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Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
Stoica and R.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=. Moses.Deterministic Signals fy(t)g1 . 1997 Slide L1–4 . Prentice Hall.1 = t= If: discretetime deterministic data sequence X 1 t=.1 y(t)e.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .1 X (k)e. Moses.1 y(t)y (t .i!k (k) = 1 t=.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=. S (!)d! t=. Prentice Hall. 1997 . k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–6 .Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Stoica and R. Moses.
1 r(k)e. Stoica and R.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Moses.First Deﬁnition of PSD (! ) = where r X 1 k=. Prentice Hall.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. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . k)g r(k) = r (. 1997 Slide L1–7 .
Stoica and R. 1997 Slide L1–8 . t=1 y(t)e.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. Moses.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.Second Deﬁnition of PSD 1 N y(t)e. Prentice Hall.
Moses.1=2 1=2] (!) 0 (t) is real. Thus.! ) Otherwise: (! ) 6= (. Prentice Hall. 1997 Slide L1–9 .! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P.Properties of the PSD P1: (!) = (! + 2 ) for all !. we can restrict attention to !2 . P2: ] () f 2 . Stoica and R. Then: (! ) = (.
1y(t) = y(t . k) hk e. Stoica and R. Prentice Hall.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. 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.Transfer of PSD Through Linear Systems System Function: where q . Moses. 1997 Slide L1–10 .
Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997 Slide L1–11 .The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Stoica and R.
Moses.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L2–1 . Prentice Hall.
Moses.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L2–2 . Prentice Hall.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).
i!k (k)” by “^(k)”: r r ^(k)e.1) Lecture notes to accompany Introduction to Spectral Analysis by P.i!k ^c(!) = k=. Moses.1 N . Prentice Hall. 1997 Slide L2–3 .(N .1 X r(k)e.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. Stoica and R.
Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . 1997 Slide L2–4 .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. k) k 0 ^ r(k) = N . k t=k+1 X Standard biased estimate: 1 N y(t)y (t . Moses. Prentice Hall.
i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. N ^p(!) = 1 y(t)e. Moses. Prentice Hall. Stoica and R.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!).(N . Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.1 X = ^c(!) k=. 1997 .1) r ^(k)e.i!t N t=1 X 2 = N .
1997 Slide L2–6 .1 are small. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. Intuitive explanation: r(k) . even for large N . ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. p! f^( ) . Stoica and R. Prentice Hall. ( )g ^ ( ) . Thus. the PSD error is large. ^p(!) and ^c(!) have poor performance. Moses. jk =0 there are “so many” that when summed in ! .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.
) d Z Ideally: WB (!) = Dirac impulse (!). N k=. n o 0 k 1 . or triangular. Prentice Hall. 1997 .i!k = 1.(N .1 n o n o X ! X N .i!k k=. ( )WB (! .1 jkj r(k)e.i!k r k=. Moses. window E ^p(!) = 21 . Stoica and R.1 X wB (k) = 8 < : = Thus. 1 jkj N Bartlett.1) 1 = wB (k)r(k)e. 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.(N .1) N . jNj jkj N .
Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Prentice Hall. 1997 . WB 1=N . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. (!) may differ quite a bit from (!). 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 .
φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N .Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L2–9 . Moses.
1997 Slide L2–10 .Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Prentice Hall. Moses. WB ! !. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. so ! is asymptotically unbiased. severe bias As N .
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. dev = φ(ω) too  Resolvability properties depend on both bias and variance.Periodogram Variance As N !1 E ^p(!1) . Prentice Hall. Stoica and R. (!1) ^p(!2) . (!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 .
Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. 1 Direct computation of O N 2 ﬂops ( ) .i!t 2 k and W = e.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N . 1997 Slide L2–12 . Prentice Hall. Stoica and R.i 2 .
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 = . ~ 4 = 0 2 4 : : : N . 1997 . Slide L2–13 t=1 ~ ~ f y(t) . Prentice Hall.i2 =N .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. 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. Moses. Stoica and R. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P.
1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 1997 Slide L2–14 .FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 2k + 2c ck = 2 k. Moses.
