This action might not be possible to undo. Are you sure you want to continue?
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 jy(t)j2 < 1 X Then: Y (! ) = 1 t=. Moses.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.1 y(t)e. Stoica and R.1 = t= If: discretetime deterministic data sequence X 1 t=. 1997 Slide L1–4 . Prentice Hall.Deterministic Signals fy(t)g1 .
Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .1 y(t)y (t . Prentice Hall.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.i!k (k) = 1 t=. Moses.1 X (k)e. S (!)d! t=. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 .
Stoica and R.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 . Moses. Prentice Hall.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.
First Deﬁnition of PSD (! ) = where r X 1 k=. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . Moses. Prentice Hall. 1997 Slide L1–7 . Stoica and R.1 r(k)e.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .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. k)g r(k) = r (.
Second Deﬁnition of PSD 1 N y(t)e. 1997 Slide L1–8 . Prentice Hall. Moses.i!t 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. Stoica and R. t=1 y(t)e.
Stoica and R. we can restrict attention to !2 . P2: ] () f 2 .Properties of the PSD P1: (!) = (! + 2 ) for all !. Prentice Hall. Moses.! ) Otherwise: (! ) 6= (. Thus. Then: (! ) = (. 1997 Slide L1–9 .1=2 1=2] (!) 0 (t) is real.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P.
1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .k = unit delay operator: q.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P.1 H (q) = X 1 k=0 hk q.1y(t) = y(t . k) hk e. Stoica and R.Transfer of PSD Through Linear Systems System Function: where q . 1997 Slide L1–10 . Moses. Prentice Hall.
Moses. Prentice Hall.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . 1997 Slide L1–11 . Stoica and R. ]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.
Moses.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L2–1 .
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–2 . Stoica and R.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.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. Prentice Hall.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).
i!k (k)” by “^(k)”: r r ^(k)e.1 X r(k)e.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.1 N .i!k ^c(!) = k=.1) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.(N . 1997 Slide L2–3 . Stoica and R.
k) k 0 ^ r(k) = N . 1997 Slide L2–4 . Stoica and R. Moses. k t=k+1 X Standard biased estimate: 1 N y(t)y (t .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (.
Moses. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. Stoica and R.(N .1) r ^(k)e.i!t N t=1 X 2 = N . 1997 . N ^p(!) = 1 y(t)e.1 X = ^c(!) k=.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Prentice Hall.
jk =0 there are “so many” that when summed in ! . ^p(!) and ^c(!) have poor performance. p! f^( ) .1 are small. Thus. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. Prentice Hall. ( )] 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) . even for large N . Moses. the PSD error is large. Stoica and R. ( )g ^ ( ) .
1 n o n o X ! X N . jNj jkj N . n o 0 k 1 . window E ^p(!) = 21 . 1 jkj N Bartlett.i!k r k=.i!k k=. N k=. 1997 . or triangular.1) N . ( )WB (! .1 X wB (k) = 8 < : = Thus.(N .i!k = 1.(N . Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.1) 1 = wB (k)r(k)e.1 jkj r(k)e. Moses. Stoica and R. ) d Z Ideally: WB (!) = Dirac impulse (!). Prentice Hall.
Moses. 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 . Stoica and R. WB 1=N . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P.Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Prentice Hall. (!) may differ quite a bit from (!).
^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–9 . Moses.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Prentice Hall. 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 . Stoica and R.
!1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. WB ! !. so ! is asymptotically unbiased. 1997 Slide L2–10 .Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Prentice Hall. severe bias As N . 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. dev = φ(ω) too  Resolvability properties depend on both bias and variance. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–11 .Periodogram Variance As N !1 E ^p(!1) . (!1) ^p(!2) . Prentice Hall. Stoica and R.
i!t 2 k and W = e. 1 Direct computation of O N 2 ﬂops ( ) . Prentice Hall. 1997 Slide L2–12 .i 2 .Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Stoica and R.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 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.
i2 =N . ~ 4 = 0 2 4 : : : N . Stoica and R. Moses. 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation.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 = . Slide L2–13 t=1 ~ ~ f y(t) .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . Prentice Hall. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N .
Stoica and R. Moses.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. Lecture notes to accompany Introduction to Spectral Analysis by P. 2k + 2c ck = 2 k.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. 1997 Slide L2–14 . Prentice Hall.
Stoica and R. 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 radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Moses. 1997 Slide L2–15 . N=8 ω 2 k N .1 N k=0 sampled.
