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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
1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=. Prentice Hall.1 = t= If: discretetime deterministic data sequence X 1 t=.1 y(t)e. Stoica and R.Deterministic Signals fy(t)g1 . 1997 Slide L1–4 .i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Stoica and R. 1997 . Prentice Hall.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=. S (!)d! t=.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . Moses.1 X (k)e. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P.1 y(t)y (t .i!k (k) = 1 t=.
Moses.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Stoica and R. Prentice Hall. 1997 Slide L1–6 .
Stoica and R. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .1 r(k)e. (!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–7 .First Deﬁnition of PSD (! ) = where r X 1 k=.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .k) r(0) jr(k)j Z Note that r(k) = 21 . Moses. Prentice Hall. k)g r(k) = r (.
1997 Slide L1–8 .i!t Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. t=1 y(t)e. Moses.Second Deﬁnition of PSD 1 N 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. Stoica and R.
Moses. P2: ] () f 2 . Then: (! ) = (. Stoica and R. we can restrict attention to !2 .1=2 1=2] (!) 0 (t) is real.! ) Otherwise: (! ) 6= (. 1997 Slide L1–9 .Properties of the PSD P1: (!) = (! + 2 ) for all !.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Thus.
Stoica and R.Transfer of PSD Through Linear Systems System Function: where q . 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .1y(t) = y(t . k) hk e. Prentice Hall.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.k = unit delay operator: q. 1997 Slide L1–10 .1 H (q) = X 1 k=0 hk q.
Prentice Hall. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–11 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Stoica and R.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Moses.
Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R. 1997 Slide L2–1 .
Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. Prentice Hall. Stoica and R. 1997 Slide L2–2 . Moses.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. Lecture notes to accompany Introduction to Spectral Analysis by P.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).
1997 Slide L2–3 .Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.1 N .i!k (k)” by “^(k)”: r r ^(k)e. Prentice Hall. Moses.1 X r(k)e.1) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!k ^c(!) = k=.(N .
Prentice Hall. Stoica and R. 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 .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. k) k 0 ^ r(k) = N . 1997 Slide L2–4 . Moses. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (.
1 X = ^c(!) k=. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.1) r ^(k)e.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!).i!t N t=1 X 2 = N .(N . Prentice Hall. 1997 . Moses. Stoica and R. N ^p(!) = 1 y(t)e.
Prentice Hall. Stoica and R. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. Moses.Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance. ^p(!) and ^c(!) have poor performance. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. even for large N . the PSD error is large.1 are small. ( )g ^ ( ) . p! f^( ) . Intuitive explanation: r(k) . 1997 Slide L2–6 . jk =0 there are “so many” that when summed in ! . Thus.
n o 0 k 1 .1 jkj r(k)e.i!k k=. N k=.1) 1 = wB (k)r(k)e. jNj jkj N . Stoica and R.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. ) d Z Ideally: WB (!) = Dirac impulse (!).i!k r k=.i!k = 1. Moses. Prentice Hall. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. ( )WB (! .1 n o n o X ! X N . 1 jkj N Bartlett.(N . window E ^p(!) = 21 .1) N . 1997 .1 X wB (k) = 8 < : = Thus.(N . or triangular.
(!) may differ quite a bit from (!). Moses. for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . Prentice Hall. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). WB 1=N . 1997 .
^ 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. 1997 Slide L2–9 . 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 . Moses.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable.
Prentice Hall. severe bias As N . !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. WB ! !. Stoica and R. Moses. so ! is asymptotically unbiased.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . 1997 Slide L2–10 .
(!1) ^p(!2) . Moses. dev = φ(ω) too  Resolvability properties depend on both bias and variance. (!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.Periodogram Variance As N !1 E ^p(!1) . Prentice Hall. Stoica and R. 1997 Slide L2–11 . Lecture notes to accompany Introduction to Spectral Analysis by P.
1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.i 2 . 1997 Slide L2–12 .i!t 2 k and W = e. Prentice Hall. N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N . 1 Direct computation of O N 2 ﬂops ( ) .
Radix–2 Fast Fourier Transform (FFT) N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = . Slide L2–13 t=1 ~ ~ f y(t) . Prentice Hall.i2 =N . ~ 4 = 0 2 4 : : : N . 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. 1997 . 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Moses. Stoica and R. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. 2k + 2c ck = 2 k. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 1997 Slide L2–14 .
