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Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
Stoica and R.Deterministic Signals fy(t)g1 .1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.1 = t= If: discretetime deterministic data sequence X 1 t=.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.1 y(t)e. Moses. Prentice Hall. 1997 Slide L1–4 .
1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.1 y(t)y (t . Prentice Hall. 1997 .i!k (k) = 1 t=. Stoica and R. S (!)d! t=.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . Moses.1 X (k)e. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. 1997 Slide L1–6 .
(!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.k) r(0) jr(k)j Z Note that r(k) = 21 . 1997 Slide L1–7 . k)g r(k) = r (. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .First Deﬁnition of PSD (! ) = where r X 1 k=. Moses.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .1 r(k)e. Prentice Hall.
Prentice Hall. t=1 y(t)e.Second Deﬁnition of PSD 1 N y(t)e. Stoica and R.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L1–8 .
1997 Slide L1–9 . Then: (! ) = (. Stoica and R. Prentice Hall. we can restrict attention to !2 . Moses. Thus. P2: ] () f 2 .! ) Otherwise: (! ) 6= (.Properties of the PSD P1: (!) = (! + 2 ) for all !.1=2 1=2] (!) 0 (t) is real.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L1–10 . Prentice Hall.k = unit delay operator: q.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P.1 H (q) = X 1 k=0 hk q. Stoica and R. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t . Moses.1y(t) = y(t .Transfer of PSD Through Linear Systems System Function: where q . k) hk e.
The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Prentice Hall. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Moses. Stoica and R. 1997 Slide L1–11 . Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P.
Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–1 . Prentice Hall. Moses. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).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.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. Stoica and R. Moses. Prentice Hall. 1997 Slide L2–2 .
Prentice Hall.1) Lecture notes to accompany Introduction to Spectral Analysis by P.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.i!k ^c(!) = k=. Stoica and R. 1997 Slide L2–3 .1 N .i!k (k)” by “^(k)”: r r ^(k)e.1 X r(k)e. Moses.(N .
1997 Slide L2–4 . k) k 0 ^ r(k) = N .Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Prentice Hall. Stoica and R.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. k t=k+1 X Standard biased estimate: 1 N y(t)y (t . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (.
Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!).1) r ^(k)e. 1997 .1 X = ^c(!) k=. Moses. Prentice Hall.(N .i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. Stoica and R. N ^p(!) = 1 y(t)e. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.i!t N t=1 X 2 = N .
^p(!) and ^c(!) have poor performance. jk =0 there are “so many” that when summed in ! . 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. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. ( )g ^ ( ) . p! f^( ) . 1997 Slide L2–6 . Moses. Thus. even for large N . Prentice Hall.1 are small. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Intuitive explanation: r(k) .
(N . Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. N k=.1 jkj r(k)e.(N . or triangular. n o 0 k 1 . ( )WB (! . Moses. Stoica and R.1) N .1 X wB (k) = 8 < : = Thus.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.i!k k=.i!k = 1.i!k r k=. ) d Z Ideally: WB (!) = Dirac impulse (!). Prentice Hall. 1 jkj N Bartlett.1) 1 = wB (k)r(k)e. jNj jkj N . window E ^p(!) = 21 .1 n o n o X ! X N . 1997 .
Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). (!) may differ quite a bit from (!). WB 1=N . Stoica and R. for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . Moses. 1997 . Prentice Hall. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P.
^ 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. Stoica and R.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . Moses. 1997 Slide L2–9 .
Moses. so ! is asymptotically unbiased. severe bias As N .Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Stoica and R. WB ! !. Prentice Hall. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–10 .
dev = φ(ω) too  Resolvability properties depend on both bias and variance. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.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. (!1) ^p(!2) . Moses. 1997 Slide L2–11 . Prentice Hall.
1 Direct computation of O N 2 ﬂops ( ) . Moses.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Stoica and R.i!t 2 k and W = e. 1997 Slide L2–12 .i 2 . Prentice Hall.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 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 .
Prentice Hall. Stoica and R. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . ~ 4 = 0 2 4 : : : N . Slide L2–13 t=1 ~ ~ f y(t) .Radix–2 Fast Fourier Transform (FFT) N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = .i2 =N . 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation. Moses. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e.
Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L2–14 . 2k + 2c ck = 2 k. Moses.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT.
