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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
Prentice Hall. Moses.1 y(t)e.1 = t= If: discretetime deterministic data sequence X 1 t=.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–4 . Stoica and R.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.Deterministic Signals fy(t)g1 .
1997 .1 y(t)y (t .1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=. Moses. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. S (!)d! t=.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .i!k (k) = 1 t=. Prentice Hall.1 X (k)e.
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. Moses. Prentice Hall. 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.
(!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. k)g r(k) = r (.1 r(k)e.k) r(0) jr(k)j Z Note that r(k) = 21 . Prentice Hall.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . 1997 Slide L1–7 .First Deﬁnition of PSD (! ) = where r X 1 k=. Moses. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .
1997 Slide L1–8 . Stoica and R. 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.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Second Deﬁnition of PSD 1 N y(t)e. Prentice Hall.
P2: ] () f 2 .! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Then: (! ) = (. Thus. Stoica and R. Moses.Properties of the PSD P1: (!) = (! + 2 ) for all !.! ) Otherwise: (! ) 6= (. we can restrict attention to !2 .1=2 1=2] (!) 0 (t) is real. 1997 Slide L1–9 .
k) hk e.1y(t) = y(t . Moses.k = unit delay operator: q.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 .i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–10 .Transfer of PSD Through Linear Systems System Function: where q . Prentice Hall. Stoica and R.
]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Stoica and R. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . 1997 Slide L1–11 .
1997 Slide L2–1 . Stoica and R. Moses. Prentice Hall.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e. Moses. 1997 Slide L2–2 .i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
1 N . Prentice Hall.1) Lecture notes to accompany Introduction to Spectral Analysis by P.(N .1 X r(k)e.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.i!k ^c(!) = k=.i!k (k)” by “^(k)”: r r ^(k)e. Moses. Stoica and R. 1997 Slide L2–3 .
Moses. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. k t=k+1 X Standard biased estimate: 1 N y(t)y (t .Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Prentice Hall. Stoica and R.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. k) k 0 ^ r(k) = N . 1997 Slide L2–4 .
N ^p(!) = 1 y(t)e.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). 1997 .1 X = ^c(!) k=. Stoica and R. Moses.(N .i!t N t=1 X 2 = N . Prentice Hall.1) r ^(k)e.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. Slide L2–5 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. even for large N . ( )g ^ ( ) . Intuitive explanation: r(k) . 1997 Slide L2–6 . jk =0 there are “so many” that when summed in ! . Moses. Thus. ^p(!) and ^c(!) have poor performance. Prentice Hall.1 are small. p! f^( ) . r(k) may be large for large jkj ^ Even if the errors r k r k Nj. Stoica and R. the PSD error is large. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P.
i!k k=.(N .1) N .1) 1 = wB (k)r(k)e.1 jkj r(k)e. or triangular. Stoica and R. N k=.i!k = 1.1 X wB (k) = 8 < : = Thus. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1 jkj N Bartlett. ) d Z Ideally: WB (!) = Dirac impulse (!). jNj jkj N . ( )WB (! .i!k r k=. Prentice Hall. n o 0 k 1 .(N . window E ^p(!) = 21 . 1997 .Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.1 n o n o X ! X N .
Stoica and R. WB 1=N . 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 .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). (!) may differ quite a bit from (!). 1997 . Prentice Hall. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 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 . 1997 Slide L2–9 .Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Stoica and R.
Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. severe bias As N . 1997 Slide L2–10 . Moses. so ! is asymptotically unbiased. Stoica and R. Prentice Hall. WB ! !.
Prentice Hall. (!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 . Stoica and R. dev = φ(ω) too  Resolvability properties depend on both bias and variance.Periodogram Variance As N !1 E ^p(!1) . (!1) ^p(!2) . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
1997 Slide L2–12 . 1 Direct computation of O N 2 ﬂops ( ) . Prentice Hall. Moses.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!t 2 k and W = e.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.i 2 . N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N .
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 = .i2 =N . Prentice Hall. 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . 1997 . y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Slide L2–13 t=1 ~ ~ f y(t) . ~ 4 = 0 2 4 : : : N . Moses.
Prentice Hall.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. 2k + 2c ck = 2 k. Moses. 1997 Slide L2–14 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus.
1997 Slide L2–15 .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.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 . Stoica and R.1 N k=0 sampled.
Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–1 . Stoica and R. Prentice Hall. Moses.
BlackmanTukey Method Basic Idea: Weighted correlogram. ^( ) jj ^BT (!) = M .(M . Stoica and R.1 X k=. Prentice Hall.1) w(k)^(k)e. with small weight applied to covariances r k with “large” k . Moses.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–2 .
)d 2 . 1997 . con't ^BT (!) = 1 ^p( )W (! . Moses. Stoica and R. Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.BlackmanTukey Method.
0 Z  {z } If W (!) 0 (. W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . Prentice Hall. 1997 Slide L3–4 . )d 2 . Stoica and R.1 X . Moses.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! .1) Ne = k=.
con't e = 1=Ne = 0(1=M ) is the BT resolution threshold.Window Design. Prentice Hall. bias decreases and variance increases. once M is given. 1997 Slide L3–5 . Once M is given. Ne (and hence ﬁxed. As M increases. ) Choose M as a tradeoff between variance and bias. Moses. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Stoica and R. 1997 Slide L3–6 . Moses. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P.Window Examples Triangular Window. Prentice Hall.
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
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 . Prentice Hall. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N .J X Lecture notes to accompany Introduction to Spectral Analysis by P.Daniell Method By a previous result. Moses. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. Stoica and R. for N 1. 1997 Slide L3–10 .
Daniell Method. Then. Stoica and R. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–11 . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. ^D(!) ' 1 ^p(!)d! 2 . Moses. for N 1. Prentice Hall.
Moses. Daniell Periodogram – Approximate interpretation: spectral window. Stoica and R. more general for Welch). Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. BT periodogram – Local smoothing/averaging of spectral window. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values.Summary of Periodogram Methods Unwindowed periodogram – reasonable bias – unacceptable variance Modiﬁed periodograms – Attempt to reduce the variance at the expense of (slightly) increasing the bias. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. Prentice Hall. ^ () – Implemented by averaging subsample periodograms.
Stoica and R. 1997 Slide L4–1 .Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. Moses.i! . Prentice Hall.i!k (!) is a rational function in e.θ) Estimate parameters in φ(ω. 1997 Slide L4–2 ( ) . ! can approximate arbitrarily well any continuous PSD. P By Weierstrass theorem.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.θ) ^ θ Estimate PSD ^ ^ =φ(ω.i!k (!) = P jkj n k e. provided m and n are chosen sufﬁciently large. 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. Stoica and R.
and ARMA Models By Spectral Factorization theorem. Stoica and R..m and.n B (z) = 1 + b1z. MA. Moses. 1997 .g. e. A(! ) = A(z )jz =ei! Signal Modeling Interpretation: e(t) e (! ) = 2  B (q) A(q) white noise B (!) 2 2 A(!) ltered white noise y(t)y (! ) = ARMA: AR: MA: A(q)y(t) = B (q)e(t) A(q)y(t) = e(t) y(t) = B (q)e(t) Slide L4–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.1 + + anz.1 + + bmz.AR.
j )y (t . Prentice Hall.k = j =0 = 0 for k > m B (q) = 1 h q.ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. i) = m j =0 bj E fe(t . j ) (b0 = 1) Multiply by y (t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Stoica and R. i) = X m j =0 bj e(t . 1997 Slide L4–4 . k) and take E f g to give: X r (k ) + X 2 m bj hj . Moses.
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.1) . . . .AR Signals: YuleWalker Equations AR: m = 0. 1997 Slide L4–5 . 2 1 a1 = 0 . r(1) r(0) . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. .1) : : : r(. an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. Moses. . . r (. .
1) . . ^(. Moses. .AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. . Prentice Hall. . r ^(1) r(0) ^ ^. .n) 1 r r ^2 .1) : : : ^(. 1997 Slide L4–6 . r .1 = 0 a . 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. . Stoica and R.
. .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . n)]T . Moses. Stoica and R. . 1997 Slide L4–7 . Prentice Hall. 1) : : : y (t . 1) y(N . y(N . . i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . Find i=1 aiy(t .(Y Y ). 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . n) . 1) y(n + 1) y(n) . 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 . ^ = . .