Prentice Hall. N=8 ω 2 k N . Stoica and R.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 .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–15 .1 N k=0 sampled.
Prentice Hall. 1997 Slide L3–1 .Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.
1 X k=. Prentice Hall. Stoica and R.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P.BlackmanTukey Method Basic Idea: Weighted correlogram. 1997 Slide L3–2 . with small weight applied to covariances r k with “large” k . ^( ) jj ^BT (!) = M .1) w(k)^(k)e. Moses.(M .
Moses. con't ^BT (!) = 1 ^p( )W (! . 1997 . Prentice Hall. Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. )d 2 .BlackmanTukey Method. Stoica and R.
1 X . )d 2 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 0 Z  {z } If W (!) 0 (. 1997 Slide L3–4 .1) Ne = k=. 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 . Stoica and R.
once M is given. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously.Window Design. Moses. bias decreases and variance increases. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–5 . ) Choose M as a tradeoff between variance and bias. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. Once M is given. Prentice Hall. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). As M increases. Stoica and R. Ne (and hence ﬁxed.
Moses. 1997 Slide L3–6 . M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window.Window Examples Triangular Window.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Daniell Method By a previous result. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. Stoica and R. for N 1. Moses.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J . Prentice Hall.J X Lecture notes to accompany Introduction to Spectral Analysis by P. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . 1997 Slide L3–10 .
Moses. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. ^D(!) ' 1 ^p(!)d! 2 . Prentice Hall. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Then. for N 1. 1997 Slide L3–11 .Daniell Method.
1997 . ^ () – Implemented by averaging subsample periodograms. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.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. more general for Welch). Daniell Periodogram – Approximate interpretation: spectral window. BT periodogram – Local smoothing/averaging of spectral window. Moses. Stoica and R. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett.
Moses. Prentice Hall. 1997 Slide L4–1 . Stoica and R.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P.
Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. Stoica and R. Prentice Hall. Moses. P By Weierstrass theorem.θ) ^ θ Estimate PSD ^ ^ =φ(ω.i! . ! can approximate arbitrarily well any continuous PSD.i!k (!) = P jkj n k e. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. provided m and n are chosen sufﬁciently large. 1997 Slide L4–2 ( ) .i!k (!) is a rational function in e. Note.θ) Estimate parameters in φ(ω.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.
e.. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. Prentice Hall. MA.g.m and. Moses. Stoica and R.1 + + anz.AR. and ARMA Models By Spectral Factorization theorem.n B (z) = 1 + b1z. 1997 .1 + + bmz. 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.
i) = m j =0 bj E fe(t . k) and take E f g to give: X r (k ) + X 2 m bj hj .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . j )y (t . Moses. i) = X m j =0 bj e(t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . Prentice Hall. j ) (b0 = 1) Multiply by y (t .k = j =0 = 0 for k > m B (q) = 1 h q. k)g Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–4 . Stoica and R.
. . . Prentice Hall.1) : : : r(. Lecture notes to accompany Introduction to Spectral Analysis by P.n) . r(1) r(0) . Moses. Stoica and R.AR Signals: YuleWalker Equations AR: m = 0.1) . 2 1 a1 = 0 . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. . r (. . . 1997 Slide L4–5 . .
1) . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. r . . . r ^(1) r(0) ^ ^.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) ^(. 1997 Slide L4–6 .n) 1 r r ^2 . Stoica and R. ^(. Moses.1) : : : ^(. . .1 = 0 a . Prentice Hall. . .
y(N . Prentice Hall. n)]T . . . n) .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . 1997 Slide L4–7 . 1) y(N . 3 7 5 Y =4 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 ) . . ^ = . Moses. 1) : : : y (t . Stoica and R. 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 1) y(n + 1) y(n) . Find i=1 aiy(t .(Y Y ).
Moses.. {z .n ... 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). . orderrecursive solution to YW equations 2 6 6 6 4  0 .. . . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . n .1 .. . . Stoica and R. Prentice Hall.1 1 . 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. . 1997 Slide L4–8 .0 .Levinson–Durbin Algorithm Fast.
where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. . 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . 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. 1997 Slide L4–9 . Stoica and R. Prentice Hall.LevinsonDurbin Alg. Moses. con't Relevant Properties of R: Rx = y $ Rx = y.
con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. Moses. Stoica and R.LevinsonDurbin Alg. Prentice Hall. 1997 . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Lecture notes to accompany Introduction to Spectral Analysis by P. 2 kn = . jknj2) 2 2 n " n # " ~n 1 # Computation count: k ﬂops for the step k 2 ) n2 ﬂops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution.
