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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
Moses. Stoica and R. Prentice Hall.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.1 = t= If: discretetime deterministic data sequence X 1 t=. 1997 Slide L1–4 .1 y(t)e.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.Deterministic Signals fy(t)g1 .
Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .1 X (k)e.1 y(t)y (t . k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. S (!)d! t=.i!k (k) = 1 t=. Prentice Hall. 1997 . Moses. Stoica and R.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.
1997 Slide L1–6 . Moses.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Prentice Hall. Stoica and R.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Prentice Hall.First Deﬁnition of PSD (! ) = where r X 1 k=. k)g r(k) = r (. Stoica and R.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . (!)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 . (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .1 r(k)e.k) r(0) jr(k)j Z Note that r(k) = 21 .
i!t Lecture notes to accompany Introduction to Spectral Analysis by P.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g. Prentice Hall. t=1 y(t)e. 1997 Slide L1–8 . Moses. Stoica and R.Second Deﬁnition of PSD 1 N y(t)e.
Properties of the PSD P1: (!) = (! + 2 ) for all !. Moses. Then: (! ) = (.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Thus.! ) Otherwise: (! ) 6= (.1=2 1=2] (!) 0 (t) is real. 1997 Slide L1–9 . we can restrict attention to !2 . Stoica and R. Prentice Hall. P2: ] () f 2 .
1997 Slide L1–10 . Prentice Hall.Transfer of PSD Through Linear Systems System Function: where q . k) hk e.k = unit delay operator: q.1 H (q) = X 1 k=0 hk q. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t . Stoica and R.1y(t) = y(t .i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Moses. Stoica and R. 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.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Prentice Hall.
Prentice Hall. Stoica and R.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–1 .
Moses. Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–2 .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.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.
1 N . Stoica and R. Prentice Hall.i!k (k)” by “^(k)”: r r ^(k)e.1 X r(k)e. Moses.i!k ^c(!) = k=.1) Lecture notes to accompany Introduction to Spectral Analysis by P.(N .Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. 1997 Slide L2–3 .
k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. k t=k+1 X Standard biased estimate: 1 N y(t)y (t . Stoica and R.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Moses. 1997 Slide L2–4 . Prentice Hall. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. k) k 0 ^ r(k) = N .
Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). 1997 .1 X = ^c(!) k=.(N .i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.i!t N t=1 X 2 = N . Moses. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. N ^p(!) = 1 y(t)e. Prentice Hall. Stoica and R.1) r ^(k)e.
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. ( )g ^ ( ) . Stoica and R.1 are small. Prentice Hall. Thus. even for large N . Intuitive explanation: r(k) . ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. jk =0 there are “so many” that when summed in ! . 1997 Slide L2–6 . p! f^( ) . the PSD error is large. ^p(!) and ^c(!) have poor performance.
Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. or triangular.1) N . Stoica and R.1 jkj r(k)e.i!k k=.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. jNj jkj N . Prentice Hall.i!k = 1. window E ^p(!) = 21 .1) 1 = wB (k)r(k)e.1 X wB (k) = 8 < : = Thus.i!k r k=.1 n o n o X ! X N . ( )WB (! . 1 jkj N Bartlett. N k=.(N . Moses. ) d Z Ideally: WB (!) = Dirac impulse (!). 1997 . n o 0 k 1 .(N .
(!) may differ quite a bit from (!). WB 1=N . Prentice Hall. Moses. for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). 1997 . Stoica and R. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. ^ 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. 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 .Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. 1997 Slide L2–9 . Moses.
severe bias As N .Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . so ! is asymptotically unbiased. WB ! !. Stoica and R. Prentice Hall. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–10 . Moses.
Stoica and R. (!1) ^p(!2) . dev = φ(ω) too  Resolvability properties depend on both bias and variance. Prentice Hall. Moses.Periodogram Variance As N !1 E ^p(!1) . (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. 1997 Slide L2–11 . Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R.i 2 .Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Moses.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . 1997 Slide L2–12 .i!t 2 k and W = e. 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 = . 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. Slide L2–13 t=1 ~ ~ f y(t) . 1997 . ~ 4 = 0 2 4 : : : N . Prentice Hall. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N .i2 =N . Moses.1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e.
Prentice Hall.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 2k + 2c ck = 2 k. 1997 Slide L2–14 . Stoica and R.
N=8 ω 2 k N . Prentice Hall.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.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 . Stoica and R. Moses.