1 N k=0 sampled. Stoica and R. Prentice Hall. Moses. 1997 Slide L2–15 .Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . N=8 ω 2 k N .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L3–1 . Prentice Hall. Moses.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
1) w(k)^(k)e.BlackmanTukey Method Basic Idea: Weighted correlogram. Moses.1 X k=. with small weight applied to covariances r k with “large” k .(M . 1997 Slide L3–2 . Prentice Hall.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. ^( ) jj ^BT (!) = M .
Moses. Stoica and R. con't ^BT (!) = 1 ^p( )W (! . Prentice Hall. 1997 . )d 2 . Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P.BlackmanTukey Method.
0 Z  {z } If W (!) 0 (. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M .(M (0) w Z w (k ) = equiv time width 1 2 . )d 2 . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.1) Ne = k=.1 X . Moses. Prentice Hall. 1997 Slide L3–4 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . Stoica and R.
e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). Stoica and R.Window Design. 1997 Slide L3–5 . once M is given. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Once M is given. Lecture notes to accompany Introduction to Spectral Analysis by P. Ne (and hence ﬁxed. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. Prentice Hall. As M increases. ) Choose M as a tradeoff between variance and bias. bias decreases and variance increases. Moses.
M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Moses.Window Examples Triangular Window. Prentice Hall. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L3–6 .
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Daniell Method By a previous result. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . 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 . Moses.J X Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. for N 1. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. Prentice Hall.
Then. Moses. Prentice Hall. 1997 Slide L3–11 .Daniell Method. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . ^D(!) ' 1 ^p(!)d! 2 . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. for N 1. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
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. ^ () – Implemented by averaging subsample periodograms. 1997 . ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. Prentice Hall. BT periodogram – Local smoothing/averaging of spectral window. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Stoica and R. more general for Welch). Lecture notes to accompany Introduction to Spectral Analysis by P. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values.
1997 Slide L4–1 . Prentice Hall.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.
Moses. provided m and n are chosen sufﬁciently large.i!k (!) = P jkj n k e.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. P By Weierstrass theorem.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. Stoica and R. 1997 Slide L4–2 ( ) .i!k (!) is a rational function in e.θ) ^ θ Estimate PSD ^ ^ =φ(ω. Prentice Hall.i! .θ) Estimate parameters in φ(ω. Note. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. ! can approximate arbitrarily well any continuous PSD.
e.1 + + anz. Prentice Hall..n B (z) = 1 + b1z.1 + + bmz. and ARMA Models By Spectral Factorization theorem. Moses. Stoica and R.g.m and. 1997 . a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.AR. 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.
k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . k) and take E f g to give: X r (k ) + X 2 m bj hj .k = j =0 = 0 for k > m B (q) = 1 h q. i) = m j =0 bj E fe(t . i) = X m j =0 bj e(t . 1997 Slide L4–4 . Prentice Hall. j ) (b0 = 1) Multiply by y (t . j )y (t . Stoica and R.ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . Moses. k)g Lecture notes to accompany Introduction to Spectral Analysis by P.
. . . . Prentice Hall. 2 1 a1 = 0 . Stoica and R. .1) : : : r(.1) . Moses. 1997 Slide L4–5 .AR Signals: YuleWalker Equations AR: m = 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(. .n) . 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. Lecture notes to accompany Introduction to Spectral Analysis by P. 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) . r .1 = 0 a . . . 1997 Slide L4–6 .1) : : : ^(. Moses. r ^(1) r(0) ^ ^. .n) 1 r r ^2 . . Prentice Hall. .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) ^(. ^(. Stoica and R. .
1) y(N . 1) : : : y (t . y(N . . n) .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . Prentice Hall. 1997 Slide L4–7 .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . n)]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 ) . Moses. . . . ^ = . Stoica and R. 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 3 7 5 Y =4 y(n) y(n . Find i=1 aiy(t . . 1) y(n + 1) y(n) .(Y Y ). .
. orderrecursive solution to YW equations 2 6 6 6 4  0 ...1 1 . . 1997 Slide L4–8 .Levinson–Durbin Algorithm Fast. 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. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . .. .0 . . . Moses. Stoica and R. n .. {z . 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k).1 . Prentice Hall. .n .