N=8 ω 2 k N .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. Stoica and R. 1997 Slide L2–15 .Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N .1 N k=0 sampled.
1997 Slide L3–1 . Moses.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P.1) w(k)^(k)e. Prentice Hall. Stoica and R.1 X k=. with small weight applied to covariances r k with “large” k .BlackmanTukey Method Basic Idea: Weighted correlogram. 1997 Slide L3–2 . ^( ) jj ^BT (!) = M . Moses.(M .
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 . Prentice Hall. Moses.BlackmanTukey Method. Stoica and R. 1997 . con't ^BT (!) = 1 ^p( )W (! .
0 Z  {z } If W (!) 0 (. Prentice Hall. W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. )d 2 .1) Ne = k=. Moses.(M (0) w Z w (k ) = equiv time width 1 2 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . 1997 Slide L3–4 .1 X . Stoica and R. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M .
The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Moses. 1997 Slide L3–5 . Prentice Hall. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. Stoica and R. ) Choose M as a tradeoff between variance and bias. As M increases. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). once M is given. Ne (and hence ﬁxed.Window Design. Once M is given. bias decreases and variance increases. Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L3–6 . Moses. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Prentice Hall. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Window Examples Triangular Window.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.J X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–10 . Prentice Hall. Moses.Daniell Method By a previous result. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . Stoica and R.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 . for N 1.
^D(!) ' 1 ^p(!)d! 2 . Stoica and R. Moses. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. 1997 Slide L3–11 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Then.Daniell Method. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . for N 1.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. more general for Welch). ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Prentice Hall.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. 1997 . ^ () – Implemented by averaging subsample periodograms. Moses. BT periodogram – Local smoothing/averaging of spectral window. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Daniell Periodogram – Approximate interpretation: spectral window. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett.
Moses. Prentice Hall.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L4–1 .
i!k (!) = P jkj n k e.θ) ^ θ Estimate PSD ^ ^ =φ(ω.i!k (!) is a rational function in e. Note. Stoica and R. Moses.θ) Estimate parameters in φ(ω. Prentice Hall. 1997 Slide L4–2 ( ) . P By Weierstrass theorem.i! .θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. provided m and n are chosen sufﬁciently large. ! can approximate arbitrarily well any continuous PSD. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.
n B (z) = 1 + b1z. Prentice Hall.g. 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.1 + + bmz.. Stoica and R. Moses. 1997 . and ARMA Models By Spectral Factorization theorem.m and. e. MA.AR.1 + + anz. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.
Stoica and R. k)g Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. k) and take E f g to give: X r (k ) + X 2 m bj hj . 1997 Slide L4–4 . Prentice Hall. i) = m j =0 bj E fe(t . j ) (b0 = 1) Multiply by y (t . j )y (t .k = j =0 = 0 for k > m B (q) = 1 h q.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 .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t .
. r (. r(1) r(0) . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. .1) : : : r(. 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 . .AR Signals: YuleWalker Equations AR: m = 0. 1997 Slide L4–5 . 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(. Stoica and R.n) . .
.1 = 0 a . .1) .1) : : : ^(. r . Moses. Prentice Hall. Stoica and R.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) ^(. r ^(1) 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. . . . . ^(.n) 1 r r ^2 .
Stoica and R. . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 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 ) . 3 7 5 Y =4 y(n) y(n . . Moses. y(N . 1997 Slide L4–7 . n)]T . 1) y(n + 1) y(n) . . Prentice Hall. Find i=1 aiy(t . ^ = . n) . . 1) y(N .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t .(Y Y ). . .
. 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. Stoica and R. . {z . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . 1997 Slide L4–8 . Moses.n . 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k).. ... ..Levinson–Durbin Algorithm Fast. . . orderrecursive solution to YW equations 2 6 6 6 4  0 .1 .0 . n .. Prentice Hall.1 1 .
Prentice Hall. . n 3 7 5 1 Rn+2 4 1 n = 0 3 5 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 32 54 1 n n = 0 0 n 3 5 2 4 2 3 5 where r n = n+1 + ~n n Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–9 . Moses. Stoica and R. con't Relevant Properties of R: Rx = y $ Rx = y.LevinsonDurbin Alg. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus.
1997 . Stoica and R. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Lecture notes to accompany Introduction to Spectral Analysis by P. con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. 2 kn = .LevinsonDurbin Alg. Prentice Hall. 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. Moses.