Stoica and R. r(k) = 0 for jkj > m and 2 2 = m r(k)e. 1) + + bme(t .i!k (!) = jB(!)j k=. Moses. 1997 Slide L4–11 . Prentice Hall.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t .m X Lecture notes to accompany Introduction to Spectral Analysis by P. m) Thus.
m ^BT (!) with a rectangular lag window of 2m + 1. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–12 . with AR model order n . Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below.i!k k=. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. Prentice Hall.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Stoica and R.
k)] g = X n X n j =0 p=0 aj ap r(k + p . 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 . Moses. 1997 Slide L4–13 . Prentice Hall.m k e. Stoica and R.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). A(q)y(t) = B (q)e(t) B (!) 2 = m=.
Moses.i!k k=. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. Stoica and R. Prentice Hall. 1997 Slide L4–14 . ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai r(k)g in (!) = P m . Estimate fai bj A(!) nonlinear estimation problem.
f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . 1) + + K y(t . Stoica and R. 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 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) + 2y(t . K ) ^2 = N 1 j^(t)j2 e N . 1997 Slide L4–15 . Prentice Hall. for some large K e(t) ' y(t) + 1y(t . Moses. K ) 1a) Estimate the coefﬁcients modelling techniques.
1) : : : ^(t . con't fe(t)g by ^(t) in the ARMA equation. y(t . Moses. 1) : : : . 1997 Slide L4–16 .y(t . n) e ^(t . ^(t) ' . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques.TwoStage LeastSquares Method. Prentice Hall. Stoica and R.
. = m + 1 ::: m + M a1 an . . n + 2) . . fast Levinsontype algorithms exist for obtaining ai . If M > n overdetermined squares solution for ai . Prentice Hall. Stoica and R.6 4 Replace fr(k)g by f^(k)g and solve for faig. . .. n + 1) r(m . 1997 Slide L4–17 . # 2 = r(m + M . . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. . Moses. least f^ g Note: For narrowband ARMA signals. = f^ g Y W system of equations.Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . 5 . n + M ) . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . . r f^ g .. the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : r(m . : : : r(m .
Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997 Slide L4–18 . Stoica and R.
Prentice Hall. 1997 Slide L5–1 . Stoica and R.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 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 .Line Spectra Many applications have signals with (near) sinusoidal components. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . Stoica and R. Prentice Hall. Examples: communications radar. Moses.
] (prevents model ambiguities) f'k g = independent rv's. Stoica and R. 1997 . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . Prentice Hall. ] (realistic and mathematically convenient) A3: e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0 (can be achieved by “slow” sampling) Slide L5–3 Lecture notes to accompany Introduction to Spectral Analysis by P. superimposed in white noise of k 2. Moses. uniformly distributed on .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 .
k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . Moses. 1997 . r(k) = E fy(t)y (t .i'j o = E nei'p o E ne. for p 6= j =2 . Prentice Hall. k) = 2 ei!pk p j p n o Hence. Stoica and R. for p = j e i'p e. e E xp(t)xj (t .i'j o e Z n 1 i' d' 2 = 0.Covariance Function and PSD Note that: E E n i'p e.i'j o = 1. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P.
^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.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 . Prentice Hall. Stoica and R. 1997 Slide L5–5 . Moses.
Moses. . 1997 Slide L5–6 . X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . Prentice Hall. . .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. B ) (Y . Moses.Nonlinear Least Squares (NLS) Method. Y B(B B). Prentice Hall.1B Y ] B B] .1B Y !=^ ! and ! = arg max Y B (B B ).1B Y ] +Y Y . B ) = kY . (B B). B k2 = . Stoica and R. (B B).1B Y This gives: ^ = (B B). con't Then: F = (Y . 1997 Slide L5–7 .
