining ai . .6 4 Replace fr(k)g by f^(k)g and solve for faig. = m + 1 ::: m + M a1 an . If M > n overdetermined squares solution for ai . n + 1) r(m . r f^ g . n + 2) .
Moses. Stoica and R. 1997 Slide L4–18 . Prentice Hall.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.
Prentice Hall. Moses. Stoica and R. 1997 Slide L5–1 .Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. 1997 . Prentice Hall.Line Spectra Many applications have signals with (near) sinusoidal components. Examples: communications radar. Moses. 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 . !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. superimposed in white noise of k 2. uniformly distributed on . ] (prevents model ambiguities) f'k g = independent rv's. 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 . Prentice Hall. 1997 .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . Moses.
for p 6= j =2 . Moses. for p = j e i'p e.i'j o e Z n 1 i' d' 2 = 0.Covariance Function and PSD Note that: E E n i'p e. k) = 2 ei!pk p j p n o Hence. 1997 . k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . r(k) = E fy(t)y (t . e E xp(t)xj (t .i'j o = E nei'p o E ne.i'j o = 1. Stoica and R. Prentice Hall. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. 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 . 1997 Slide L5–5 . Stoica and R. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.
Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . . Moses. Prentice Hall. . Stoica and R. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . 1997 Slide L5–6 . .
Stoica and R.1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–7 . Moses.1B Y !=^ ! and ! = arg max Y B (B B ).1B Y This gives: ^ = (B B). B k2 = .1B Y ] +Y Y . Y B(B B). (B B). con't Then: F = (Y . (B B).1B Y ] B B] . B ) = kY .Nonlinear Least Squares (NLS) Method. B ) (Y . Prentice Hall.
! Difﬁcult Implementation: The NLS cost function F is multimodal. Prentice Hall.5. 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. 1997 Slide L5–8 . Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
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
HighOrder YuleWalker Method. along with L . f!kgn=1. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. 1997 Slide L5–12 . Prentice Hall. Stoica and R. Moses. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P.
. 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. Prentice Hall. . Stoica and R.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . 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 = . Moses. r(L + M . r(L + 2) . 1997 Slide L5–13 . Lecture notes to accompany Introduction to Spectral Analysis by P. . . .
Lecture notes to accompany Introduction to Spectral Analysis by P. 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). 1997 Slide L5–14 . Prentice Hall. if the MinimumNorm solution b is used.V .1U Important property: The additional (L .HighOrder and Overdetermined YW Equations. Stoica and R. y = . n) spurious zeros of B (q ) are located strictly inside the unit circle. The MinimumNorm solution is b = . Moses. (U V )b = . diagonal and nonsingular Thus.
1997 Slide L5–15 . Stoica and R. this approach may give spurious frequency estimates when L > n. r . f^ g When the SNR is low. Lecture notes to accompany Introduction to Spectral Analysis by P. . V from the Let U .HOYW Equations. Prentice Hall.V ^ . V be deﬁned similarly to U . this is the price paid for increased accuracy when L > n. SVD of . Compute ^ = . Moses. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L6–1 . Moses. Prentice Hall.
Stoica and R.. 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 . m + 1) . 1997 Slide L6–2 .The Covariance Matrix Equation Let: a(!) = 1 e. .i(m.. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . Prentice Hall.i! : : : e. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .
Moses.Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm.. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.n] (m (m . n)) Thus. Prentice Hall.. Stoica and R. 1997 Slide L6–3 . 2 R = S G] 6 4 1 3 " .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm.
= = nonsingular 0 n. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . Stoica and R. Moses.. since S G j j 6= 0 4 . =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. Therefore.1) = AC S = A(PA S ( ) = rank(A) = n). Prentice Hall.. 0 n 3 7 5 with C (since rank S .. . 2 . 1997 .Eigendecomposition of R and Its Properties. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.
A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. . Prentice Hall. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Stoica and R. Moses. 1997 Slide L6–5 .MUSIC Method a (!1) .
1)GG a(z) = 0 that are closest to the unit circle. Lecture notes to accompany Introduction to Spectral Analysis by P. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Stoica and R.(m.1 : : : z. a(z) = 1 z. Prentice Hall.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. 1997 Slide L6–6 . 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 . Moses.
) f!kgn=1 can be found from the roots of ^ k aT (z. Moses. 1997 Slide L6–7 .1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Prentice Hall. If: =n+1 m=n+1 Then: ^ g G = ^1.
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). with ﬁrst element equal ^ ^ to one. Uses m n (as in MUSIC). and reduce risk of false frequency estimates. that has minimum Euclidean norm. Moses. Prentice Hall. 1997 Slide L6–8 . Stoica and R.MinNorm Method Goals: Reduce computational burden.
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.MinNorm Method. 1997 Slide L6–9 . Stoica and R. Moses. Prentice Hall.1) 1 ^ g " # that are closest to the unit circle.
