Basic Definitions and The Spectral Estimation Problem

Lecture 1

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

Slide L1–1

Informal Definition of Spectral Estimation

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

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

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

Slide L1–2

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

1997 Slide L2–9 . Stoica and R. Moses. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.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 .

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

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

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

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

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

Moses. N=8 ω 2 k N . 1997 Slide L2–15 .1 N k=0 sampled. Prentice Hall.1 ! N k=0 ^ φ(ω) continuous curve 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 radix-2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Stoica and R.

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

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

Blackman-Tukey Method. con't ^BT (!) = 1 ^p( )W (! . )d 2 . Stoica and R. Prentice Hall. 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. Moses.

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

As M increases. 1997 Slide L3–5 . bias decreases and variance increases. once M is given. Stoica and R. Moses. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. ) Choose M as a tradeoff between variance and bias. Once M is given.Window Design. Ne (and hence fixed. 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). con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. Prentice Hall.

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

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

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

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

Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett.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. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. ^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. Prentice Hall. 1997 . more general for Welch). Moses. ^ () – Implemented by averaging subsample periodograms. Daniell Periodogram – Approximate interpretation: spectral window. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

1997 Slide L4–5 . 2 1 a1 = 0 .n) . . . Stoica and R.1) . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. .1) : : : r(. . .AR Signals: Yule-Walker Equations AR: m = 0. Moses. 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(. r(1) r(0) . 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. r (. . .

.n) 1 r r ^2 . Stoica and R.1 = 0 a . . . Moses. Prentice Hall.1) : : : ^(. .AR Spectral Estimation: YW Method Yule-Walker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. . . 1997 Slide L4–6 .1) . ^(. r ^(1) r(0) ^ ^. r . 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 (t . Find i=1 aiy(t . . n)]T .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. Moses. 1997 Slide L4–7 . Prentice Hall. . . 3 7 5 Y =4 y(n) y(n . 1) y(n + 1) y(n) . . . Stoica and R. .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t .(Y Y ). n) . i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . 1) y(N . y(N .

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

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

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

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

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

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

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

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

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

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

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

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

!1 !2 !3 - An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Examples: communications radar. 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. Stoica and R. Prentice Hall.

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

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

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

. . .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1 | y(t) . 1997 Slide L5–6 . 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 . Prentice Hall. Moses.

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

Lecture notes to accompany Introduction to Spectral Analysis by P. ! Difficult Implementation: The NLS cost function F is multimodal.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. Prentice Hall.5. Moses. 1997 Slide L5–8 . Stoica and R. it is difficult to avoid convergence to local minima.

Unwindowed Periodogram as an Approximate NLS Method

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

n=1
X

B B=N
N t=1

BY=

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

(finite DTFT)

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

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

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

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

Slide L5–10

High-Order Yule-Walker Method Recall:

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

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

n

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

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

Let

B (q) = 1 +

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

L

Then B

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

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

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

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

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

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

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

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

1997 Slide L6–3 .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.n] (m (m . Prentice Hall.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. 2 R = S G] 6 4 1 3 " . Stoica and R. Moses. n)) Thus...

2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . Moses. 2 . Prentice Hall.. 0 n 3 7 5 with C (since rank S . .. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. since S G j j 6= 0 4 . Therefore. = = nonsingular 0 n. Stoica and R.1) = AC S = A(PA S ( ) = rank(A) = n).. 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. 1997 Slide L6–5 . f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Prentice Hall. Moses. . Stoica and R.MUSIC Method a (!1) . 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.

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

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

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

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

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

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

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.ESPRIT Implementation From the eigendecomposition of R. Prentice Hall. find S . then S1 and S2 . Moses. Stoica and R.1S1S2 ^^ ^^ f!kgn=1 = . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1).

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

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

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

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

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

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

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

Prentice Hall. Stoica and R.i! : : : e. y(t . Moses. k) 2 6 4 | .im! ]T hk e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. = h0 h1 : : : hm] .Capon Method Idea: Data-dependent bandpass filter design. 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 . 1997 Slide L7–7 .

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

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

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

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

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

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

Simplifying Assumptions Far-field sources in the same plane as the array of sensors Non-dispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. Prentice Hall. Stoica and R. 1997 Slide L8–3 . The number of sources n is known.) Lecture notes to accompany Introduction to Spectral Analysis by P. the array is calibrated. Moses. AOA). (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.

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

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

1997 Slide L8–6 or .Complex Signal Representation The noise-free output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. Stoica and R. by low-pass filtering and sampling the signal yk (t)=2 = yk(t)e. Moses.i!ct ~ = yk(t) cos(!ct) .i 2!ct+ (t)] g n o | {z } | {z } Lowpass filter 2z(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!ct to obtain (t)ei (t) lowpass highpass Hence. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e.!ct = (t)f ei (t) + e.i!c k + ek (t) where s(t) is the complex envelope of x(t).i! + ek (t) | s(t) {z } | Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. Prentice Hall.

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

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

1

3 7 5

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

3 7 5

Then

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

()

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

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

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

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

-

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

Slide L8–8

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

fsk(t)gn=1 k

k

Linear sensors

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

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

Let

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

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

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

i!s : : : e. Stoica and R. 1997 .1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. !s = spatial frequency The function !s 7! a( ) is one-to-one for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. Moses. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i(m. Prentice Hall.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.

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

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

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

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. Prentice Hall. Moses. Stoica and R.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Lecture notes to accompany Introduction to Spectral Analysis by P. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.

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

Here. Moses. 1997 Slide L9–6 . h a 0 . Stoica and R. 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. Prentice Hall. con't Example: The response magnitude h a of a spatial filter (or beamformer) for a 10-element ULA.Spatial Filtering.

Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. by sweeping the filter through the DOA range of interest (“goniometer”). hence filtering out interferences located outside the filter's beam (but possibly having the same temporal characteristics as the signal). 1997 Slide L9–7 . Prentice Hall. Moses. Stoica and R. To locate an emitter in the field of view.

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

Stoica and R. Prentice Hall.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for filter bank methods. 1997 Slide L9–9 . Moses. () 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. y t can be considered as impinging on the array from all DOAs.

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

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

YW. Moses. Prentice Hall. almost without modification.Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular. MUSIC. 1997 Slide L9–12 . Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Stoica and R. MIN-NORM and ESPRIT methods of frequency estimation can be used. Lecture notes to accompany Introduction to Spectral Analysis by P. for DOA estimation.

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

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

Stoica and R.Yule-Walker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ . = U1 U2 ] 0 n n 0 V1 g n . is . 1997 Slide L9–15 .) = n.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (.n 0 V2 g L n M . and the SVD of . Prentice Hall.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank |{z} |{z} Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.

1997 Slide L9–16 . is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. Prentice Hall. using 1 N y(t)~ (t) ^ .YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ).=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. (L 1). Stoica and R.

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

Lecture notes to accompany Introduction to Spectral Analysis by P. D= 0 e. 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. Moses. 1997 Slide L9–18 ( ) = d sin( )=c . where e.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Stoica and R..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.i!c ( 1) 0 .

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

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