1997 Slide L3–1 . Prentice Hall.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.
1997 Slide L3–2 .1 X k=. ^( ) jj ^BT (!) = M .i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.(M . with small weight applied to covariances r k with “large” k .BlackmanTukey Method Basic Idea: Weighted correlogram. Moses.1) w(k)^(k)e.
con't ^BT (!) = 1 ^p( )W (! . Moses. )d 2 . 1997 . Prentice Hall.BlackmanTukey Method. 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. Stoica and R.
w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . 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 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . 0 Z  {z } If W (!) 0 (. Stoica and R. 1997 Slide L3–4 . Prentice Hall.1) Ne = k=.1 X . )d 2 . Moses.
e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level).Window Design. Stoica and R. Once M is given. Ne (and hence ﬁxed. bias decreases and variance increases. once M is given. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. 1997 Slide L3–5 . Prentice Hall. ) Choose M as a tradeoff between variance and bias. Moses. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. As M increases. Lecture notes to accompany Introduction to Spectral Analysis by P.
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. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Moses. 1997 Slide L3–6 . Prentice Hall. Stoica and R.Window Examples Triangular Window.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. for N 1. Prentice Hall.Daniell Method By a previous result. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . 1997 Slide L3–10 . Moses.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J . Stoica and R.J X Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L3–11 . Prentice Hall. ^D(!) ' 1 ^p(!)d! 2 . Stoica and R. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Then. Lecture notes to accompany Introduction to Spectral Analysis by P. for N 1. Moses. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N .Daniell Method.
Daniell Periodogram – Approximate interpretation: spectral window.Summary of Periodogram Methods Unwindowed periodogram – reasonable bias – unacceptable variance Modiﬁed periodograms – Attempt to reduce the variance at the expense of (slightly) increasing the bias. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. more general for Welch). ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. 1997 . BT periodogram – Local smoothing/averaging of spectral window. Prentice Hall. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. ^ () – Implemented by averaging subsample periodograms.
Moses. Prentice Hall.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–1 . Stoica and R.
1997 Slide L4–2 ( ) . ! can approximate arbitrarily well any continuous PSD. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. provided m and n are chosen sufﬁciently large.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.i!k (!) is a rational function in e. Stoica and R. P By Weierstrass theorem.i!k (!) = P jkj n k e.i! . Prentice Hall.θ) Estimate parameters in φ(ω.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. Note. Moses.θ) ^ θ Estimate PSD ^ ^ =φ(ω.
. e. and ARMA Models By Spectral Factorization theorem. Moses.1 + + anz. MA. 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.m and.n B (z) = 1 + b1z. 1997 .1 + + bmz.AR.g. Stoica and R. Prentice Hall. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.
j ) (b0 = 1) Multiply by y (t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Prentice Hall.k = j =0 = 0 for k > m B (q) = 1 h q. k)g Lecture notes to accompany Introduction to Spectral Analysis by P. k) and take E f g to give: X r (k ) + X 2 m bj hj . j )y (t . 1997 Slide L4–4 . Moses. i) = m j =0 bj E fe(t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . Stoica and R. i) = X m j =0 bj e(t .
n) .1) . Prentice Hall.1) : : : r(. Stoica and R. Moses. 1997 Slide L4–5 . . r(1) r(0) . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. . 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. . .AR Signals: YuleWalker Equations AR: m = 0. . Lecture notes to accompany Introduction to Spectral Analysis by P. 2 1 a1 = 0 . . . r (.
1997 Slide L4–6 . Moses. . Prentice Hall. .n) 1 r r ^2 .AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. . r .1) . r ^(1) r(0) ^ ^. .1) : : : ^(. . Stoica and R.1 = 0 a . ^(.
. Moses. 1) y(N . ^ = . . Prentice Hall. 1) : : : y (t . n)]T . 3 7 5 Y =4 y(n) y(n .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . . . n) . . 1997 Slide L4–7 . 1) y(n + 1) y(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 . 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 ) .(Y Y ). Stoica and R. 2) Lecture notes to accompany Introduction to Spectral Analysis by P. Find i=1 aiy(t . .
Prentice Hall.1 1 .. 1997 Slide L4–8 .. . {z .0 .n .. . 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.Levinson–Durbin Algorithm Fast. . n . orderrecursive solution to YW equations 2 6 6 6 4  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). .. . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . Moses.. Stoica and R. .1 .