1 g + S S . Stoica and R. (S S ).1 exists iff = k k2 6= 1 (This holds.1 = =(1 .S(S S ).S =(1 . Moses.1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . Prentice Hall. at least. for N 1. 1997 Slide L6–10 . g " # MinNorm solution: As: ^ = . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. k k2) ) ^ = .Let S ^= S g1 .) ^^ I=S S= Multiplying the above equation by gives: (1 . k k2) = (S S ) ) (S S ).
Then S2 = A2C = A1DC = S1 C . Moses.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. let = A1D. determined as is uniquely = (S1S1).i!1 0 ..1DC {z } So has the same eigenvalues as D .1 0]A A2 = 0 Im. where e..i!n S1 = Im. D= 0 e.1 0]S S2 = 0 Im.1]A Then A2 Also. 1997 Slide L6–11 .ESPRIT Method Let A1 = Im. Prentice Hall.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.
^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). then S1 and S2 . Prentice Hall.ESPRIT Implementation From the eigendecomposition of R.1S1S2 ^^ ^^ f!kgn=1 = . Moses. ﬁnd S . Stoica and R. 1997 Slide L6–12 . arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. 1997 . 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.
Prentice Hall. Moses.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L7–1 .
(!) by a 2. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods.Basic Ideas Two main PSD estimation approaches: 1. Nonparametric Approach: Implicitly smooth ! !=. Moses. Stoica and R. Parametric Approach: Parameterize ﬁnitedimensional model. but 2 requires to ensure that the number of estimated values = = ) is < N . !+ ] N >1 1 2 is more general than 1. 1997 Slide L7–2 . Lecture notes to accompany Introduction to Spectral Analysis by P. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Prentice Hall.
Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. are conﬂicting. as well as (b) and (c). Stoica and R. jH ( )j2 ( )d = ' 21 !+ !. 2 ! + 2 ] Note that assumptions (a) and (b). Prentice Hall.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . 1997 . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Moses. !c @Q Q ! . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) .
i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . 1997 . Stoica and R.Filter Bank Interpretation of the Periodogram 1 N y(t)e.!) . 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.i!k = 1 eiN (~. 1 H (!) = hk e ! N ei(~. 1 k=0 X 1 ei!k k = 0 : : : N . k) 2 ! .t) t=1 X X = N where ( X 1 k=0 hk y(N . Prentice Hall.!) .
and: narrow ﬁlter passband. for N = 50. 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. power calculation from only 1 sample of ﬁlter output. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. con't jH (!)j as a function of (~ . !).Filter Bank Interpretation of the Periodogram. Moses. Prentice Hall. 1997 Slide L7–5 .
Lecture notes to accompany Introduction to Spectral Analysis by P. This approach leads to Bartlett and Welch methods.Possible Improvements to the Filter Bank Approach 1. This “multiwindow approach” is similar to the Daniell method. Use several bandpass ﬁlters on the whole sample. Both approaches compromise bias for variance. Each ﬁlter covers a small band centered on ! . 1997 Slide L7–6 . Split the available sample. Prentice Hall. more data points for the power calculation stage. ~ provides several samples for power calculation. and bandpass ﬁlter each subsample. 2. Moses. 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.
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. y(t .im! ]T hk e. Moses. 1997 Slide L7–7 . yF (t) = X m k=0  hk y(t . Prentice Hall. Stoica and R. = h0 h1 : : : hm] . k) 2 6 4  .i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.Capon Method Idea: Datadependent bandpass ﬁlter design.i! : : : e.
Capon Method.1a(!) which should be the power of y (t) in a passband centered on ! .1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. Stoica and R. Prentice Hall. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R. Moses. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–8 .1a=a R.
but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. . Prentice Hall. Stoica and R. bias decreases and variance increases. Lecture notes to accompany Introduction to Spectral Analysis by P.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. Moses. Capon uses one bandpass ﬁlter only. 1997 Slide L7–9 .
jkj ^BT (!) = r(k)e. Prentice Hall.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .i!k ^ k=. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.i!(t.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . 1997 Slide L7–10 .1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. s)e.m m + 1 1 m m ^(t . Moses.
Due to the loworder AR terms in the average. Prentice Hall.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 worse resolution and bias properties than the AR method. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. 1997 Slide L7–11 . Stoica and R. Moses. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. C ! generally has less statistical variability than the AR PSD estimator.
1997 Slide L8–1 . Moses.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
@. @. antennas. @. @.@ . v Source n @. electromagnetic. mechanical Receiving sensors: Hydrophones.R .@ . seismometers Applications: Radar. Prentice Hall. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. communications.. sonar. .The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . . @. . 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.. Moses. seismology.. Emitted energy: Acoustic. Sensor 1 @. 1997 Slide L8–2 . Stoica and R. .
Moses. Stoica and R.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. the array is calibrated. AOA). Prentice Hall. The number of sources n is known. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. 1997 Slide L8–3 .