Prentice Hall. 1997 Slide L3–1 . Stoica and R. Moses.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L3–2 .BlackmanTukey Method Basic Idea: Weighted correlogram. Stoica and R.1) w(k)^(k)e.1 X k=.(M . with small weight applied to covariances r k with “large” k . Moses. Prentice Hall.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P. ^( ) jj ^BT (!) = M .
Prentice Hall. )d 2 .BlackmanTukey Method. Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . Moses. Stoica and R. con't ^BT (!) = 1 ^p( )W (! .
1 X . Prentice Hall. Stoica and R. 1997 Slide L3–4 . Moses.(M (0) w Z w (k ) = equiv time width 1 2 . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. 0 Z  {z } If W (!) 0 (. )d 2 .1) Ne = k=.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! .
Once M is given. once M is given. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. ) Choose M as a tradeoff between variance and bias. bias decreases and variance increases.Window Design. 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. As M increases. Ne (and hence ﬁxed. 1997 Slide L3–5 . Stoica and R. Moses. Prentice Hall. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously.
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 . Moses. Stoica and R. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P.Window Examples Triangular Window. Prentice Hall.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
J X Lecture notes to accompany Introduction to Spectral Analysis by P. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.Daniell Method By a previous result. Moses. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . for N 1. 1997 Slide L3–10 .1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J . Stoica and R. Prentice Hall.
1997 Slide L3–11 . Prentice Hall. Then. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. for N 1. Stoica and R. ^D(!) ' 1 ^p(!)d! 2 . con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N .Daniell Method. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.
Daniell Periodogram – Approximate interpretation: spectral window. Stoica and R. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Prentice Hall. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. more general for Welch).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. BT periodogram – Local smoothing/averaging of spectral window. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. ^ () – Implemented by averaging subsample periodograms. 1997 .
Stoica and R. Prentice Hall.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L4–1 .
i!k (!) = P jkj n k e.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. ! can approximate arbitrarily well any continuous PSD. Note. 1997 Slide L4–2 ( ) .θ) ^ θ Estimate PSD ^ ^ =φ(ω.i! . Moses. Prentice Hall. provided m and n are chosen sufﬁciently large.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. Stoica and R. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. P By Weierstrass theorem.θ) Estimate parameters in φ(ω.i!k (!) is a rational function in e.
Prentice Hall. and ARMA Models By Spectral Factorization theorem. e. A(! ) = A(z )jz =ei! Signal Modeling Interpretation: e(t) e (! ) = 2  B (q) A(q) white noise B (!) 2 2 A(!) ltered white noise y(t)y (! ) = ARMA: AR: MA: A(q)y(t) = B (q)e(t) A(q)y(t) = e(t) y(t) = B (q)e(t) Slide L4–3 Lecture notes to accompany Introduction to Spectral Analysis by P.AR. MA. Stoica and R.1 + + anz..n B (z) = 1 + b1z.g. 1997 . a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.1 + + bmz. Moses.m and.
k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . j )y (t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. j ) (b0 = 1) Multiply by y (t . k) and take E f g to give: X r (k ) + X 2 m bj hj .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t .k = j =0 = 0 for k > m B (q) = 1 h q. i) = X m j =0 bj e(t . Moses. Stoica and R. 1997 Slide L4–4 . i) = m j =0 bj E fe(t .
r (. r(1) r(0) . Lecture notes to accompany Introduction to Spectral Analysis by P. 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(. . . Prentice Hall.AR Signals: YuleWalker Equations AR: m = 0. . . 2 1 a1 = 0 . . Stoica and R.1) : : : r(. 1997 Slide L4–5 . . . 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) .n) .
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) ^(.n) 1 r r ^2 . ^(. . Moses. 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. . . Prentice Hall. r ^(1) r(0) ^ ^.1 = 0 a .1) .1) : : : ^(. . . . 1997 Slide L4–6 . Stoica and R. r .
.(Y Y ). . . n)]T .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(N . . Prentice Hall.1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . 3 7 5 Y =4 y(n) y(n . . y(N . . Stoica and R. 1) : : : 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 ) . 1) y(n + 1) y(n) . Moses. Find i=1 aiy(t . n) . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–7 . ^ = .