Stoica and R. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 1997 Slide L4–9 . . Prentice Hall. con't Relevant Properties of R: Rx = y $ Rx = y. n 3 7 5 1 Rn+2 4 1 n = 0 3 5 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 32 54 1 n n = 0 0 n 3 5 2 4 2 3 5 where r n = n+1 + ~n n Lecture notes to accompany Introduction to Spectral Analysis by P. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Moses.LevinsonDurbin Alg.
2 kn = . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 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. 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. Stoica and R.LevinsonDurbin Alg. 1997 . Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
i!k (!) = jB(!)j k=. m) Thus. Moses. r(k) = 0 for jkj > m and 2 2 = m r(k)e. 1) + + bme(t .MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Prentice Hall.m X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–11 . Stoica and R.
^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. Prentice Hall. with AR model order n . 1997 Slide L4–12 . Stoica and R. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.i!k k=. Moses.MA Spectrum Estimation Two main ways to Estimate (! ): 1.m ^BT (!) with a rectangular lag window of 2m + 1. Lecture notes to accompany Introduction to Spectral Analysis by P.
m k e. Prentice Hall. Moses. A(q)y(t) = B (q)e(t) B (!) 2 = m=. 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 . 1997 Slide L4–13 . Stoica and R. j ) Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).
^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Stoica and R.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. Estimate fai bj A(!) nonlinear estimation problem. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Prentice Hall. 1997 Slide L4–14 . Estimate fai r(k)g in (!) = P m .i!k k=.
Moses. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 1) + e and its variance + ^K y(t . 1997 Slide L4–15 .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . K ) ^2 = N 1 j^(t)j2 e N . Prentice Hall. 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1) + 2y(t . 1) + + K y(t . Stoica and R. for some large K e(t) ' y(t) + 1y(t . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . K ) 1a) Estimate the coefﬁcients modelling techniques.
Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . ^(t) ' .y(t . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques.TwoStage LeastSquares Method. Moses. 1) : : : ^(t . 1) : : : . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. con't fe(t)g by ^(t) in the ARMA equation. 1997 Slide L4–16 . Stoica and R. n) e ^(t . Prentice Hall. y(t .
1) : : : r(m . . Moses. n + 2) .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . . Prentice Hall. r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. = f^ g Y W system of equations. 5 . 1997 Slide L4–17 . . . r f^ g .6 4 Replace fr(k)g by f^(k)g and solve for faig. Stoica and R. = m + 1 ::: m + M a1 an . .. . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. n + 1) r(m . . If M > n overdetermined squares solution for ai . # 2 = r(m + M . least f^ g Note: For narrowband ARMA signals. n + M ) . fast Levinsontype algorithms exist for obtaining ai .. : : : r(m . . i) = 0 k > m 3 7 5 " r(m) r(m + 1) .
1997 Slide L4–18 .Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. Prentice Hall.
Stoica and R. 1997 Slide L5–1 . Prentice Hall. Moses.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Examples: communications radar. Stoica and R. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 . Prentice Hall. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .Line Spectra Many applications have signals with (near) sinusoidal components. Moses.
] (prevents model ambiguities) f'k g = independent rv's. uniformly distributed on .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . 1997 . ] (realistic and mathematically convenient) A3: e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0 (can be achieved by “slow” sampling) Slide L5–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. superimposed in white noise of k 2. Prentice Hall. Stoica and R. 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 .
r(k) = E fy(t)y (t . Stoica and R.i'j o = 1.i'j o e Z n 1 i' d' 2 = 0. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. e E xp(t)xj (t .Covariance Function and PSD Note that: E E n i'p e. Moses. for p 6= j =2 .i'j o = E nei'p o E ne. 1997 . for p = j e i'p e. Prentice Hall. 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.
Parameter Estimation Estimate either: f!k k 'k gn=1 k 2 (Signal Model) f!k 2gn=1 2 k k Once (PSD Model) ^ Major Estimation Problem: f!k g f!kg are determined: ^ X f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p p=1 OR: Both k and 'k can be derived by a least squares method from f^ g f^ g X y(t) = with n k= k=1 k ei'k . Stoica and R. 1997 Slide L5–5 . ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
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. Prentice Hall. Moses. .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . . 1997 Slide L5–6 . . 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. 1997 Slide L5–7 .1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares (NLS) Method. (B B). (B B). Stoica and R. B ) = kY . Moses.1B Y ] +Y Y .1B Y !=^ ! and ! = arg max Y B (B B ). B k2 = .1B Y ] B B] . Y B(B B). con't Then: F = (Y . B ) (Y .1B Y This gives: ^ = (B B).