Prentice Hall.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. Moses.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). k) + ek (t) ( = convolution operator). background noise. 1997 Slide L8–4 . Basic Problem: Estimate the time delays known but x t unknown.. 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. Then the output of sensor k is yk (t) = hk (t) x(t . () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. Lecture notes to accompany Introduction to Spectral Analysis by P.g.g. thermal noise in sensor electronics. etc.. Stoica and R.
the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k ) ' (t) cos !ct + '(t) . Moses. 1997 . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k ] hk (t) x(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . k) ' (t) '(t . Stoica and R. Prentice Hall.
i!c k + ek (t) where s(t) is the complex envelope of x(t).i!ct to obtain (t)ei (t) lowpass highpass Hence. Moses. Stoica and R. 1997 Slide L8–6 or .i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.!ct = (t)f ei (t) + e.i!ct ~ = yk(t) cos(!ct) . Prentice Hall. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. 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.
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
1997 Slide L8–10 . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . Moses. Prentice Hall.
Moses. Stoica and R. Prentice Hall. !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem.i(m. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.i!s : : : e. 1997 .1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.
Moses.Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–1 . Prentice Hall. Stoica and R.
Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–2 .Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Stoica and R.
1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .1] y(t) = u(t) : : : u(t . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . 1997 Slide L9–3 .i! : : : e. k) = h y(t) k=0 h = ho : : : hm. Prentice Hall. m + 1)]T If u m.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e.i(m.
Stoica and R.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs. 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. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.i!c 2 : : : e.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.
Moses. C C B C B C B C B C B A @ . 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.i m. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.. Prentice Hall.. 1997 Slide L9–5 .1 q . B .i! Be 2 B !! B B B B .B . B B @ .i! m  e {z a( ) aa m! point ( ) qq ( ) 1 C C C C C Cs(t) C C C C C A }  ? @ ? @ @ h  1 @ R @  P h a( )]s(t)  hm.@ 0 B 1 C h @@ C B B e. ! hm.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.i! C @ h a(!)]u(t) R @ C .1 ?  1 .? B P C B C B B B . Cu(t) C B . Stoica and R.
Here. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. 1997 Slide L9–6 . Moses. h a 0 . where 0 j ( )j = ( ) = 25 0 30 −30 Th et a (d eg ) 60 −60 90 0 2 4 6 Magnitude 8 10 −90 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.Spatial Filtering.
1997 Slide L9–7 . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Prentice Hall. Moses. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). To locate an emitter in the ﬁeld of view.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only.
Stoica and R.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. n o n o The (dominant) peaks of h DOAs of the sources. Prentice Hall. 1997 . 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. 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.
y t can be considered as impinging on the array from all DOAs. Stoica and R. 1997 Slide L9–9 .Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. Prentice Hall. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Moses. Stoica and R. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . 1 = 1. Prentice Hall. 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 . 1997 . ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P.
1a( ): Performance: Slightly superior to Beamforming. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( ) E jyF (t)j2 = 1=a ( )R.1a( )=a ( )R. Stoica and R. Prentice Hall.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–11 . Both Beamforming and Capon are nonparametric approaches.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.
Prentice Hall. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. almost without modiﬁcation. 1997 Slide L9–12 . MINNORM and ESPRIT methods of frequency estimation can be used. for DOA estimation. YW. MUSIC.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.
1A ]Rg X f kg For N . this is precisely the form of the NLS method of frequency estimation. 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). A(A A).Nonlinear Least Squares Method 1 N ky(t) . Lecture notes to accompany Introduction to Spectral Analysis by P.1A ]Rg ^ Thus.1A y(t) t = 1 : : : N s X Then 1 N k I . A(A A). 1997 Slide L9–13 =1 .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . f ^k g = arg max trf A(A A).1A ]y(t) = N t=1 ^ = trf I . A(A A). Prentice Hall. Stoica and R.
Stoica and R. Moses.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–14 . Prentice Hall.
and the SVD of . Stoica and R. 1997 Slide L9–15 .= 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 ~ . is . Prentice Hall. Moses. = U1 U2 ] 0 n n 0 V1 g n .n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P.) = n.n 0 V2 g L n M .
1997 Slide L9–16 . Stoica and R. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. (L 1).YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). using 1 N y(t)~ (t) ^ .
1997 Slide L9–17 . Moses.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. that is. Lecture notes to accompany Introduction to Spectral Analysis by P. 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. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Stoica and R. Prentice Hall.
i!c ( 1) 0 . Lecture notes to accompany Introduction to Spectral Analysis by P.. 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. 1997 Slide L9–18 ( ) = d sin( )=c . Stoica and R. where e. Prentice Hall.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. D= 0 e.. Moses.
so m m and . Moses. Prentice Hall.1 A1 = Im.ESPRIT Method.1 A2 = 0 Im. the two subarrays are often the ﬁrst m and last m array elements. con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.1 0]A = . Stoica and R.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–19 .1 .
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