0 . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . Prentice Hall. {z . . .Levinson–Durbin Algorithm Fast. .1 . Moses. n .1 1 . . 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k). Stoica and R.. orderrecursive solution to YW equations 2 6 6 6 4  0 ..n .. ... 1997 Slide L4–8 . 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. .
con't Relevant Properties of R: Rx = y $ Rx = y. Moses. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 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. Prentice Hall.LevinsonDurbin Alg. . Stoica and R. 1997 Slide L4–9 . 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 .
2 kn = . Stoica and R. 1997 . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 .LevinsonDurbin Alg. con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. jknj2) 2 2 n " n # " ~n 1 # Computation count: k ﬂops for the step k 2 ) n2 ﬂops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution.
m X Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) = jB(!)j k=. Moses. Prentice Hall.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . 1) + + bme(t . r(k) = 0 for jkj > m and 2 2 = m r(k)e. 1997 Slide L4–11 . m) Thus. Stoica and R.
^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Stoica and R.m ^BT (!) with a rectangular lag window of 2m + 1. Lecture notes to accompany Introduction to Spectral Analysis by P. with AR model order n . Moses. 1997 Slide L4–12 .MA Spectrum Estimation Two main ways to Estimate (! ): 1. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. Prentice Hall.i!k k=. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.
j ) Lecture notes to accompany Introduction to Spectral Analysis by P. k)] g = X n X n j =0 p=0 aj ap r(k + p . A(q)y(t) = B (q)e(t) B (!) 2 = m=. Moses. 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. Prentice Hall. 1997 Slide L4–13 .m k e.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).
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. Prentice Hall. Moses. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai bj A(!) nonlinear estimation problem. Estimate fai r(k)g in (!) = P m .i!k k=.
1) + 2y(t . for some large K e(t) ' y(t) + 1y(t . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. K ) 1a) Estimate the coefﬁcients modelling techniques. 1997 Slide L4–15 . Stoica and R. 1) + e and its variance + ^K y(t .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 1) + + K y(t . K ) ^2 = N 1 j^(t)j2 e N . Prentice Hall. f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . Moses. 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate.
y(t . 1997 Slide L4–16 . 1) : : : . 1) : : : ^(t . Prentice Hall. n) e ^(t . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P.y(t . ^(t) ' . Moses. e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. con't fe(t)g by ^(t) in the ARMA equation. Stoica and R.TwoStage LeastSquares Method.
n + 1) r(m . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P.Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k .. r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. . . .. fast Levinsontype algorithms exist for obtaining ai . 1997 Slide L4–17 . . : : : r(m . Stoica and R.6 4 Replace fr(k)g by f^(k)g and solve for faig. = m + 1 ::: m + M a1 an . 1) : : : r(m . . = f^ g Y W system of equations. . Moses. n + M ) . . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . . 5 . r f^ g . # 2 = r(m + M . least f^ g Note: For narrowband ARMA signals. n + 2) . If M > n overdetermined squares solution for ai . Prentice Hall.
Moses. Prentice Hall. 1997 Slide L4–18 . 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.
Stoica and R. 1997 Slide L5–1 . Moses.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Stoica and R. 1997 . Prentice Hall.Line Spectra Many applications have signals with (near) sinusoidal components. Moses. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 . Examples: communications radar. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P.
] (prevents model ambiguities) f'k g = independent rv's. uniformly distributed on . Moses. Stoica and R. 1997 . superimposed in white noise of k 2. 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. 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 .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 .
Moses. r(k) = E fy(t)y (t . k) = 2 ei!pk p j p n o Hence.Covariance Function and PSD Note that: E E n i'p e. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . e E xp(t)xj (t .i'j o = 1.i'j o e Z n 1 i' d' 2 = 0. Stoica and R.i'j o = E nei'p o E ne. 1997 . Prentice Hall. for p 6= j =2 . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. for p = j e i'p e.
Prentice Hall. 1997 Slide L5–5 .Parameter Estimation Estimate either: f!k k 'k gn=1 k 2 (Signal Model) f!k 2gn=1 2 k k Once (PSD Model) ^ Major Estimation Problem: f!k g f!kg are determined: ^ X f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p p=1 OR: Both k and 'k can be derived by a least squares method from f^ g f^ g X y(t) = with n k= k=1 k ei'k . Moses. Stoica and R. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L5–6 . . Prentice Hall.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . . Stoica and R. Moses. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. .
