Basic Definitions and The Spectral Estimation Problem

Lecture 1

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

Slide L1–1

Informal Definition of Spectral Estimation

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

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

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

Slide L1–2

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

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

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

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

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

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

Second Definition of PSD 1 N y(t)e. 1997 Slide L1–8 . Prentice Hall. Moses.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. 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.

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

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

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

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

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

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

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

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

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

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

Stoica and R. WB 1=N . Prentice Hall. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . Moses.

Prentice Hall. ^ 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. 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. Moses.

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

(!1) ^p(!2) . Stoica and R. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. dev = φ(ω) too - Resolvability properties depend on both bias and variance.Periodogram Variance As N !1 E ^p(!1) . Moses. 1997 Slide L2–11 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

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

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

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

Stoica and R.1 N k=0 sampled. 1997 Slide L2–15 .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g | N {z } Goals: Apply a radix-2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . N=8 ω 2 k N .

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

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

con't ^BT (!) = 1 ^p( )W (! . 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 . 1997 . Prentice Hall.Blackman-Tukey Method. Stoica and R. Moses.

Prentice Hall. )d 2 . 1997 Slide L3–4 . 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: Time-Bandwidth Product M . Stoica and R.(M (0) w Z w (k ) = equiv time width 1 2 .1) Ne = k=.1 X . Moses. 0 Z | {z } If W (!) 0 (.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! .

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

Window Examples Triangular Window. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. 1997 Slide L3–6 .

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

Daniell Method By a previous result. Prentice Hall. 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 . k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. 1997 Slide L3–10 . for N 1. 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. Stoica and R.

Moses. for N 1. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. 1997 Slide L3–11 . Then.Daniell Method. ^D(!) ' 1 ^p(!)d! 2 . Prentice Hall. 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. Stoica and R.

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. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. ^ () – Implemented by averaging subsample periodograms. 1997 . more general for Welch). Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Stoica and R. Daniell Periodogram – Approximate interpretation: spectral window. Prentice Hall. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. BT periodogram – Local smoothing/averaging of spectral window. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

i!k (!) is a rational function in e.i! . provided m and n are chosen sufficiently large. ! can approximate arbitrarily well any continuous PSD.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. Note.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. Stoica and R.θ) ^ θ Estimate PSD ^ ^ =φ(ω.i!k (!) = P jkj n k e. 1997 Slide L4–2 ( ) . P By Weierstrass theorem. Moses.θ) Estimate parameters in φ(ω. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

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

Prentice Hall. Stoica and R. Moses. 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 . i) = X m j =0 bj e(t . j ) (b0 = 1) Multiply by y (t . i) = m j =0 bj E fe(t .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. 1997 Slide L4–4 .k = j =0 = 0 for k > m B (q) = 1 h q. j )y (t .

r(1) r(0) . . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. . . .AR Signals: Yule-Walker Equations AR: m = 0.1) : : : r(. Prentice Hall. 1997 Slide L4–5 . . Stoica and R. r (. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 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) . . 2 1 a1 = 0 .n) .

. r ^(1) r(0) ^ ^.n) 1 r r ^2 . Prentice Hall.AR Spectral Estimation: YW Method Yule-Walker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. 1997 Slide L4–6 . 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 . . . . Moses. . .1) . Stoica and R.1) : : : ^(.1 = 0 a .

.1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . . Moses. Find i=1 aiy(t .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . . Stoica and R. .(Y Y ). y(N . n) . 1) y(N . Prentice Hall. 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : y (t . 3 7 5 Y =4 y(n) y(n . 1) y(n + 1) y(n) . n)]T . 1997 Slide L4–7 . ^ = . . .

1 1 . {z . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 ..n . . Stoica and R.... order-recursive solution to YW equations 2 6 6 6 4 | 0 . . n . . 0 2 n 3 7 7 7 5 O(n3) flops = 1 : : : n: O(n4) flops Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 flops! =1 ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.1 . . 1997 Slide L4–8 . . 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).0 . . Moses. Prentice Hall.Levinson–Durbin Algorithm Fast..

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

2 kn = . Moses. 1997 . 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. Stoica and R. 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.Levinson-Durbin Alg. Prentice Hall. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

k)] g = E f A(q)y(t)] A(q)y(t . Prentice Hall. k)] g = X n X n j =0 p=0 aj ap r(k + p .i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Stoica and R. Moses. 1997 Slide L4–13 .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=.m k e. j ) Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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

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

Line Spectra Many applications have signals with (near) sinusoidal components. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 . 1997 . Moses. Examples: communications radar. Stoica and R. Prentice Hall. !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. Stoica and R.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . 1997 . uniformly distributed on . ] (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. Prentice Hall. 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 .