5. Stoica and R.NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10. ! Difﬁcult Implementation: The NLS cost function F is multimodal. Prentice Hall. Moses. 1997 Slide L5–8 . Lecture notes to accompany Introduction to Spectral Analysis by P. 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
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
Moses. 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. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. f!kgn=1. Prentice Hall.HighOrder YuleWalker Method. Stoica and R. 1997 Slide L5–12 .
Moses. 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. 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 = . . r(L + M . Prentice Hall. r(L + 2) .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . Stoica and R. . . . 1997 Slide L5–13 .
1U Important property: The additional (L . Moses. Stoica and R. if the MinimumNorm solution b is used. 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). n) spurious zeros of B (q ) are located strictly inside the unit circle. Lecture notes to accompany Introduction to Spectral Analysis by P. The MinimumNorm solution is b = . Prentice Hall.V .HighOrder and Overdetermined YW Equations. (U V )b = . diagonal and nonsingular Thus. y = . 1997 Slide L5–14 .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. . SVD of . V be deﬁned similarly to U . Compute ^ = . Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. Prentice Hall. f^ g When the SNR is low. this approach may give spurious frequency estimates when L > n. 1997 Slide L5–15 . V from the Let U .HOYW Equations. r . this is the price paid for increased accuracy when L > n. Moses.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.V ^ .
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L6–1 . Stoica and R. Moses.
i! : : : e.i(m. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . 1997 Slide L6–2 . m + 1)]T e 4 R = E fy(t)~ (t)g = APA + 2I ~ y Then with 2 P = E fx(t)~ (t)g = ~ x 6 4 2 1 0 . Prentice Hall. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .. Stoica and R. Moses.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t .. m + 1) .The Covariance Matrix Equation Let: a(!) = 1 e. .
Moses. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm.. Stoica and R.. 2 R = S G] 6 4 1 3 " . Prentice Hall. 1997 Slide L6–3 .n] (m (m .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. n)) Thus.
. Prentice Hall. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . 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. Moses. since S G j j 6= 0 4 . Therefore.1) = AC S = A(PA S ( ) = rank(A) = n). 2 .. Stoica and R.Eigendecomposition of R and Its Properties. = = nonsingular 0 n... 1997 .
MUSIC Method a (!1) . Moses. Stoica and R. 1997 Slide L6–5 . Prentice Hall. 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. . f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0.
Moses.1)GG a(z) = 0 that are closest to the unit circle.(m. 1997 Slide L6–6 . a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Here.1 : : : z. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. a(z) = 1 z.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 .1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Prentice Hall.
Moses. Stoica and R.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. Prentice Hall. 1997 Slide L6–7 . ) f!kgn=1 can be found from the roots of ^ k aT (z. If: =n+1 m=n+1 Then: ^ g G = ^1.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value).
1997 Slide L6–8 . that has minimum Euclidean norm. but only one vector in G (as in Pisarenko). R( ) Let " 1 = the vector in R(G). g # Lecture notes to accompany Introduction to Spectral Analysis by P. with ﬁrst element equal ^ ^ to one. Stoica and R. Moses. and reduce risk of false frequency estimates.MinNorm Method Goals: Reduce computational burden. Prentice Hall. Uses m n (as in MUSIC).
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 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. Prentice Hall. 1997 Slide L6–9 . Moses.1) 1 ^ g " # that are closest to the unit circle.MinNorm Method.
Moses.1 = =(1 . k k2) = (S S ) ) (S S ).1 g + S S .) ^^ I=S S= Multiplying the above equation by gives: (1 . k k2) ) ^ = . (S S ). g " # MinNorm solution: As: ^ = .S =(1 .1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . for N 1. k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Let S ^= S g1 .S(S S ). 1997 Slide L6–10 . Prentice Hall.1 exists iff = k k2 6= 1 (This holds. at least.
ESPRIT Method Let A1 = Im. let = A1D.1 0]S S2 = 0 Im. where e.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.. D= 0 e.1 0]A A2 = 0 Im.1DC {z } So has the same eigenvalues as D . Moses.. Then S2 = A2C = A1DC = S1 C .1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.1]A Then A2 Also. determined as is uniquely = (S1S1). Prentice Hall.i!n S1 = Im. 1997 Slide L6–11 .i!1 0 .