1B Y ] B B] . (B B). Prentice Hall. B k2 = .Nonlinear Least Squares (NLS) Method. Y B(B B). Moses. con't Then: F = (Y . B ) = kY . 1997 Slide L5–7 . B ) (Y . Stoica and R. (B B).1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P.1B Y !=^ ! and ! = arg max Y B (B B ).1B Y This gives: ^ = (B B).1B Y ] +Y Y .
1997 Slide L5–8 .5. ! Difﬁcult Implementation: The NLS cost function F is multimodal. Prentice Hall. Stoica and R. 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. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
f!kgn=1. Prentice Hall. along with L .HighOrder YuleWalker Method. Moses. Stoica and R. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. 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.
r(L + M . 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 = . Prentice Hall. .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . Moses. Stoica and R. 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. . . . r(L + 2) . . 1997 Slide L5–13 .
Stoica and R.V .1U Important property: The additional (L . The MinimumNorm solution is b = . y = . n) spurious zeros of B (q ) are located strictly inside the unit circle. Prentice Hall.HighOrder and Overdetermined YW Equations. Lecture notes to accompany Introduction to Spectral Analysis by P. if the MinimumNorm solution b is used. Moses. (U V )b = . 1997 Slide L5–14 . diagonal and nonsingular Thus. con't Fact: SVD of rank : ( )=n =U V U = (M n) with U U = In V = (n L) with V V = In = (n n).
Prentice Hall.V ^ . Compute ^ = . SVD of .1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. Stoica and R. V from the Let U . f^ g When the SNR is low. this approach may give spurious frequency estimates when L > n. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. this is the price paid for increased accuracy when L > n. 1997 Slide L5–15 . r . . Lecture notes to accompany Introduction to Spectral Analysis by P.HOYW Equations. V be deﬁned similarly to U . Moses.
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–1 . Prentice Hall. Moses. Stoica and R.
1997 Slide L6–2 . Moses.. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .i(m.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . . Prentice Hall.i! : : : e. 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. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .The Covariance Matrix Equation Let: a(!) = 1 e. m + 1) . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P..
1997 Slide L6–3 .n] (m (m . Stoica and R.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm..Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm. Prentice Hall. Moses. 2 R = S G] 6 4 1 3 " . n)) Thus.. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.
=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 . = = nonsingular 0 n.. Prentice Hall. 1997 . Stoica and R. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 .1) = AC S = A(PA S ( ) = rank(A) = n). Moses. ... since S G j j 6= 0 4 . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.Eigendecomposition of R and Its Properties. Therefore. 2 .
. 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. Stoica and R. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. Moses. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. 1997 Slide L6–5 .MUSIC Method a (!1) . Prentice Hall.
a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. a(z) = 1 z. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.1 : : : z. Prentice Hall.(m. Here.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 . 1997 Slide L6–6 .1)GG a(z) = 0 that are closest to the unit circle.
Stoica and R. ) 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). Moses. If: =n+1 m=n+1 Then: ^ g G = ^1. 1997 Slide L6–7 .1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Stoica and R. Uses m n (as in MUSIC). Moses. 1997 Slide L6–8 . g # Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. R( ) Let " 1 = the vector in R(G). but only one vector in G (as in Pisarenko). that has minimum Euclidean norm. with ﬁrst element equal ^ ^ to one. and reduce risk of false frequency estimates.MinNorm Method Goals: Reduce computational burden.
1997 Slide L6–9 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 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. Stoica and R.MinNorm Method.1) 1 ^ g " # that are closest to the unit circle.
S(S S ).) ^^ I=S S= Multiplying the above equation by gives: (1 . k k2) = (S S ) ) (S S ). Prentice Hall.1 g + S S . Moses. k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P.1 exists iff = k k2 6= 1 (This holds. 1997 Slide L6–10 . for N 1.1 = =(1 .Let S ^= S g1 . Stoica and R. k k2) ) ^ = .1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .S =(1 . (S S ). g " # MinNorm solution: As: ^ = . at least.
