Basic Deﬁnitions and The Spectral Estimation Problem
Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
1
jy(t)j2 < 1
X
Then:
Y (! ) =
1
t=.Deterministic Signals
fy(t)g1 . Moses.1
y(t)e. Stoica and R. 1997
Slide L1–4
.i!t
exists and is called the DiscreteTime Fourier Transform (DTFT)
Lecture notes to accompany Introduction to Spectral Analysis by P.1 = t=
If:
discretetime deterministic data sequence
X
1
t=. Prentice Hall.
Prentice Hall.1
X
(k)e. S (!)d! t=. Moses. Stoica and R.i!k
(k) =
1
t=.1
y(t)y (t .1
X Z
1
where
4 S (!) = jY (!)j2 = Energy Spectral Density
We can write
S (!) =
where
X
1
k=. k)
Slide L1–5
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
.Energy Spectral Density
Parseval's Equality:
jy(t)j2 = 21 .
Random Signals
Random Signal
random signal probabilistic statements about future variations t current observation time
Here:
X
1
t=.1
n
jy(t)j2 = 1
o
But:
E jy(t)j2 < 1
E f g = Expectation over the ensemble of realizations E jy(t)j2
n o
= Average power in y
(t)
PSD = (Average) power spectral density
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 1997
Slide L1–6
. Prentice Hall.
(!)d!
Z
(!)d! =
inﬁnitesimal signal power in the band
! d! 2
Lecture notes to accompany Introduction to Spectral Analysis by P. k)g r(k) = r (. 1997
Slide L1–7
. (!)ei!k d!
n o
(Inverse DTFT)
Interpretation:
so
r(0) = E jy(t)j2 = 21 . Prentice Hall. Stoica and R.First Deﬁnition of PSD
(! ) =
where r
X
1
k=. Moses.1
r(k)e.i!k
(k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .k) r(0) jr(k)j
Z
Note that
r(k) = 21 .
i!t
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L1–8
. Prentice Hall. 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. Moses.
t=1
y(t)e.Second Deﬁnition of PSD
1 N y(t)e.
Thus.! ) Otherwise: (! ) 6= (. Then: (! ) = (.1=2 1=2]
(!) 0 (t) is real. Stoica and R.
P2:
] () f 2 . we can restrict attention to
!2 .! )
P3: If y
Lecture notes to accompany Introduction to Spectral Analysis by P.Properties of the PSD
P1:
(!) = (! + 2 ) for all !. Prentice Hall. 1997
Slide L1–9
. Moses.
1997
Slide L1–10
. Moses.Transfer of PSD Through Linear Systems
System Function: where q .k
= unit delay operator: q. 1)
H (q ) y (t) 2 y (! ) = jH (! )j
e(
e(t) e (! )
Then
!)
y(t) =
X
1
k=0
hk e(t . Prentice Hall.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.1y(t) = y(t . k) hk e. Stoica and R.
Stoica and R. Prentice Hall. ]g
Find an estimate of
Two Main Approaches :
Nonparametric: – Derived from the PSD deﬁnitions.
Parametric: – Assumes a parameterized functional form of the PSD
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997
Slide L1–11
.The Spectral Estimation Problem
The Problem: From a sample
fy(1) : : : y(N )g
(!): f ^(!) ! 2 .
Periodogram and Correlogram Methods
Lecture 2
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L2–1
. Moses. Stoica and R. Prentice Hall.
1997
Slide L2–2
. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Recall 2nd deﬁnition of (! ):
1 N y(t)e. Stoica and R. Moses.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.
Stoica and R.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=. 1997
Slide L2–3
.(N . Prentice Hall.1 N .i!k
^c(!) =
k=.i!k
(k)” by “^(k)”: r
r ^(k)e. Moses.1 X
r(k)e.
Stoica and R. Prentice Hall. k) k 0 r(k) = N ^ t=k+1
X
For both estimators:
r ^(k) = ^ (. Moses. 1997
Slide L2–4
.Covariance Estimators (or Sample Covariances)
Standard unbiased estimate:
1 N y(t)y (t . k) k 0 ^ r(k) = N .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 .
1997
.
Slide L2–5
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 X
= ^c(!)
k=.i!k
^p(!) = ^c(!)
Consequence: Both p ! and
^( )
^c(!) can be analyzed simultaneously.
N
^p(!) = 1 y(t)e. Moses. Stoica and R.(N .i!t N t=1
X
2
=
N .Relationship Between ^p (! ) and ^c(! )
If: the biased ACS estimator r Then:
^(k) is used in ^c(!).1)
r ^(k)e.
1997
Slide L2–6
. ( )g
^ ( ) .1 are small. p!
f^( ) . Moses.
^p(!) and ^c(!) have poor performance. ( )]
Lecture notes to accompany Introduction to Spectral Analysis by P. Thus.