^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Moses. ﬁnd S . Prentice Hall. 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. Stoica and R. 1997 Slide L6–12 .1S1S2 ^^ ^^ f!kgn=1 = .ESPRIT Implementation From the eigendecomposition of R. then S1 and S2 .
Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 . Stoica and R. Prentice Hall.
Stoica and R.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 1997 Slide L7–1 .
( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. !+ ] N >1 1 2 is more general than 1. Nonparametric Approach: Implicitly smooth ! !=. Stoica and R. Parametric Approach: Parameterize ﬁnitedimensional model. (!) by a 2.Basic Ideas Two main PSD estimation approaches: 1. Prentice Hall. but 2 requires to ensure that the number of estimated values = = ) is < N . by assuming that ! is nearly constant over the bands f ( )g ( ) !. 1997 Slide L7–2 .
Moses. 1997 . 2 ! + 2 ] Note that assumptions (a) and (b). !c @Q Q ! . Stoica and R.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . jH ( )j2 ( )d = ' 21 !+ !. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! .Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . are conﬂicting. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. as well as (b) and (c). Prentice Hall.
!) . 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.Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1 H (!) = hk e ! N ei(~.t) t=1 X X = N where ( X 1 k=0 hk y(N .i!k = 1 eiN (~.!) . 1997 . k) 2 ! . Prentice Hall. Moses.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . 1 k=0 X 1 ei!k k = 0 : : : N .
1997 Slide L7–5 . for N = 50. and: narrow ﬁlter passband. Prentice Hall. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 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.Filter Bank Interpretation of the Periodogram. con't jH (!)j as a function of (~ .
Split the available sample. Moses. Use several bandpass ﬁlters on the whole sample. This “multiwindow approach” is similar to the Daniell method. Stoica and R. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. 2. Each ﬁlter covers a small band centered on ! .Possible Improvements to the Filter Bank Approach 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Both approaches compromise bias for variance. Prentice Hall. ~ provides several samples for power calculation. and bandpass ﬁlter each subsample. 1997 Slide L7–6 . This approach leads to Bartlett and Welch methods. more data points for the power calculation stage.
i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Capon Method Idea: Datadependent bandpass ﬁlter design. k) 2 6 4  . y(t .i! : : : e. yF (t) = X m k=0  hk y(t .im! ]T hk e. 1997 Slide L7–7 . = h0 h1 : : : hm] . Prentice Hall. 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.
con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R. Moses. Prentice Hall. Stoica and R.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . 1997 Slide L7–8 .1a=a R. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.1a(!) which should be the power of y (t) in a passband centered on ! .Capon Method.
. Prentice Hall. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Stoica and R. bias decreases and variance increases. Capon uses one bandpass ﬁlter only. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–9 . Moses.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases.
i!k ^ k=.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . 1997 Slide L7–10 . s)e.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.m m + 1 1 m m ^(t . Prentice Hall.i!(t.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . jkj ^BT (!) = r(k)e. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.
^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). 1997 Slide L7–11 . 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. Stoica and R. Prentice Hall. C ! generally has less statistical variability than the AR PSD estimator. Due to the loworder AR terms in the average.
Moses. Prentice Hall. Stoica and R. 1997 Slide L8–1 .Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P.
R . seismology.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . antennas. communications.@ . Moses. @.. 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.. . @. . @. @. Stoica and R. v Source n @. . Emitted energy: Acoustic. Sensor 1 @. mechanical Receiving sensors: Hydrophones. sonar. . @. 1997 Slide L8–2 . Prentice Hall. electromagnetic. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors..@ . seismometers Applications: Radar.
Prentice Hall. Stoica and R.) Lecture notes to accompany Introduction to Spectral Analysis by P. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.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. 1997 Slide L8–3 . The number of sources n is known. Moses. the array is calibrated. AOA).
thermal noise in sensor electronics. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. 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.g. Lecture notes to accompany Introduction to Spectral Analysis by P. background noise. Basic Problem: Estimate the time delays known but x t unknown.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals).Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. k) + ek (t) ( = convolution operator). etc. Stoica and R. Then the output of sensor k is yk (t) = hk (t) x(t .. 1997 Slide L8–4 .. Moses. Prentice Hall.g.
Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . Prentice Hall. k) ' (t) '(t . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. 1997 . !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) . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . k ) ' (t) cos !ct + '(t) . !c k ] hk (t) x(t . Stoica and R. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Moses.
i!ct ~ = yk(t) cos(!ct) . iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e.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. Lecture notes to accompany Introduction to Spectral Analysis by P.!ct = (t)f ei (t) + e. Moses.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. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i!ct to obtain (t)ei (t) lowpass highpass Hence. 1997 Slide L8–6 or . Stoica and R.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)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
1997 Slide L8–10 . Prentice Hall. Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.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 .
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 . Prentice Hall.i!s : : : e.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 onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. Stoica and R.i(m. Moses. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. 1997 Slide L9–1 .Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.
Prentice Hall. Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. 1997 Slide L9–2 .
1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . m + 1)]T If u m. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.i! : : : e. Stoica and R.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . 1997 Slide L9–3 .1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e.1] y(t) = u(t) : : : u(t . k) = h y(t) k=0 h = ho : : : hm. Prentice Hall.i(m.
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 . Moses. Stoica and R. 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.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.i!c 2 : : : e. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.1 q . B .? B P C B C B B B .. Moses. 1997 Slide L9–5 .i m. Stoica and R.1 ?  1 . B B @ .B . s qq h  ? 1 ?  m. Prentice Hall.. C C B C B C B C B C B A @ .  e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal ﬁlter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2. Cu(t) C B .i! Be 2 B !! B B B B . ! hm.i! C @ h a(!)]u(t) R @ C .i! m  e {z a( ) aa m! point ( ) qq ( ) 1 C C C C C Cs(t) C C C C C A }  ? @ ? @ @ h  1 @ R @  P h a( )]s(t)  hm.@ 0 B 1 C h @@ C B B e.
1997 Slide L9–6 . 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. Moses. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. h a 0 .Spatial Filtering. Prentice Hall. Here.
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”). To locate an emitter in the ﬁeld of view. 1997 Slide L9–7 . Stoica and R. Moses. Prentice Hall. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal).
Moses. Stoica and R. ( )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. Prentice Hall. n o n o The (dominant) peaks of h DOAs of the sources.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 1997 . Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest.
() Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–9 . Prentice Hall. Stoica and R.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. y t can be considered as impinging on the array from all DOAs. Moses.
1 = 1. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Stoica and R. Moses. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. Resolution Threshold: inf j k . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . 1997 .
1997 Slide L9–11 . Stoica and R. Moses.1a( ): Performance: Slightly superior to Beamforming. Prentice Hall.1a( )=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). Both Beamforming and Capon are nonparametric approaches. Lecture notes to accompany Introduction to Spectral Analysis by P.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.1a( ) E jyF (t)j2 = 1=a ( )R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.
MUSIC. YW. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–12 . for DOA estimation. Moses. MINNORM and ESPRIT methods of frequency estimation can be used. Prentice Hall.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. almost without modiﬁcation.
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).1A ]Rg X f kg For N . Moses. A(A A).Nonlinear Least Squares Method 1 N ky(t) . Stoica and R. f ^k g = arg max trf A(A A). 1997 Slide L9–13 =1 .1A ]Rg ^ Thus.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . A(A A).1A y(t) t = 1 : : : N s X Then 1 N k I . A(A A).1A ]y(t) = N t=1 ^ = trf I . Lecture notes to accompany Introduction to Spectral Analysis by P. this is precisely the form of the NLS method of frequency estimation. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Stoica and R. Prentice Hall. 1997 Slide L9–14 . Moses.
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 ~ .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. Moses. Prentice Hall. 1997 Slide L9–15 . Stoica and R.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P.) = n. is . = U1 U2 ] 0 n n 0 V1 g n .n 0 V2 g L n M . and the SVD of .
1997 Slide L9–16 . is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. using 1 N y(t)~ (t) ^ . Stoica and R. Prentice Hall. Moses.YWMUSIC 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. (L 1).
that is.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Prentice Hall. 1997 Slide L9–17 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. 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. Moses.
ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Prentice Hall. D= 0 e.. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L9–18 ( ) = d sin( )=c . where e.i!c ( 1) 0 . Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Moses..
ESPRIT Method. so m m and .1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 A1 = Im. Prentice Hall. 1997 Slide L9–19 .1 A2 = 0 Im. the two subarrays are often the ﬁrst m and last m array elements. Stoica and R. Moses. 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 = .1 .
This action might not be possible to undo. Are you sure you want to continue?
We've moved you to where you read on your other device.
Get the full title to continue reading from where you left off, or restart the preview.