1997 Slide L5–8 .NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10. ! Difﬁcult Implementation: The NLS cost function F is multimodal. Prentice Hall. Stoica and R.5. it is difﬁcult to avoid convergence to local minima. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
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. 1997 Slide L5–12 . Prentice Hall. along with L . Stoica and R.HighOrder YuleWalker Method. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. Moses. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. 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 = .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . . . Prentice Hall. . r(L + M . r(L + 2) . 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. . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–13 . Stoica and R.
Moses. n) spurious zeros of B (q ) are located strictly inside the unit circle. (U V )b = . y = . 1997 Slide L5–14 . Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. The MinimumNorm solution is b = . Stoica and R. if the MinimumNorm solution b is used. con't Fact: SVD of rank : ( )=n =U V U = (M n) with U U = In V = (n L) with V V = In = (n n).1U Important property: The additional (L . diagonal and nonsingular Thus.HighOrder and Overdetermined YW Equations.V .
SVD of . .HOYW Equations.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. this is the price paid for increased accuracy when L > n. Compute ^ = . 1997 Slide L5–15 . f^ g When the SNR is low. r . V be deﬁned similarly to U . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. this approach may give spurious frequency estimates when L > n. V from the Let U . Moses.V ^ . Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. Prentice Hall.
Prentice Hall.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. 1997 Slide L6–1 .
Stoica and R. . m + 1) . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall...The Covariance Matrix Equation Let: a(!) = 1 e.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t .i! : : : e. 1997 Slide L6–2 . Moses. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . 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 .i(m. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .
n] (m (m . Prentice Hall.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. n)) Thus. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R... Moses. 1997 Slide L6–3 .Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm. 2 R = S G] 6 4 1 3 " .
. Stoica and R.1) = AC S = A(PA S ( ) = rank(A) = n). . 2 . since S G j j 6= 0 4 . = = nonsingular 0 n. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. Therefore. Prentice Hall... =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P.Eigendecomposition of R and Its Properties. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . 0 n 3 7 5 with C (since rank S . Moses. 1997 .
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. . 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. Moses. 1997 Slide L6–5 .MUSIC Method a (!1) . Stoica and R.
1997 Slide L6–6 .1)GG a(z) = 0 that are closest to the unit circle. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 . Lecture notes to accompany Introduction to Spectral Analysis by P. Here.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. a(z) = 1 z.1 : : : z.(m. Stoica and R. Prentice Hall. Moses.
Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). 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. Stoica and R. ) f!kgn=1 can be found from the roots of ^ k aT (z. Moses. Prentice Hall. 1997 Slide L6–7 .
Prentice Hall. and reduce risk of false frequency estimates. 1997 Slide L6–8 . Moses. R( ) Let " 1 = the vector in R(G). g # Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Uses m n (as in MUSIC). that has minimum Euclidean norm. with ﬁrst element equal ^ ^ to one. but only one vector in G (as in Pisarenko).MinNorm Method Goals: Reduce computational burden.
1997 Slide L6–9 . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1) 1 ^ g " # that are closest to the unit circle. Prentice Hall. Moses.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.
k k2) ) ^ = .) ^^ I=S S= Multiplying the above equation by gives: (1 .S =(1 .S(S S ).1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . at least. Stoica and R. Prentice Hall.1 g + S S .1 exists iff = k k2 6= 1 (This holds. g " # MinNorm solution: As: ^ = . for N 1. 1997 Slide L6–10 .1 = =(1 . (S S ). k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. k k2) = (S S ) ) (S S ). Moses.Let S ^= S g1 .
where e. Stoica and R. D= 0 e. let = A1D..1 0]S S2 = 0 Im. determined as is uniquely = (S1S1). Then S2 = A2C = A1DC = S1 C .i!n S1 = Im. Moses.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.1]A Then A2 Also.1 0]A A2 = 0 Im. 1997 Slide L6–11 .i!1 0 .. Prentice Hall.ESPRIT Method Let A1 = Im.1DC {z } So has the same eigenvalues as D .1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.
ESPRIT Implementation From the eigendecomposition of R. then S1 and S2 . Stoica and R. 1997 Slide L6–12 . arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P. ﬁnd S . Moses. ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1).1S1S2 ^^ ^^ f!kgn=1 = . Prentice Hall.
1997 . Prentice Hall. Moses. Stoica and R.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.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L7–1 . Prentice Hall.