D= 0 e. 1997 Slide L6–11 . Stoica and R.1DC {z } So has the same eigenvalues as D . determined as is uniquely = (S1S1).. where e.1 0]S S2 = 0 Im.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.1 0]A A2 = 0 Im.1]A Then A2 Also.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.i!n S1 = Im. Then S2 = A2C = A1DC = S1 C .ESPRIT Method Let A1 = Im. Moses.. Prentice Hall.i!1 0 . let = A1D.
then S1 and S2 . 1997 Slide L6–12 . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Stoica and R. ﬁnd S . Moses. Prentice Hall.ESPRIT Implementation From the eigendecomposition of R.1S1S2 ^^ ^^ f!kgn=1 = . arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Prentice Hall. Stoica and R. 1997 .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. Stoica and R.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L7–1 .
Moses. !+ ] N >1 1 2 is more general than 1. (!) by a 2. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–2 .Basic Ideas Two main PSD estimation approaches: 1. Nonparametric Approach: Implicitly smooth ! !=. Prentice Hall. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Stoica and R. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. but 2 requires to ensure that the number of estimated values = = ) is < N . Parametric Approach: Parameterize ﬁnitedimensional model.
are conﬂicting. 1997 .Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . as well as (b) and (c). 2 ! + 2 ] Note that assumptions (a) and (b). c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Prentice Hall. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . Moses. !c @Q Q ! . jH ( )j2 ( )d = ' 21 !+ !. Stoica and R.
k) 2 ! .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . Stoica and R. 1 k=0 X 1 ei!k k = 0 : : : N . Prentice Hall.!) . Moses. 1 H (!) = hk e ! N ei(~.t) t=1 X X = N where ( X 1 k=0 hk y(N .Filter Bank Interpretation of the Periodogram 1 N y(t)e.!) . 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k = 1 eiN (~. 1997 .
for N = 50. and: narrow ﬁlter passband. power calculation from only 1 sample of ﬁlter output. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. con't jH (!)j as a function of (~ .Filter Bank Interpretation of the Periodogram. 1997 Slide L7–5 . !). ! 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. Moses.
Each ﬁlter covers a small band centered on ! . Both approaches compromise bias for variance. Moses. Stoica and R. Use several bandpass ﬁlters on the whole sample. and bandpass ﬁlter each subsample. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. This “multiwindow approach” is similar to the Daniell method. Lecture notes to accompany Introduction to Spectral Analysis by P. ~ provides several samples for power calculation. Split the available sample. more data points for the power calculation stage. Prentice Hall. 2.Possible Improvements to the Filter Bank Approach 1. This approach leads to Bartlett and Welch methods. 1997 Slide L7–6 .
i! : : : e.im! ]T hk e.Capon Method Idea: Datadependent bandpass ﬁlter design. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e. k) 2 6 4  . y(t . 1997 Slide L7–7 . yF (t) = X m k=0  hk y(t . Moses.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. = h0 h1 : : : hm] .
1a(!) which should be the power of y (t) in a passband centered on ! . Moses.1a=a R. 1997 Slide L7–8 . con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R. Prentice Hall.Capon Method.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. Stoica and 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.
. Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. bias decreases and variance increases. 1997 Slide L7–9 . Capon uses one bandpass ﬁlter only.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. Prentice Hall. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap.
Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . Prentice Hall.i!k ^ k=. Moses.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. jkj ^BT (!) = r(k)e.i!(t.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .m m + 1 1 m m ^(t . s)e. 1997 Slide L7–10 . Stoica and R. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.
AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). Moses. C ! generally has less statistical variability than the AR PSD estimator. C ! generally has worse resolution and bias properties than the AR method. Stoica and R. 1997 Slide L7–11 . Due to the loworder AR terms in the average. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Stoica and R. Prentice Hall. Moses. 1997 Slide L8–1 .Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P.
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. seismometers Applications: Radar. .@ . . Sensor 1 @. @. sonar. seismology.@ .R . mechanical Receiving sensors: Hydrophones. Moses. 1997 Slide L8–2 .. @. . Emitted energy: Acoustic. @.. electromagnetic. Prentice Hall. @.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. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. v Source n @. . @.
Prentice Hall. the array is calibrated. The number of sources n is known. 1997 Slide L8–3 . AOA).Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Moses. Stoica and R.) Lecture notes to accompany Introduction to Spectral Analysis by P.
. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Moses. Prentice Hall. k) + ek (t) ( = convolution operator). background noise.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. thermal noise in sensor electronics. 1997 Slide L8–4 .. at the “ﬁrst” sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k “noise” at the kth sensor (e. Then the output of sensor k is yk (t) = hk (t) x(t . Stoica and R.g. Basic Problem: Estimate the time delays known but x t unknown. Lecture notes to accompany Introduction to Spectral Analysis by P. etc.g.