Prentice Hall. Moses. 1) + + bme(t . Stoica and R.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t .m X Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) = jB(!)j k=. r(k) = 0 for jkj > m and 2 2 = m r(k)e. m) Thus. 1997 Slide L4–11 .
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. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below.i!k k=. Moses. Prentice Hall. with AR model order n . Lecture notes to accompany Introduction to Spectral Analysis by P. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.MA Spectrum Estimation Two main ways to Estimate (! ): 1. 1997 Slide L4–12 . Stoica and R.
A(q)y(t) = B (q)e(t) B (!) 2 = m=. Stoica and R.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . k)] g = E f A(q)y(t)] A(q)y(t .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). 1997 Slide L4–13 .m k e. Prentice Hall. Moses. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. k)] g = X n X n j =0 p=0 aj ap r(k + p .
i!k k=. Moses. Prentice Hall. 1997 Slide L4–14 . Estimate fai r(k)g in (!) = P m . ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Stoica and R. Estimate fai bj A(!) nonlinear estimation problem. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2.
Prentice Hall.TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 1) + 2y(t . Moses. Stoica and R. K ) 1a) Estimate the coefﬁcients modelling techniques. 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. K ) ^2 = N 1 j^(t)j2 e N . for some large K e(t) ' y(t) + 1y(t . 1) + e and its variance + ^K y(t . 1997 Slide L4–15 . 1) + + K y(t . 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 .
Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . Prentice Hall.TwoStage LeastSquares Method. 1) : : : . 1) : : : ^(t . Stoica and R.y(t . Moses. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. y(t . n) e ^(t . con't fe(t)g by ^(t) in the ARMA equation. ^(t) ' . 1997 Slide L4–16 .
r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . = f^ g Y W system of equations. 1997 Slide L4–17 . . Stoica and R.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 . = m + 1 ::: m + M a1 an . . : : : r(m . n + 2) . Moses. . least f^ g Note: For narrowband ARMA signals. Prentice Hall.. . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. fast Levinsontype algorithms exist for obtaining ai . . n + M ) . . n + 1) r(m . . If M > n overdetermined squares solution for ai . r f^ g . 5 . # 2 = r(m + M . 1) : : : r(m . .
Stoica and R.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–18 . Prentice Hall. Moses.
1997 Slide L5–1 .Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Moses.
Moses.Line Spectra Many applications have signals with (near) sinusoidal components. Prentice Hall. 1997 . 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 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Examples: communications radar.
Moses. Stoica and R. superimposed in white noise of k 2. ] (realistic and mathematically convenient) A3: e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0 (can be achieved by “slow” sampling) Slide L5–3 Lecture notes to accompany Introduction to Spectral Analysis by P.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . ] (prevents model ambiguities) f'k g = independent rv's. uniformly distributed on . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . Prentice Hall. 1997 .
i'j o e Z n 1 i' d' 2 = 0. Moses.Covariance Function and PSD Note that: E E n i'p e. k) = 2 ei!pk p j p n o Hence. Stoica and R. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .i'j o = 1. e E xp(t)xj (t .i'j o = E nei'p o E ne. Prentice Hall. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . for p 6= j =2 . r(k) = E fy(t)y (t . for p = j e i'p e.
^ 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.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 L5–6 . 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) . . Stoica and R. 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. .
1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. B ) (Y .1B Y ] +Y Y . Stoica and R. 1997 Slide L5–7 . Y B(B B). (B B). B k2 = .Nonlinear Least Squares (NLS) Method.1B Y ] B B] . con't Then: F = (Y .1B Y This gives: ^ = (B B). Prentice Hall. B ) = kY .1B Y !=^ ! and ! = arg max Y B (B B ). (B B).
! Difﬁcult Implementation: The NLS cost function F is multimodal. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.5. it is difﬁcult to avoid convergence to local minima. Stoica and R. 1997 Slide L5–8 . 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
Moses. Stoica and R.HighOrder YuleWalker Method. 1997 Slide L5–12 . f!kgn=1. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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 .