1997 Slide L4–8 . {z . 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. 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k). Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 .n ..Levinson–Durbin Algorithm Fast. . .1 1 .. Prentice Hall.. . Moses. ..0 . orderrecursive solution to YW equations 2 6 6 6 4  0 .1 . . Stoica and R. .. n .
2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Prentice Hall.LevinsonDurbin Alg. . Moses. 1997 Slide L4–9 . where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. con't Relevant Properties of R: Rx = y $ Rx = y. Stoica and R. 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.
n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 2 kn = . 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. 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. 1997 . Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.LevinsonDurbin Alg.
i!k (!) = jB(!)j k=.m X Lecture notes to accompany Introduction to Spectral Analysis by P.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . m) Thus. Prentice Hall. r(k) = 0 for jkj > m and 2 2 = m r(k)e. Moses. 1) + + bme(t . Stoica and R. 1997 Slide L4–11 .
Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. Moses.i!k k=. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. with AR model order n . 1997 Slide L4–12 .MA Spectrum Estimation Two main ways to Estimate (! ): 1. Stoica and R. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.m ^BT (!) with a rectangular lag window of 2m + 1.
Prentice Hall. k)] g = E f A(q)y(t)] A(q)y(t . 1997 Slide L4–13 . j ) Lecture notes to accompany Introduction to Spectral Analysis by P.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Stoica and R. k)] g = X n X n j =0 p=0 aj ap r(k + p . Moses. A(q)y(t) = B (q)e(t) B (!) 2 = m=.m k e.
Estimate fai bj A(!) nonlinear estimation problem.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Stoica and R. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Moses. 1997 Slide L4–14 . Estimate fai r(k)g in (!) = P m . Prentice Hall.
f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . 1997 Slide L4–15 . K ) ^2 = N 1 j^(t)j2 e N . Moses. 1) + 2y(t . Stoica and R. 1) + + K y(t . 1) + e and its variance + ^K y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. Prentice Hall. 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. for some large K e(t) ' y(t) + 1y(t . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P.TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t .
Prentice Hall. Stoica and R. ^(t) ' . con't fe(t)g by ^(t) in the ARMA equation.TwoStage LeastSquares Method. 1) : : : ^(t . y(t . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. 1997 Slide L4–16 .y(t . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . Moses. n) e ^(t .
1) : : : r(m . n + 2) . . . : : : r(m . . Stoica and R. Prentice Hall. . # 2 = r(m + M . . 5 . r f^ g . fast Levinsontype algorithms exist for obtaining ai . . n + M ) .6 4 Replace fr(k)g by f^(k)g and solve for faig. .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. n + 1) r(m . Moses.. . 1997 Slide L4–17 .. least f^ g Note: For narrowband ARMA signals. If M > n overdetermined squares solution for ai . = f^ g Y W system of equations. the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. = m + 1 ::: m + M a1 an .
Moses. Prentice Hall. 1997 Slide L4–18 .Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–1 . Moses. Stoica and R. Prentice Hall.
!1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .Line Spectra Many applications have signals with (near) sinusoidal components. Examples: communications radar. 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 . Moses. Stoica and R. Prentice Hall.
] (prevents model ambiguities) f'k g = independent rv's. ] (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. Stoica and R. Moses.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . 1997 . 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 . uniformly distributed on . superimposed in white noise of k 2.
1997 . Stoica and R. r(k) = E fy(t)y (t . Moses.i'j o = 1.Covariance Function and PSD Note that: E E n i'p e. for p 6= j =2 . Prentice Hall. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . e E xp(t)xj (t . for p = j e i'p e.i'j o = E nei'p o E ne. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P.i'j o e Z n 1 i' d' 2 = 0. k) = 2 ei!pk p j p n o Hence.
Prentice Hall. Moses. Stoica and R. ^ 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 . 1997 Slide L5–5 .
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 . .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . Moses. Stoica and R. . Prentice Hall. . B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
con't Then: F = (Y . B k2 = . Y B(B B).1B Y This gives: ^ = (B B). 1997 Slide L5–7 .1B Y ] B B] .1B Y ] +Y Y . Prentice Hall.1B Y !=^ ! and ! = arg max Y B (B B ). (B B).1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Nonlinear Least Squares (NLS) Method. B ) = kY . B ) (Y . (B B). Moses.
it is difﬁcult to avoid convergence to local minima. 1997 Slide L5–8 .5. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. ! Difﬁcult Implementation: The NLS cost function F is multimodal. Prentice Hall.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.