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

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 . ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L5–5 . Prentice Hall. Moses.

. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1 | y(t) . Prentice Hall. 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 . Stoica and R.

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

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

High-Order Yule-Walker Method Recall:

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

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

n

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

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

Let

B (q) = 1 +

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

L

Then B

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

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

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

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

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

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

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

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

1997 Slide L6–3 . Stoica and R.Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm.n] (m (m ... Moses. n)) Thus. 2 R = S G] 6 4 1 3 " . Prentice Hall.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.

1997 . Prentice Hall... Stoica and R. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.1) = AC S = A(PA S ( ) = rank(A) = n). . Therefore.. = = nonsingular 0 n. Moses. 2 . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 .Eigendecomposition of R and Its Properties. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. since S G j j 6= 0 4 . 0 n 3 7 5 with C (since rank S .

Moses. . 1997 Slide L6–5 . f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. 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.MUSIC Method a (!1) . Stoica and R.

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

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. Prentice Hall. 1997 Slide L6–7 . ) f!kgn=1 can be found from the roots of ^ k aT (z. Stoica and R. Moses.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.

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

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

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

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

ESPRIT Implementation From the eigendecomposition of R. find S . then S1 and S2 . Stoica and R. 1997 Slide L6–12 . Moses. Prentice Hall. arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P.1S1S2 ^^ ^^ f!kgn=1 = . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1).

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

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

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

jH ( )j2 ( )d = ' 21 !+ !. Stoica and R. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Z 6 ~ (! ) @ -! (b) Z !c ^FB (!) ' 1 2 (a) . are conflicting.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c -! Filtered Signal y (t) . 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. 1997 . as well as (b) and (c). Moses.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 -! .

1997 . 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 (~.!) .t) t=1 X X = N where ( X 1 k=0 hk y(N . Prentice Hall. 1 k=0 X 1 ei!k k = 0 : : : N .Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1 H (!) = hk e ! N ei(~.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . Moses.!) . Stoica and R. k) 2 ! .

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

Prentice Hall. more data points for the power calculation stage. Moses. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or filtering. Use several bandpass filters on the whole sample.Possible Improvements to the Filter Bank Approach 1. This “multiwindow approach” is similar to the Daniell method. 2. 1997 Slide L7–6 . and bandpass filter each subsample. Lecture notes to accompany Introduction to Spectral Analysis by P. Split the available sample. Stoica and R. This approach leads to Bartlett and Welch methods. ~ provides several samples for power calculation. Both approaches compromise bias for variance. Each filter covers a small band centered on ! .

i! : : : e. Stoica and R.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–7 . m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.im! ]T hk e. k) 2 6 4 | . y(t . = h0 h1 : : : hm] . Prentice Hall. yF (t) = X m k=0 | hk y(t . Moses.Capon Method Idea: Data-dependent bandpass filter design.

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

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

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

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

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

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

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

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

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

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

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

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

1

3 7 5

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

3 7 5

Then

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

()

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

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

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

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

-

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

Slide L8–8

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

fsk(t)gn=1 k

k

Linear sensors

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

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

Let

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

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

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

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

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

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

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

Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Moses. Prentice Hall. 1997 Slide L9–4 .i!c 2 : : : e.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.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Moses. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 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. 1997 . Stoica and R. n o n o The (dominant) peaks of h DOAs of the sources. and evaluate the powers of the filtered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. Prentice Hall.

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. y t can be considered as impinging on the array from all DOAs. Moses. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–9 .

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

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

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

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

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

is .Yule-Walker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ .) = n. Prentice Hall. Moses.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. and the SVD of . = U1 U2 ] 0 n n 0 V1 g n . Stoica and R. 1997 Slide L9–15 .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.

Prentice Hall. Stoica and R. using 1 N y(t)~ (t) ^ . 1997 Slide L9–16 . Moses.YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. (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.

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

Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. where e.i!c ( 1) 0 .ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. 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 . D= 0 e.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.. Moses. Stoica and R.

Stoica and R. Prentice Hall. the two subarrays are often the first m and last m array elements. Moses.ESPRIT Method.1 .1 A2 = 0 Im.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–19 . con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efficient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.1 A1 = Im. so m m and .1 0]A = .

Master your semester with Scribd & The New York Times

Special offer for students: Only $4.99/month.

Master your semester with Scribd & The New York Times

Cancel anytime.