Stoica and R. 1997 Slide L5–13 .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . Prentice Hall. r(L + M . . 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. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. i) = 0 k > L In matrix form for k 2 6 6 6 4  = L + 1 ::: L + M 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 } : : : r(1) r(L + 1) : : : r(2) b = . r(L + 2) . . . . .
n) spurious zeros of B (q ) are located strictly inside the unit circle. con't Fact: SVD of rank : ( )=n =U V U = (M n) with U U = In V = (n L) with V V = In = (n n).1U Important property: The additional (L . diagonal and nonsingular Thus. The MinimumNorm solution is b = . y = . if the MinimumNorm solution b is used. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.V . Stoica and R.HighOrder and Overdetermined YW Equations. (U V )b = . Prentice Hall. 1997 Slide L5–14 .
Lecture notes to accompany Introduction to Spectral Analysis by P. Compute ^ = . V from the Let U .V ^ . this approach may give spurious frequency estimates when L > n. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. . V be deﬁned similarly to U . r . Prentice Hall. 1997 Slide L5–15 . Moses. this is the price paid for increased accuracy when L > n. f^ g When the SNR is low.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.HOYW Equations. SVD of . Stoica and R.
1997 Slide L6–1 .Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. Stoica and R.
Moses. . 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 . 1997 Slide L6–2 ...1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . m + 1) . 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 .The Covariance Matrix Equation Let: a(!) = 1 e. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .i! : : : e. Prentice Hall.i(m. Stoica and R.
n)) Thus.. 1997 Slide L6–3 .n] (m (m .. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. 2 R = S G] 6 4 1 3 " .Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Stoica and R. Moses. Prentice Hall.
2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . Therefore.. Stoica and R... since S G j j 6= 0 4 . Prentice Hall.1) = AC S = A(PA S ( ) = rank(A) = n). = = nonsingular 0 n. 0 n 3 7 5 with C (since rank S .Eigendecomposition of R and Its Properties. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. 2 . 1997 . Moses.
1997 Slide L6–5 . Prentice Hall. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Stoica and R. . Moses. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. 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) .
a(z) = 1 z. Lecture notes to accompany Introduction to Spectral Analysis by P. Here.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 .1)]T Note: Both variants of MUSIC may produce spurious frequency estimates.1)GG a(z) = 0 that are closest to the unit circle. Moses. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.1 : : : z.(m. 1997 Slide L6–6 . Prentice Hall. Stoica and R.
Prentice Hall. If: =n+1 m=n+1 Then: ^ g G = ^1. 1997 Slide L6–7 .Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). ) f!kgn=1 can be found from the roots of ^ k aT (z. 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. Stoica and R.
Moses. with ﬁrst element equal ^ ^ to one. Uses m n (as in MUSIC). Stoica and R. that has minimum Euclidean norm.MinNorm Method Goals: Reduce computational burden. and reduce risk of false frequency estimates. Prentice Hall. R( ) Let " 1 = the vector in R(G). g # Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–8 . but only one vector in G (as in Pisarenko).
Lecture notes to accompany Introduction to Spectral Analysis by P.1) 1 ^ g " # that are closest to the unit circle.MinNorm Method. 1997 Slide L6–9 . 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. Stoica and R. Moses. Prentice Hall.
1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . k k2) = (S S ) ) (S S ).Let S ^= S g1 . Stoica and R.) ^^ I=S S= Multiplying the above equation by gives: (1 .1 g + S S . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. for N 1. 1997 Slide L6–10 . Moses. k k2) ) ^ = . (S S ).1 = =(1 . g " # MinNorm solution: As: ^ = . Prentice Hall.S(S S ). at least.1 exists iff = k k2 6= 1 (This holds.S =(1 .
Prentice Hall. Stoica and R..1DC {z } So has the same eigenvalues as D .i!1 0 . D= 0 e.1 0]A A2 = 0 Im. let = A1D.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. Then S2 = A2C = A1DC = S1 C . 1997 Slide L6–11 . where e.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.. Moses. determined as is uniquely = (S1S1).1]A Then A2 Also.ESPRIT Method Let A1 = Im.i!n S1 = Im.1 0]S S2 = 0 Im.
Moses. ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). ﬁnd S .1S1S2 ^^ ^^ f!kgn=1 = .ESPRIT Implementation From the eigendecomposition of R. then S1 and S2 . arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. 1997 Slide L6–12 .