Intuitive explanation:
r(k) . even for large N . Stoica and R.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. the PSD error is large. r(k) may be large for large jkj ^
Even if the errors r k r k Nj. Prentice Hall. jk =0 there are “so many” that when summed in ! .
i!k = 1. Moses. ) d
Z
Ideally:
WB (!) = Dirac impulse (!).(N .1
n o n o X ! X
N . Prentice Hall. or triangular.1) 1 = wB (k)r(k)e.i!k r k=.1 X
wB (k) =
8 < :
=
Thus. 1 jkj N
Bartlett.
n o
0
k 1 . 1997
.
Slide L2–7
Lecture notes to accompany Introduction to Spectral Analysis by P. N k=.1) N . window
E ^p(!) = 21 . ( )WB (! . Stoica and R.Bias Analysis of the Periodogram
E ^p(!) = E ^c(!) = E f^(k)g e.i!k k=.(N .1 jkj r(k)e. jNj
jkj N .
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 .
Slide L2–8
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
. 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. Prentice Hall. Stoica and R.
Stoica and R.
φ(ω) smearing ω ω
(!) separated in f by less than 1=N are not
^ φ(ω)
<1/Ν
Thus:
Periodogram resolution limit =
1=N .
^ 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. 1997
Slide L2–9
. Moses.Smearing and Leakage
Main Lobe Width: smearing or smoothing Details in resolvable.
!1 ^( )
( )! ( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Periodogram Bias Properties
Summary of Periodogram Bias Properties: For “small” N . Prentice Hall. 1997
Slide L2–10
. severe bias As N . WB ! !. so ! is asymptotically unbiased. Moses.
dev = φ(ω) too 
Resolvability properties depend on both bias and variance. (!1) ^p(!2) . Moses. (!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
. Prentice Hall. Stoica and R.Periodogram Variance As N
!1 E ^p(!1) .
Lecture notes to accompany Introduction to Spectral Analysis by P.
i!t
2 k and W = e. Stoica and R.Discrete Fourier Transform (DFT)
Finite DTFT: YN
(!) =
X
N
t=1
y(t)e. N Let ! = N
Then YN
( 2 k) is the Discrete Fourier Transform (DFT): N
X
Y (k) =
N
t=1
y(t)W tk
k = 0 ::: N . 1
Direct computation of O N 2 ﬂops
( )
. 1997
Slide L2–12
.1 fY (k)gN=0 from fy(t)gN : t=1 k
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.i 2 .
1 for odd k
Assume:
X X X
Let N For k
~ ~ = N=2 and W = W 2 = e. ~
4 = 0 2 4 : : : N .
Slide L2–13
t=1
~ ~ f y(t) . 1 = 2p + 1:
X
t=1
~ ~ y(t) + y(t + N )]W tp
Y (2p + 1) =
Each is a N
~ N
~ = N=2point DFT computation. 2 = 2p:
Y (2p) =
For k
X
~ N
= 1 3 5 : : : N .Radix–2 Fast Fourier Transform (FFT)
N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = . Prentice Hall. Stoica and R. Moses. 1997
.i2 =N . y(t + N )]W tgW tp
Lecture notes to accompany Introduction to Spectral Analysis by P.
Lecture notes to accompany Introduction to Spectral Analysis by P. 2k + 2c ck = 2 k. 1997
Slide L2–14
. Stoica and R.1 k2k ) ck = 2
ck = 1 N log2 N 2
Thus. Moses.FFT Computation Count
Let ck Then
= number of ﬂops for N = 2k point FFT. Prentice Hall.
Moses. Prentice Hall.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. N=8 ω
2 k N .1 N k=0
sampled. 1997
Slide L2–15
.
Stoica and R.Improved PeriodogramBased Methods
Lecture 3
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997
Slide L3–1
.
1 X k=. with small weight applied to covariances r k with “large” k . Moses.(M .
^( )
jj
^BT (!) =
M . 1997
Slide L3–2
.i!k r
fw(k)g =
Lag Window
w(k)
1
M
M
k
Lecture notes to accompany Introduction to Spectral Analysis by P.BlackmanTukey Method
Basic Idea: Weighted correlogram. Prentice Hall. Stoica and R.1)
w(k)^(k)e.
BlackmanTukey Method. Stoica and R.
Z
W (!) = =
Conclusion: Effect:
DTFT
fw(k)g
Spectral Window
^BT (!) = “locally” smoothed periodogram
Variance decreases substantially Bias increases slightly By proper choice of M : MSE
= var + bias2 ! 0 as N ! 1
Slide L3–3
Lecture notes to accompany Introduction to Spectral Analysis by P. )d 2 . 1997
. con't
^BT (!) = 1 ^p( )W (! . Prentice Hall. Moses.