Moses.Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . k ) ' (t) cos !ct + '(t) . Stoica and R. !c k ] hk (t) x(t . k) ' (t) '(t . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . 1997 . k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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) .
i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i!ct to obtain (t)ei (t) lowpass highpass Hence. Prentice Hall. 1997 Slide L8–6 or .i!c k + ek (t) where s(t) is the complex envelope of x(t).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. Stoica and R.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.!ct = (t)f ei (t) + e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e. Moses.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P.
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 . Prentice Hall. Stoica and R. Moses.
1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i(m. Stoica and R. 1997 .i!s : : : 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. Moses.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Prentice Hall.
Stoica and R. Moses. Prentice Hall. 1997 Slide L9–1 .Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–2 . Stoica and R.
Moses.1] y(t) = u(t) : : : u(t .1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . Lecture notes to accompany Introduction to Spectral Analysis by P.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. m + 1)]T If u m.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . k) = h y(t) k=0 h = ho : : : hm.i(m. 1997 Slide L9–3 . Prentice Hall. Stoica and R.i! : : : e.
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. Prentice Hall.i!c 2 : : : e.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. 1997 Slide L9–4 . 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. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
B .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q. 1997 Slide L9–5 .1 ?  1 . Moses. Prentice Hall.? B P C B C B B B .B . Stoica and R. C C B C B C B C B C B A @ .i! C @ h a(!)]u(t) R @ C . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.  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 . s qq h  ? 1 ?  m..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.i! Be 2 B !! B B B B . ! hm.i m.1 q ..@ 0 B 1 C h @@ C B B e. B B @ .
Moses. Stoica and R. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Here.Spatial Filtering. Prentice Hall. 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. 1997 Slide L9–6 . h a 0 .
Stoica and R. Prentice Hall. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). 1997 Slide L9–7 . Moses. by sweeping the ﬁlter through the DOA range of interest (“goniometer”).Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. To locate an emitter in the ﬁeld of view. Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. 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. n o n o The (dominant) peaks of h DOAs of the sources. Prentice Hall. Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest. Stoica and R. 1997 .Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P.
Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. Stoica and R. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P. y t can be considered as impinging on the array from all DOAs. Moses. Prentice Hall. 1997 Slide L9–9 .
but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1 = 1. 1997 .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 . Moses. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Resolution Threshold: inf j k . Prentice Hall.
Stoica and 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. Prentice Hall.1a( )=a ( )R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.1a( ): Performance: Slightly superior to Beamforming. Moses. 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. 1997 Slide L9–11 . Lecture notes to accompany Introduction to Spectral Analysis by P.
YW. Moses. MUSIC. for DOA estimation. almost without modiﬁcation. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–12 .Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular. MINNORM and ESPRIT methods of frequency estimation can be used. Prentice Hall. Stoica and R. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS.
A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . Stoica and R.1A y(t) t = 1 : : : N s X Then 1 N k I .1A ]Rg X f kg For N .1A ]Rg ^ Thus. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. A(A A). this is precisely the form of the NLS method of frequency estimation.1A ]y(t) = N t=1 ^ = trf I . f ^k g = arg max trf A(A A). A(A A). 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). Prentice Hall.Nonlinear Least Squares Method 1 N ky(t) . 1997 Slide L9–13 =1 .
Moses. Stoica and R. Prentice Hall.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. 1997 Slide L9–14 . Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. = U1 U2 ] 0 n n 0 V1 g n . Prentice Hall.) = n. and the SVD of .n 0 V2 g L n M .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 " # " # (. 1997 Slide L9–15 . is .n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L9–16 . using 1 N y(t)~ (t) ^ . Stoica and R. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. Prentice Hall. Moses.=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).YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ).
1997 Slide L9–17 . Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. that is. Prentice Hall.
1997 Slide L9–18 ( ) = d sin( )=c .ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.. D= 0 e. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c ( 1) 0 .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. Prentice Hall. where e.. 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. Stoica and R.
Prentice Hall. Stoica and R.ESPRIT Method. 1997 Slide L9–19 .1 0]A = .1 .1 A1 = Im. 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. so m m and .1]A Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1 A2 = 0 Im. the two subarrays are often the ﬁrst m and last m array elements.
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