Moses. 1997 .Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
Prentice Hall. Stoica and R. Moses. 1997 Slide L7–1 .Filter Bank Methods Lecture 7 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. Stoica and R. Prentice Hall. Nonparametric Approach: Implicitly smooth ! !=. but 2 requires to ensure that the number of estimated values = = ) is < N . 1997 Slide L7–2 . Parametric Approach: Parameterize ﬁnitedimensional model. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. !+ ] N >1 1 2 is more general than 1. by assuming that ! is nearly constant over the bands f ( )g ( ) !. (!) by a 2.Basic Ideas Two main PSD estimation approaches: 1.
1997 . are conﬂicting. Prentice Hall. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) .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) . !c @Q Q ! . Stoica and R. Moses. 2 ! + 2 ] Note that assumptions (a) and (b). jH ( )j2 ( )d = ' 21 !+ !. as well as (b) and (c). Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P.
1 H (!) = hk e ! N ei(~. k) 2 ! . 1997 . 1 k=0 X 1 ei!k k = 0 : : : N .!) . Prentice Hall.t) t=1 X X = N where ( X 1 k=0 hk y(N . Stoica and R.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P.!) .i!k = 1 eiN (~. Moses.
!). Prentice Hall. Moses.Filter Bank Interpretation of the Periodogram. con't jH (!)j as a function of (~ . Stoica and R. power calculation from only 1 sample of ﬁlter output. 1997 Slide L7–5 . for N = 50. ! 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. and: narrow ﬁlter passband. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. more data points for the power calculation stage. Stoica and R.Possible Improvements to the Filter Bank Approach 1. and bandpass ﬁlter each subsample. This approach leads to Bartlett and Welch methods. Lecture notes to accompany Introduction to Spectral Analysis by P. 2. Moses. Split the available sample. This “multiwindow approach” is similar to the Daniell method. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. ~ provides several samples for power calculation. Use several bandpass ﬁlters on the whole sample. Both approaches compromise bias for variance. 1997 Slide L7–6 . Each ﬁlter covers a small band centered on ! .
= h0 h1 : : : hm] . Moses.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.Capon Method Idea: Datadependent bandpass ﬁlter design. Stoica and R. 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. Prentice Hall. yF (t) = X m k=0  hk y(t .i! : : : e.im! ]T hk e. k) 2 6 4  . 1997 Slide L7–7 . y(t .
1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . Moses.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P.Capon Method. Prentice Hall.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. 1997 Slide L7–8 .1a=a R. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.1a(!) which should be the power of y (t) in a passband centered on ! . Stoica and R. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.
1997 Slide L7–9 . Lecture notes to accompany Introduction to Spectral Analysis by P.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. . Prentice Hall. Moses. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. bias decreases and variance increases. Stoica and R. Capon uses one bandpass ﬁlter only.
1997 Slide L7–10 . Stoica and R.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .m m + 1 1 m m ^(t . s)e.i!k ^ k=.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. jkj ^BT (!) = r(k)e.i!(t. Moses. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. Prentice Hall.
C ! generally has less statistical variability than the AR PSD estimator. Due to the loworder AR terms in the average. 1997 Slide L7–11 .Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). Prentice Hall. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Stoica and R. Moses. C ! generally has worse resolution and bias properties than the AR method.
Moses.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L8–1 . Prentice Hall.
. 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. seismology. 1997 Slide L8–2 . Stoica and R. Moses. @. @. antennas. . Prentice Hall. . .R .. @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . mechanical Receiving sensors: Hydrophones.@ .. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. . @. @. sonar. Sensor 1 @.@ . electromagnetic. v Source n @. seismometers Applications: Radar. communications. Emitted energy: Acoustic.
the array is calibrated. Moses.) Lecture notes to accompany Introduction to Spectral Analysis by P. AOA). (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. Prentice Hall. Stoica and R. 1997 Slide L8–3 .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.
() f kg with hk(t) This is a timedelay estimation problem in the unknown input case. k) + ek (t) ( = convolution operator). 1997 Slide L8–4 ..g. thermal noise in sensor electronics.g. Stoica and R. Then the output of sensor k is yk (t) = hk (t) x(t .) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). etc. background noise. Basic Problem: Estimate the time delays known but x t unknown. 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. Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e..
!c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. k ) ' (t) cos !ct + '(t) . k ) ' jHk (!c)j (t)cos !ct + '(t) . Moses. k) ' (t) '(t . Prentice Hall. !c k ] hk (t) x(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . 1997 . 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 . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. Stoica and R.
i!ct to obtain (t)ei (t) lowpass highpass Hence.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–6 or .i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. Moses. Prentice Hall.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i!c k + ek (t) where s(t) is the complex envelope of x(t).i!ct ~ = yk(t) cos(!ct) . 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.