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.LevinsonDurbin Alg. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. Stoica and R. con't Relevant Properties of R: Rx = y $ Rx = y. Prentice Hall. 1997 Slide L4–9 . 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 .
LevinsonDurbin Alg. con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. 2 kn = . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 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. Prentice Hall. Moses.
Stoica and R. r(k) = 0 for jkj > m and 2 2 = m r(k)e.m X Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) = jB(!)j k=. 1997 Slide L4–11 . Moses. m) Thus. Prentice Hall. 1) + + bme(t .MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t .
Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.MA Spectrum Estimation Two main ways to Estimate (! ): 1. 1997 Slide L4–12 . Stoica and R.m ^BT (!) with a rectangular lag window of 2m + 1. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. with AR model order n . ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Prentice Hall. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.i!k k=.
ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). Moses. Prentice Hall. 1997 Slide L4–13 . A(q)y(t) = B (q)e(t) B (!) 2 = m=. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. k)] g = E f A(q)y(t)] A(q)y(t .i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Stoica and R. k)] g = X n X n j =0 p=0 aj ap r(k + p .m k e.
can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Estimate fai r(k)g in (!) = P m . 1997 Slide L4–14 . ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. Stoica and R. Moses. Estimate fai bj A(!) nonlinear estimation problem.i!k k=.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Prentice Hall.
Stoica and R. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. for some large K e(t) ' y(t) + 1y(t . 1) + 2y(t . 1) + + 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) + e and its variance + ^K y(t . Prentice Hall.TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. K ) ^2 = N 1 j^(t)j2 e N .
y(t . y(t . 1997 Slide L4–16 .TwoStage LeastSquares Method. n) e ^(t . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . Stoica and R. con't fe(t)g by ^(t) in the ARMA equation. Moses. Prentice Hall. 1) : : : . ^(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. 1) : : : ^(t . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P.
. n + M ) . . 1) : : : r(m . = f^ g Y W system of equations. . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. .6 4 Replace fr(k)g by f^(k)g and solve for faig. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . 1997 Slide L4–17 . = m + 1 ::: m + M a1 an . If M > n overdetermined squares solution for ai . . n + 2) . Moses. # 2 = r(m + M . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. least f^ g Note: For narrowband ARMA signals. . Prentice Hall.. r f^ g .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . n + 1) r(m . fast Levinsontype algorithms exist for obtaining ai . . . : : : r(m . . 5 . Stoica and R.
Prentice Hall. Stoica and R.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–18 . Moses.
1997 Slide L5–1 . Moses.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 . Prentice Hall. 1997 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Examples: communications radar. Stoica and R.Line Spectra Many applications have signals with (near) sinusoidal components.
Moses. ] (prevents model ambiguities) f'k g = independent rv's. Prentice Hall. ] (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.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . 1997 . superimposed in white noise of k 2. Stoica and R. uniformly distributed on .
!p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. e E xp(t)xj (t .i'j o = E nei'p o E ne. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . for p = j e i'p e.i'j o e Z n 1 i' d' 2 = 0. Prentice Hall. r(k) = E fy(t)y (t . Stoica and R.i'j o = 1. Moses. 1997 . k) = 2 ei!pk p j p n o Hence.Covariance Function and PSD Note that: E E n i'p e. for p 6= j =2 .
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. 1997 Slide L5–5 . Prentice Hall. Stoica and R.
1997 Slide L5–6 . Stoica and R.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . . 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. .
Moses. 1997 Slide L5–7 . (B B). B ) (Y . con't Then: F = (Y .1B Y !=^ ! and ! = arg max Y B (B B ).1B Y ] +Y Y .1B Y This gives: ^ = (B B).Nonlinear Least Squares (NLS) Method. Prentice Hall. B ) = kY . Y B(B B). B k2 = .1B Y ] B B] . (B B). Stoica and R.1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P.
5. Stoica and R. 1997 Slide L5–8 . Moses. Prentice Hall. it is difﬁcult to avoid convergence to local minima.NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10. Lecture notes to accompany Introduction to Spectral Analysis by P. ! Difﬁcult Implementation: The NLS cost function F is multimodal.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. along with L .HighOrder YuleWalker Method. 1997 Slide L5–12 . con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. Stoica and R. f!kgn=1.