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
1997 Slide L5–12 . along with L .HighOrder YuleWalker Method. Moses. f!kgn=1. Prentice Hall. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. Stoica and R. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P.
1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. . . 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 = . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. . r(L + 2) .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . r(L + M . Moses. . . Stoica and R.
Stoica and R.V . n) spurious zeros of B (q ) are located strictly inside the unit circle. (U V )b = . y = . if the MinimumNorm solution b is used.HighOrder and Overdetermined YW Equations. The MinimumNorm solution is b = . Moses. 1997 Slide L5–14 . Prentice Hall.1U Important property: The additional (L . Lecture notes to accompany Introduction to Spectral Analysis by P. 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). diagonal and nonsingular Thus.
Lecture notes to accompany Introduction to Spectral Analysis by P. V from the Let U .1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. . SVD of . 1997 Slide L5–15 . Stoica and R. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. this is the price paid for increased accuracy when L > n. Prentice Hall.V ^ . V be deﬁned similarly to U . Compute ^ = . r . f^ g When the SNR is low.HOYW Equations. this approach may give spurious frequency estimates when L > n. Moses.
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L6–1 . Stoica and R. Moses.
The Covariance Matrix Equation Let: a(!) = 1 e... m + 1)]T e 4 R = E fy(t)~ (t)g = APA + 2I ~ y Then with 2 P = E fx(t)~ (t)g = ~ x 6 4 2 1 0 .i! : : : e. m + 1) .i(m. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . Stoica and R. Prentice Hall. Moses. 1997 Slide L6–2 . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .
n)) Thus. Moses.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.n] (m (m . Prentice Hall..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.. 1997 Slide L6–3 . Stoica and R. 2 R = S G] 6 4 1 3 " .
con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.Eigendecomposition of R and Its Properties... 2 . since S G j j 6= 0 4 . 1997 . =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 .1) = AC S = A(PA S ( ) = rank(A) = n). Therefore. = = nonsingular 0 n. Moses. Stoica and R. 0 n 3 7 5 with C (since rank S ..
Moses. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. 1997 Slide L6–5 .MUSIC Method a (!1) . f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Stoica and R. 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.
1)]T Note: Both variants of MUSIC may produce spurious frequency estimates.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 . Moses.1)GG a(z) = 0 that are closest to the unit circle.(m. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.1 : : : z. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. a(z) = 1 z. Here. 1997 Slide L6–6 .
Stoica and R.1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Moses.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value).
R( ) Let " 1 = the vector in R(G). Uses m n (as in MUSIC). Prentice Hall.MinNorm Method Goals: Reduce computational burden. but only one vector in G (as in Pisarenko). Stoica and R. with ﬁrst element equal ^ ^ to one. Moses. 1997 Slide L6–8 . g # Lecture notes to accompany Introduction to Spectral Analysis by P. that has minimum Euclidean norm. and reduce risk of false frequency estimates.
con't Spectral MinNorm f!gn=1 = ^k the locations of the n highest peaks in the “pseudospectrum” 2 1 = a (!) 1 ^ g " # Root MinNorm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. Prentice Hall.1) 1 ^ g " # that are closest to the unit circle. 1997 Slide L6–9 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.MinNorm Method.
1 exists iff = k k2 6= 1 (This holds.) ^^ I=S S= Multiplying the above equation by gives: (1 .S =(1 . Moses. g " # MinNorm solution: As: ^ = .S(S S ).1 g + S S .1 = =(1 . k k2) = (S S ) ) (S S ). for N 1. Stoica and R. (S S ). at least. Prentice Hall. k k2) ) ^ = .1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P.Let S ^= S g1 . 1997 Slide L6–10 .
.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.i!n S1 = Im.1]A Then A2 Also. D= 0 e. determined as is uniquely = (S1S1).1 0]A A2 = 0 Im.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.1 0]S S2 = 0 Im.ESPRIT Method Let A1 = Im.i!1 0 . Then S2 = A2C = A1DC = S1 C . 1997 Slide L6–11 . Stoica and R. let = A1D..1DC {z } So has the same eigenvalues as D . Moses. where e. 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. then S1 and S2 . ﬁnd S .ESPRIT Implementation From the eigendecomposition of R. Moses. Prentice Hall.1S1S2 ^^ ^^ f!kgn=1 = . 1997 Slide L6–12 . Stoica and R. ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1).