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. Moses.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 . Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Prentice Hall.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. !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!s : : : e. 1997 .i(m. Slide L8–11 d = spatial sampling period 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. Stoica and R.
Moses. 1997 Slide L9–1 .Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
Stoica and R.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–2 . Prentice Hall.
m + 1)]T If u m.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . Prentice Hall. Moses.i! : : : e. Lecture notes to accompany Introduction to Spectral Analysis by P.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .1] y(t) = u(t) : : : u(t . k) = h y(t) k=0 h = ho : : : hm. 1997 Slide L9–3 . Stoica and R.i(m.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 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. 1997 Slide L9–4 . Moses.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.i!c 2 : : : e. Stoica and R.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
i m.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.  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 . Cu(t) C B . 1997 Slide L9–5 .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. ! hm.1 q .i! Be 2 B !! B B B B . Moses. s qq h  ? 1 ?  m.B .? B P C B C B B B . Stoica and R. Prentice Hall.. C C B C B C B C B C B A @ .@ 0 B 1 C h @@ C B B e.1 ?  1 . B B @ .. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.i! C @ h a(!)]u(t) R @ C .
Spatial Filtering. where 0 j ( )j = ( ) = 25 0 30 −30 Th et a (d eg ) 60 −60 90 0 2 4 6 Magnitude 8 10 −90 Lecture notes to accompany Introduction to Spectral Analysis by P. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. 1997 Slide L9–6 . Prentice Hall. Here. h a 0 . Stoica and R. Moses.
by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Lecture notes to accompany Introduction to Spectral Analysis by P.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). Prentice Hall. Stoica and R. Moses. 1997 Slide L9–7 . To locate an emitter in the ﬁeld of view.
Moses.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 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. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 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. 1997 . n o n o The (dominant) peaks of h DOAs of the sources.
Moses. Prentice Hall. 1997 Slide L9–9 . () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. y t can be considered as impinging on the array from all DOAs. Stoica and R.
( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. 1997 .Implementation of Beamforming 1 N y(t)y (t) ^ R=N t=1 X The beamforming DOA estimates are: f^kg = the locations of the n largest peaks of a Ra . Stoica and R. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . 1 = 1. Moses. Prentice Hall. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Resolution Threshold: inf j k .
1a( )=a ( )R. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–11 .1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Both Beamforming and Capon are nonparametric approaches.1a( ): Performance: Slightly superior to Beamforming. Prentice Hall. Moses.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( ) E jyF (t)j2 = 1=a ( )R. Stoica and R.
MUSIC. Stoica and R. for DOA estimation. YW. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–12 . 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. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. almost without modiﬁcation. Moses. Prentice Hall.
1997 Slide L9–13 =1 . Moses. A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . As(t)k2 min(t)g N f k g fs t=1 X  Minimizing f over s gives f ( s) {z } ^(t) = (A A).1A ]Rg ^ Thus. Prentice Hall.Nonlinear Least Squares Method 1 N ky(t) .1A y(t) t = 1 : : : N s X Then 1 N k I .1A ]Rg X f kg For N . Lecture notes to accompany Introduction to Spectral Analysis by P. A(A A). this is precisely the form of the NLS method of frequency estimation.1A ]y(t) = N t=1 ^ = trf I . f ^k g = arg max trf A(A A). Stoica and R. A(A A).
Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–14 . Stoica and R.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search.
Stoica and R.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P. and the SVD of . Moses. = U1 U2 ] 0 n n 0 V1 g n .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. is .) = n.n 0 V2 g L n M . Prentice Hall. 1997 Slide L9–15 .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 ~ .
1997 Slide L9–16 . Stoica and R.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). using 1 N y(t)~ (t) ^ . (L 1). Prentice Hall.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.
Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Moses. that is.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. 1997 Slide L9–17 . 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.
where e.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Moses. D= 0 e. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D..i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.i!c ( 1) 0 . Stoica and R. Prentice Hall. 1997 Slide L9–18 ( ) = d sin( )=c .. Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L9–19 . Prentice Hall.1 A2 = 0 Im.1 . the two subarrays are often the ﬁrst m and last m array elements.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 A1 = Im. Moses.1 0]A = .ESPRIT Method. so m m and . 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.
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