1997 Slide L5–13 . r(L + 2) . Stoica and R. 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . Moses. . Prentice Hall. . . Lecture notes to accompany Introduction to Spectral Analysis by P. . i) = 0 k > L In matrix form for k 2 6 6 6 4  = L + 1 ::: L + M 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 } : : : r(1) r(L + 1) : : : r(2) b = . . r(L + M .
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).1U Important property: The additional (L .V . y = . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.HighOrder and Overdetermined YW Equations. if the MinimumNorm solution b is used. Prentice Hall. (U V )b = . The MinimumNorm solution is b = . Stoica and R. n) spurious zeros of B (q ) are located strictly inside the unit circle. 1997 Slide L5–14 . diagonal and nonsingular Thus.
V from the Let U .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.HOYW Equations. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. r .V ^ . . V be deﬁned similarly to U . 1997 Slide L5–15 . SVD of . Lecture notes to accompany Introduction to Spectral Analysis by P. this approach may give spurious frequency estimates when L > n. Stoica and R. Moses. this is the price paid for increased accuracy when L > n. Compute ^ = . f^ g When the SNR is low.
Prentice Hall. Stoica and R.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L6–1 .
.The Covariance Matrix Equation Let: a(!) = 1 e. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.i(m. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . .. Moses. 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.i! : : : e. Prentice Hall. 1997 Slide L6–2 . m + 1) . = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .
.n] (m (m . Prentice Hall. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. 2 R = S G] 6 4 1 3 " . 1997 Slide L6–3 . n)) Thus. Moses. Stoica and R.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..
=0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 0 n 3 7 5 with C (since rank S . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.. . 1997 .1) = AC S = A(PA S ( ) = rank(A) = n). Moses.. Therefore. Prentice Hall. Stoica and R. since S G j j 6= 0 4 . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . = = nonsingular 0 n. 2 ..Eigendecomposition of R and Its Properties.
Moses. 1997 Slide L6–5 . Stoica and R. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Prentice Hall.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. .
1997 Slide L6–6 . a(z) = 1 z. Lecture notes to accompany Introduction to Spectral Analysis by P.(m.1)GG a(z) = 0 that are closest to the unit circle. Prentice Hall. Stoica and R. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Moses.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.1 : : : z. Here.
If: =n+1 m=n+1 Then: ^ g G = ^1.1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 1997 Slide L6–7 . ) f!kgn=1 can be found from the roots of ^ k aT (z.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Prentice Hall.
but only one vector in G (as in Pisarenko). that has minimum Euclidean norm. Stoica and R. with ﬁrst element equal ^ ^ to one. g # Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. and reduce risk of false frequency estimates. Uses m n (as in MUSIC).MinNorm Method Goals: Reduce computational burden. 1997 Slide L6–8 . R( ) Let " 1 = the vector in R(G).
Stoica and R. Moses.1) 1 ^ g " # that are closest to the unit circle. 1997 Slide L6–9 . Lecture notes to accompany Introduction to Spectral Analysis by P.MinNorm Method. 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 L6–10 . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. for N 1.S =(1 .1 exists iff = k k2 6= 1 (This holds. g " # MinNorm solution: As: ^ = .S(S S ).1 = =(1 . Prentice Hall.Let S ^= S g1 . (S S ).) ^^ I=S S= Multiplying the above equation by gives: (1 . at least. k k2) ) ^ = . Moses. Stoica and R. k k2) = (S S ) ) (S S ).1 g + S S .1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .
Then S2 = A2C = A1DC = S1 C . let = A1D. 1997 Slide L6–11 . Stoica and R. Prentice Hall.1 0]S S2 = 0 Im.1DC {z } So has the same eigenvalues as D .1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.i!1 0 ..ESPRIT Method Let A1 = Im..i!n S1 = Im. where e.1 0]A A2 = 0 Im.1]A Then A2 Also. Moses. D= 0 e. determined as is uniquely = (S1S1).1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.