Moses.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 . Prentice Hall.
Prentice Hall.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L7–1 . Stoica and R.
Basic Ideas Two main PSD estimation approaches: 1. Stoica and R. Moses. Prentice Hall. but 2 requires to ensure that the number of estimated values = = ) is < N . !+ ] N >1 1 2 is more general than 1. 1997 Slide L7–2 . Lecture notes to accompany Introduction to Spectral Analysis by P. (!) by a 2. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Nonparametric Approach: Implicitly smooth ! !=. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Parametric Approach: Parameterize ﬁnitedimensional model.
as well as (b) and (c). 1997 . are conﬂicting.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) .Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . Moses. !c @Q Q ! . Prentice Hall. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Stoica and R. jH ( )j2 ( )d = ' 21 !+ !. 2 ! + 2 ] Note that assumptions (a) and (b).
Filter Bank Interpretation of the Periodogram 1 N y(t)e.i!k = 1 eiN (~.!) . 1 k=0 X 1 ei!k k = 0 : : : N .t) t=1 X X = N where ( X 1 k=0 hk y(N . k) 2 ! . Moses. 1997 . Stoica and R. 1 H (!) = hk e ! N ei(~.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . Prentice Hall.!) . 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P.
! 0 −5 −10 −15 dB −20 −25 −30 −35 −40 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Conclusion: The periodogram p ! is a ﬁlter bank PSD estimator with bandpass ﬁlter as given above. power calculation from only 1 sample of ﬁlter output. Prentice Hall. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. for N = 50. 1997 Slide L7–5 . Moses. !).Filter Bank Interpretation of the Periodogram. and: narrow ﬁlter passband. con't jH (!)j as a function of (~ .
2. ~ provides several samples for power calculation.Possible Improvements to the Filter Bank Approach 1. and bandpass ﬁlter each subsample. Use several bandpass ﬁlters on the whole sample. Both approaches compromise bias for variance. 1997 Slide L7–6 . This “multiwindow approach” is similar to the Daniell method. This approach leads to Bartlett and Welch methods. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. more data points for the power calculation stage. Split the available sample. Prentice Hall. Each ﬁlter covers a small band centered on ! .
i! : : : e. y(t . 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. Stoica and R. = h0 h1 : : : hm] . k) 2 6 4  .i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. yF (t) = X m k=0  hk y(t . 1997 Slide L7–7 . Moses.im! ]T hk e.Capon Method Idea: Datadependent bandpass ﬁlter design.
1a(!) which should be the power of y (t) in a passband centered on ! . Prentice Hall. 1997 Slide L7–8 .1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.1a=a R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .Capon Method. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. Stoica and R. Moses.
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. Stoica and R. Moses. Prentice Hall. . bias decreases and variance increases. Capon uses one bandpass ﬁlter only. 1997 Slide L7–9 . Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L7–10 .Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .m m + 1 1 m m ^(t . jkj ^BT (!) = r(k)e.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .i!k ^ k=. Stoica and R.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. s)e.i!(t. Prentice Hall. Moses. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.
Due to the loworder AR terms in the average. C ! generally has worse resolution and bias properties than the AR method.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. C ! generally has less statistical variability than the AR PSD estimator. 1997 Slide L7–11 . Moses. Prentice Hall. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k.
Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 1997 Slide L8–1 . Stoica and R.
sonar. . Prentice Hall. Moses.@ . . electromagnetic. mechanical Receiving sensors: Hydrophones. communications. @.. @.R . . Emitted energy: Acoustic. @. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. @. 1997 Slide L8–2 . seismometers Applications: Radar. ... antennas. Sensor 1 @. Stoica and R.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . seismology.@ . @. v Source n @.
Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. Stoica and R. Moses. Prentice Hall. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. The number of sources n is known. AOA).) Lecture notes to accompany Introduction to Spectral Analysis by P. the array is calibrated. 1997 Slide L8–3 .
) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Lecture notes to accompany Introduction to Spectral Analysis by P. Basic Problem: Estimate the time delays known but x t unknown. Prentice Hall. 1997 Slide L8–4 . Then the output of sensor k is yk (t) = hk (t) x(t . Stoica and R. Moses.g. thermal noise in sensor electronics. 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. k) + ek (t) ( = convolution operator).. etc.g. background noise.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case..