Moses. Parametric Approach: Parameterize ﬁnitedimensional model. Lecture notes to accompany Introduction to Spectral Analysis by P. (!) by a 2. Stoica and R. Nonparametric Approach: Implicitly smooth ! !=. 1997 Slide L7–2 .Basic Ideas Two main PSD estimation approaches: 1. by assuming that ! is nearly constant over the bands f ( )g ( ) !. !+ ] N >1 1 2 is more general than 1. Prentice Hall. but 2 requires to ensure that the number of estimated values = = ) is < N . ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods.
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 (! ) . !c @Q Q ! . Prentice Hall. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . are conﬂicting. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. jH ( )j2 ( )d = ' 21 !+ !. 1997 . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . 2 ! + 2 ] Note that assumptions (a) and (b). as well as (b) and (c). Stoica and R. Moses.
!) .!) . 1 H (!) = hk e ! N ei(~.Filter Bank Interpretation of the Periodogram 1 N y(t)e.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .t) t=1 X X = N where ( X 1 k=0 hk y(N . 1 k=0 X 1 ei!k k = 0 : : : N . k) 2 ! . Stoica and R. Moses. 1997 . Prentice Hall.i!k = 1 eiN (~. 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. !). ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–5 . con't jH (!)j as a function of (~ . Prentice Hall. and: narrow ﬁlter passband.Filter Bank Interpretation of the Periodogram. for N = 50. power calculation from only 1 sample of ﬁlter output. Moses. ! 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.
Split the available sample. 2. This approach leads to Bartlett and Welch methods. 1997 Slide L7–6 . Both approaches compromise bias for variance. Stoica and R. Moses. ~ provides several samples for power calculation. and bandpass ﬁlter each subsample. Use several bandpass ﬁlters on the whole sample. Lecture notes to accompany Introduction to Spectral Analysis by P. This “multiwindow approach” is similar to the Daniell method.Possible Improvements to the Filter Bank Approach 1. Each ﬁlter covers a small band centered on ! . more data points for the power calculation stage. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Prentice Hall.
i! : : : e. Stoica and R. Moses. 1997 Slide L7–7 . k) 2 6 4  . = h0 h1 : : : hm] . 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.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.im! ]T hk e. Prentice Hall. yF (t) = X m k=0  hk y(t .Capon Method Idea: Datadependent bandpass ﬁlter design. y(t .
m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P.1a(!) which should be the power of y (t) in a passband centered on ! . con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.Capon Method. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .1a=a R. 1997 Slide L7–8 .1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. Moses. Stoica and R. Prentice Hall.
. 1997 Slide L7–9 . bias decreases and variance increases. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. Moses. Capon uses one bandpass ﬁlter only. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Stoica and R.
i!k ^ k=. Moses.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .m m + 1 1 m m ^(t . j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.i!(t. jkj ^BT (!) = r(k)e. Stoica and R.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . s)e.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L7–10 .
Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). 1997 Slide L7–11 . Due to the loworder AR terms in the average. C ! generally has less statistical variability than the AR PSD estimator. Moses. Prentice Hall. Stoica and R. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. C ! generally has worse resolution and bias properties than the AR method.
Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L8–1 . Moses.
@. 1997 Slide L8–2 .. @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . . Moses.@ . sonar. . Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. seismometers Applications: Radar.. 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. . Emitted energy: Acoustic. electromagnetic. Prentice Hall. @. . @. v Source n @.@ . communications. Sensor 1 @. mechanical Receiving sensors: Hydrophones. antennas. Stoica and R.. @.R . seismology.
Prentice Hall. Moses. Stoica and R.Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. 1997 Slide L8–3 .) Lecture notes to accompany Introduction to Spectral Analysis by P. AOA). the array is calibrated. The number of sources n is known. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.
Stoica and R.g. Moses.g. 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. Basic Problem: Estimate the time delays known but x t unknown.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Prentice Hall.. 1997 Slide L8–4 . Then the output of sensor k is yk (t) = hk (t) x(t . thermal noise in sensor electronics. background noise. etc. 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.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. k) + ek (t) ( = convolution operator).
the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k) ' (t) '(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . k ) ' jHk (!c)j (t)cos !ct + '(t) . Prentice Hall. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Stoica and R. !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . !c k ] hk (t) x(t . k ) ' (t) cos !ct + '(t) . Moses. !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence.
i!ct ~ = yk(t) cos(!ct) .i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.!ct = (t)f ei (t) + e. 1997 Slide L8–6 or .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.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e. Moses. 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. Prentice Hall. Stoica and R.i!ct to obtain (t)ei (t) lowpass highpass Hence. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c k + ek (t) where s(t) is the complex envelope of x(t).