1S1S2 ^^ ^^ f!kgn=1 = . Moses. ﬁnd S . 1997 Slide L6–12 . Stoica and R. arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. then S1 and S2 .ESPRIT Implementation From the eigendecomposition of R. ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1).
1997 . Stoica and R. Moses.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–1 . Stoica and R. Moses. Prentice Hall.
( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Nonparametric Approach: Implicitly smooth ! !=.Basic Ideas Two main PSD estimation approaches: 1. (!) by a 2. !+ ] N >1 1 2 is more general than 1. Lecture notes to accompany Introduction to Spectral Analysis by P. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Stoica and R. Prentice Hall. Moses. Parametric Approach: Parameterize ﬁnitedimensional model. but 2 requires to ensure that the number of estimated values = = ) is < N . 1997 Slide L7–2 .
Moses. 1997 . are conﬂicting.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) .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 !+ !. 2 ! + 2 ] Note that assumptions (a) and (b). Prentice Hall. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Stoica and R. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . !c @Q Q ! . as well as (b) and (c).
1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . Prentice Hall. 1 H (!) = hk e ! N ei(~. 1 k=0 X 1 ei!k k = 0 : : : N . Stoica and R. 1997 .!) .i!k = 1 eiN (~.Filter Bank Interpretation of the Periodogram 1 N y(t)e. k) 2 ! .!) . Moses.t) t=1 X X = N where ( X 1 k=0 hk y(N .
and: narrow ﬁlter passband. !). 1997 Slide L7–5 . power calculation from only 1 sample of ﬁlter output. con't jH (!)j as a function of (~ . Moses. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. ! 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.Filter Bank Interpretation of the Periodogram. Stoica and R. for N = 50. Prentice Hall.
Prentice Hall. Stoica and R. ~ provides several samples for power calculation. Moses. Each ﬁlter covers a small band centered on ! . Split the available sample. 2. more data points for the power calculation stage. Both approaches compromise bias for variance. 1997 Slide L7–6 . and bandpass ﬁlter each subsample. This approach leads to Bartlett and Welch methods.Possible Improvements to the Filter Bank Approach 1. This “multiwindow approach” is similar to the Daniell method. Lecture notes to accompany Introduction to Spectral Analysis by P. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Use several bandpass ﬁlters on the whole sample.
Stoica and R. Moses. 1997 Slide L7–7 . Prentice Hall.i! : : : e. 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.im! ]T hk e. k) 2 6 4  . = h0 h1 : : : hm] . y(t . yF (t) = X m k=0  hk y(t .Capon Method Idea: Datadependent bandpass ﬁlter design.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.
1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. 1997 Slide L7–8 .1a(!) which should be the power of y (t) in a passband centered on ! .1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R. Stoica and R. Moses.Capon Method. Prentice Hall.1a=a R.
Lecture notes to accompany Introduction to Spectral Analysis by P. . but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Prentice Hall. Moses.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. 1997 Slide L7–9 . Capon uses one bandpass ﬁlter only. Stoica and R. bias decreases and variance increases.
i!(t. s)e.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . 1997 Slide L7–10 .Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. jkj ^BT (!) = r(k)e. Prentice Hall.i!k ^ k=. Moses. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.m m + 1 1 m m ^(t .
C ! generally has worse resolution and bias properties than the AR method. Prentice Hall. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Moses. Stoica and R. C ! generally has less statistical variability than the AR PSD estimator. Due to the loworder AR terms in the average. 1997 Slide L7–11 . ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t).
Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. Prentice Hall. 1997 Slide L8–1 .
v Source n @. @. Sensor 1 @.@ .. . electromagnetic. mechanical Receiving sensors: Hydrophones. seismology. . Emitted energy: Acoustic. Prentice Hall.@ . @. @. antennas. communications. Moses.. Stoica and R. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. @..The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ .R . . . seismometers Applications: Radar. sonar. 1997 Slide L8–2 . @.
Prentice Hall.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. Stoica and R. Moses. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. the array is calibrated. AOA).) Lecture notes to accompany Introduction to Spectral Analysis by P. The number of sources n is known. 1997 Slide L8–3 .
g. Stoica and R.. 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. thermal noise in sensor electronics. Lecture notes to accompany Introduction to Spectral Analysis by P. Basic Problem: Estimate the time delays known but x t unknown. etc.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). 1997 Slide L8–4 . k) + ek (t) ( = convolution operator).Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. Then the output of sensor k is yk (t) = hk (t) x(t .. background noise. Moses. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. Prentice Hall.g.