!c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. Stoica and R. Prentice Hall. 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 ) ' jHk (!c)j (t)cos !ct + '(t) . k ) ' (t) cos !ct + '(t) . 1997 . k) ' (t) '(t . Moses. !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . !c k ] hk (t) x(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c .
i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. Stoica and R.!ct = (t)f ei (t) + e.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i!c k + ek (t) where s(t) is the complex envelope of x(t).Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i!ct ~ = yk(t) cos(!ct) . by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 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 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 . Prentice Hall.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
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 . 1997 Slide L8–10 . Moses. Stoica and R. Prentice Hall. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.
Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Moses. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Prentice Hall. 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.i(m.i!s : : : e.
Stoica and R. Moses. 1997 Slide L9–1 .Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–2 . Stoica and R. Moses.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. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L9–3 . Prentice Hall.1] y(t) = u(t) : : : u(t . Moses.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .i! : : : e. m + 1)]T If u m.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. k) = h y(t) k=0 h = ho : : : hm.i(m.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .
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. Moses.i!c 2 : : : e. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Prentice Hall.i!c 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. Stoica and R. 1997 Slide L9–4 .
@ 0 B 1 C h @@ C B B e. ! hm. 1997 Slide L9–5 .1 ?  1 . C C B C B C B C B C B A @ .i m. Cu(t) C B .i! C @ h a(!)]u(t) R @ C . s qq h  ? 1 ?  m. Moses. B . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.i! Be 2 B !! B B B B .  e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal ﬁlter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2.? B P C B C B B B .. B B @ .1 q .B .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. Stoica and R.. Prentice Hall.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.
1997 Slide L9–6 . Stoica and R. 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. h a 0 .Spatial Filtering. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Prentice Hall. Here.
1997 Slide L9–7 . Lecture notes to accompany Introduction to Spectral Analysis by P. by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Stoica and R.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). Moses. To locate an emitter in the ﬁeld of view. Prentice Hall.
( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 .Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. n o n o The (dominant) peaks of h DOAs of the sources. Moses. 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. Prentice Hall. 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.
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. Moses.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 . y t can be considered as impinging on the array from all DOAs.
Moses. 1 = 1. Stoica and R. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. Resolution Threshold: inf j k .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 . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . 1997 .
1a( )=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). Moses.1a( ): Performance: Slightly superior to Beamforming.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Stoica and R.1a( ) E jyF (t)j2 = 1=a ( )R. Prentice Hall. 1997 Slide L9–11 . Both Beamforming and Capon are nonparametric approaches.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Lecture notes to accompany Introduction to Spectral Analysis by P.
Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. almost without modiﬁcation. for DOA estimation. YW. Stoica and R. MINNORM and ESPRIT methods of frequency estimation can be used.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. 1997 Slide L9–12 . MUSIC. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.
Moses. A(A A).Nonlinear Least Squares Method 1 N ky(t) .1A ]Rg ^ Thus. A(A A). this is precisely the form of the NLS method of frequency estimation. Lecture notes to accompany Introduction to Spectral Analysis by P. A(A A). Stoica and R. 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 ]y(t) = N t=1 ^ = trf I .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . 1997 Slide L9–13 =1 . f ^k g = arg max trf A(A A).1A ]Rg X f kg For N . Prentice Hall.1A y(t) t = 1 : : : N s X Then 1 N k I .
1997 Slide L9–14 .Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall.
= U1 U2 ] 0 n n 0 V1 g n . Moses. Prentice Hall. Stoica and R.YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P. is .n 0 V2 g L n M .) = n. 1997 Slide L9–15 . and the SVD of .
Stoica and R. Moses.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–16 . Prentice Hall. using 1 N y(t)~ (t) ^ . (L 1).YWMUSIC 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.
if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. 1997 Slide L9–17 .MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. Moses. Prentice Hall. that is.
. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D. Stoica and R.i!c ( 1) 0 . where 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. D= 0 e.. Prentice Hall. Moses. 1997 Slide L9–18 ( ) = d sin( )=c . Lecture notes to accompany Introduction to Spectral Analysis by P.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.
1997 Slide L9–19 .1 A1 = Im.1 . con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA. Stoica and R. so m m and .1]A Lecture notes to accompany Introduction to Spectral Analysis by P.ESPRIT Method.1 A2 = 0 Im. the two subarrays are often the ﬁrst m and last m array elements. Moses.1 0]A = . Prentice Hall.
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