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 . Moses. Prentice Hall. Stoica and R.
Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 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.i(m.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.i!s : : : e. 1997 . !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem.
Stoica and R. 1997 Slide L9–1 . Moses. Prentice Hall.Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P.
Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. 1997 Slide L9–2 . Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
1] y(t) = u(t) : : : u(t . Lecture notes to accompany Introduction to Spectral Analysis by P. k) = h y(t) k=0 h = ho : : : hm. Moses.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. 1997 Slide L9–3 . Prentice Hall.i(m.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . m + 1)]T If u m. Stoica and R.i! : : : e.
Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Lecture notes to accompany Introduction to Spectral Analysis by P. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Stoica and R. Prentice Hall.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.i!c 2 : : : e. 1997 Slide L9–4 . Moses.
B . 1997 Slide L9–5 .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.i! m  e {z a( ) aa m! point ( ) qq ( ) 1 C C C C C Cs(t) C C C C C A }  ? @ ? @ @ h  1 @ R @  P h a( )]s(t)  hm.B .i m. Stoica and R. Moses.1 q .. Cu(t) C B . B B @ . ? 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..1 ?  1 .i! Be 2 B !! B B B B .i! C @ h a(!)]u(t) R @ C . Prentice Hall.? B P C B C B B B . C C B C B C B C B C B A @ . s qq h  ? 1 ?  m.@ 0 B 1 C h @@ C B B e. ! hm.
Here. Stoica and R. h a 0 . con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Moses. 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.Spatial Filtering. 1997 Slide L9–6 . Prentice Hall.
Prentice Hall. Stoica and R. 1997 Slide L9–7 . hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). To locate an emitter in the ﬁeld of view.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. Lecture notes to accompany Introduction to Spectral Analysis by P. by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Moses.
1997 . Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest. n o n o The (dominant) peaks of h DOAs of the sources. Moses.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 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. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. Prentice Hall. 1997 Slide L9–9 . 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.
Stoica and R. 1 = 1. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. Prentice Hall. Resolution Threshold: inf j k . pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Moses. 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 .
Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.1a( ) E jyF (t)j2 = 1=a ( )R. Both Beamforming and Capon are nonparametric approaches. 1997 Slide L9–11 . They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Moses. Stoica and R.1a( ): Performance: Slightly superior to Beamforming. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1a( )=a ( )R.
1997 Slide L9–12 . Moses.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. Prentice Hall. MUSIC. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. almost without modiﬁcation. MINNORM and ESPRIT methods of frequency estimation can be used. YW. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. for DOA estimation.
1A ]Rg ^ Thus. this is precisely the form of the NLS method of frequency estimation.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . 1997 Slide L9–13 =1 . Stoica and R. Moses.1A y(t) t = 1 : : : N s X Then 1 N k I . 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). A(A A). Prentice Hall.Nonlinear Least Squares Method 1 N ky(t) .1A ]y(t) = N t=1 ^ = trf I . f ^k g = arg max trf A(A A). Lecture notes to accompany Introduction to Spectral Analysis by P. A(A A).1A ]Rg X f kg For N .
Stoica and R. 1997 Slide L9–14 .Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Prentice Hall. is .n 0 V2 g L n M .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 L9–15 .) = n. and the SVD of .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. Moses. = U1 U2 ] 0 n n 0 V1 g n .
Prentice Hall. (L 1).=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. using 1 N y(t)~ (t) ^ . is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. 1997 Slide L9–16 . Stoica and R.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ).
1997 Slide L9–17 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. that is. 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. Moses. Stoica and R.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem.
Stoica and R. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D. 1997 Slide L9–18 ( ) = d sin( )=c .. where e. Moses. Prentice Hall.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.i!c ( 1) 0 . D= 0 e.
Moses. Stoica and R. con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.1 0]A = .1]A Lecture notes to accompany Introduction to Spectral Analysis by P. so m m and .1 . 1997 Slide L9–19 . Prentice Hall.1 A2 = 0 Im.1 A1 = Im.ESPRIT Method. the two subarrays are often the ﬁrst m and last m array elements.
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