1997 .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . Moses. !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. k ) ' (t) cos !ct + '(t) . !c k ] hk (t) x(t . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. k) ' (t) '(t . Prentice Hall. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . Stoica and R. k ) ' jHk (!c)j (t)cos !ct + '(t) .
!ct = (t)f ei (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.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. Stoica and R.i!ct ~ = yk(t) cos(!ct) .i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. 1997 Slide L8–6 or . Prentice Hall. Moses.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
1997 Slide L8–10 . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . Stoica and R. Prentice Hall. Moses.
i!s : : : e. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 .i(m.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Moses. 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. !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem.
1997 Slide L9–1 .Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall.
Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–2 .Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Moses.
Stoica and R. Moses.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 . m + 1)]T If u m. k) = h y(t) k=0 h = ho : : : hm.i(m.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .i! : : : e.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–3 .
Prentice Hall. Moses.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. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Stoica and R.i!c 2 : : : e. Lecture notes to accompany Introduction to Spectral Analysis by P.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. 1997 Slide L9–4 .
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. Cu(t) C B .i m.B .1 ?  1 .i! Be 2 B !! B B B B . s qq h  ? 1 ?  m.1 q . Moses..  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.? B P C B C B B B . 1997 Slide L9–5 . Stoica and R. ! hm. B B @ . C C B C B C B C B C B A @ . B .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.i! C @ h a(!)]u(t) R @ C .. Prentice Hall.
Stoica and R. Prentice Hall. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. 1997 Slide L9–6 . Here.Spatial Filtering. 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. h a 0 .
Moses. Stoica and R. 1997 Slide L9–7 .Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). Lecture notes to accompany Introduction to Spectral Analysis by P. by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Prentice Hall. To locate an emitter in the ﬁeld of view.
( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Moses. Prentice Hall. n o n o The (dominant) peaks of h DOAs of the sources. Stoica and R. 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. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. 1997 Slide L9–9 . y t can be considered as impinging on the array from all DOAs. Moses. Prentice Hall.
Moses. 1997 . 1 = 1. 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 . Stoica and R. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Resolution Threshold: inf j k . pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > .
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( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Prentice Hall. Moses. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). Stoica and R.1a( ): Performance: Slightly superior to Beamforming. Both Beamforming and Capon are nonparametric approaches.1a( )=a ( )R. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–11 .
MUSIC. for DOA estimation. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. YW.Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Stoica and R. almost without modiﬁcation. MINNORM and ESPRIT methods of frequency estimation can be used. Moses. 1997 Slide L9–12 .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1A ]Rg X f kg For N .1A ]Rg ^ Thus. A(A A). f ^k g = arg max trf A(A A). 1997 Slide L9–13 =1 . A(A A). Prentice Hall.Nonlinear Least Squares Method 1 N ky(t) .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). Moses. this is precisely the form of the NLS method of frequency estimation.1A y(t) t = 1 : : : N s X Then 1 N k I . A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .
Stoica and R. 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. 1997 Slide L9–14 . Prentice Hall. 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 ~ . Stoica and R.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. and the SVD of .n 0 V2 g L n M . Moses. = U1 U2 ] 0 n n 0 V1 g n . is .n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.) = n. 1997 Slide L9–15 .
is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). Stoica and R. 1997 Slide L9–16 . (L 1). Moses. Prentice Hall. using 1 N y(t)~ (t) ^ .
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. Stoica and R. that is. 1997 Slide L9–17 .MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Moses. Prentice Hall. 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.
ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.i!c ( 1) 0 ... D= 0 e.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. Stoica and R. where e. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–18 ( ) = d sin( )=c . 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. Prentice Hall.
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.1 A1 = Im. the two subarrays are often the ﬁrst m and last m array elements.1 0]A = . 1997 Slide L9–19 .1 A2 = 0 Im.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.ESPRIT Method. so m m and .
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