W (!)d! = equiv bandwidth e= W (0)
Ne e = 1
Lecture notes to accompany Introduction to Spectral Analysis by P.1 X
. 1997 Slide L3–4
. w(k) is a psd sequence) ^BT (!) 0
(which is desirable)
Then:
TimeBandwidth Product
M . Prentice Hall.(M (0) w
Z
w (k )
= equiv time width
1 2 . Moses. 0
Z  {z }
If W
(!) 0 (. )d 2 . Stoica and R.Window Design Considerations Nonnegativeness:
^BT (!) = 1 ^p( ) W (! .1) Ne = k=.
e) is essentially
)
Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level).
)
Choose M as a tradeoff between variance and bias.Window Design. Prentice Hall. Ne (and hence ﬁxed. con't
e = 1=Ne = 0(1=M )
is the BT resolution threshold.
The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. As M increases. once M is given. 1997
Slide L3–5
. Moses. bias decreases and variance increases.
Lecture notes to accompany Introduction to Spectral Analysis by P.
Once M is given. Stoica and R.
Prentice Hall. 1997
Slide L3–6
. Stoica and R. M
0
= 25
−10
−20
dB
−30
−40
−50
−60
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Rectangular Window. M
0 −10
= 25
−20
dB
−30
−40
−50
−60
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Lecture notes to accompany Introduction to Spectral Analysis by P.Window Examples Triangular Window. Moses.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Daniell Method
By a previous result. 1997
Slide L3–10
. Stoica and R.
k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.
f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . Prentice Hall. Moses.J
X
Lecture notes to accompany Introduction to Spectral Analysis by P.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.
con't
As J increases: Bias increases (more smoothing) Variance decreases (more averaging)
= 2J=N . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral
Let
Z
window. ^D(!) ' 1 ^p(!)d! 2 .Daniell Method. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997
Slide L3–11
. Prentice Hall. for N 1. Then.
Moses. 1997
. Prentice Hall. Stoica and R. more general for Welch).
Daniell Periodogram
– Approximate interpretation: spectral window.
Lecture notes to accompany Introduction to Spectral Analysis by P.
^p(!) by a suitably selected ^(k) using a lag
– Implemented by truncating and weighting r window in c !
^( )
Bartlett.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. Welch periodograms
– Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett.
^ ()
– Implemented by averaging subsample periodograms.
BT periodogram
– Local smoothing/averaging of spectral window.
^BT (!) with a rectangular
Slide L3–12
– Implemented by local averaging of periodogram values.
Stoica and R. Prentice Hall. Moses.Parametric Methods for Rational Spectra
Lecture 4
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L4–1
.
θ)
^ θ
Estimate PSD
^ ^ =φ(ω. however: choice of m and n is not simple some PSDs are not continuous
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) is a rational function in e.i! . Note.θ) φ(ω)
possibly revise assumption on φ(ω)
Rational Spectra
jkj m k e. Prentice Hall. Moses. 1997 Slide L4–2
( )
.Basic Idea of Parametric Spectral Estimation
Observed Data Assumed functional form of φ(ω.i!k (!) = P jkj n k e. ! can approximate arbitrarily well any continuous PSD.
P
By Weierstrass theorem.θ) Estimate parameters in φ(ω. Stoica and R. provided m and n are chosen sufﬁciently large.
a rational factored as
(!) can be
B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.. Stoica and R. Moses.1 + + bmz.m and. 1997
. A(! ) = A(z )jz =ei!
Signal Modeling Interpretation:
e(t) e (! ) =
2

B (q) A(q)
white noise
B (!) 2 2 A(!) ltered white noise
y(t)y (! ) =
ARMA: AR: MA:
A(q)y(t) = B (q)e(t) A(q)y(t) = e(t) y(t) = B (q)e(t)
Slide L4–3
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. and ARMA Models
By Spectral Factorization theorem.n B (z) = 1 + b1z. e.1 + + anz.AR.g. MA.
k) and take E f g to give:
X
r (k ) +
X
2 m bj hj . Moses. j )
(b0 = 1)
Multiply by y
(t . Stoica and R.k (h = 1) where H (q ) = A(q ) 0 k k=0
X X
i=1
air(k . 1997
Slide L4–4
. i) =
X
m
j =0
bj e(t .k = j =0 = 0 for k > m B (q) = 1 h q.ARMA Covariance Structure
ARMA signal model:
y(t)+
X
n
i=1 n
aiy(t . j )y (t . i) =
m
j =0
bj E fe(t . k)g
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Moses.
2 1 a1 = 0 .1) : : : r(. r(1) r(0) .1) . . . . . 1997
Slide L4–5
. Prentice Hall. 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(.n) . .AR Signals: YuleWalker Equations
AR: m
= 0. Stoica and R. r(n) : : : r(0) 1 = 2 R 0
2 6 6 6 4 7 7 7 5 " # "
32 6 6 6 4
3 7 7 7 5
#
These are the Yule–Walker (YW) Equations.
Lecture notes to accompany Introduction to Spectral Analysis by P. . . r (.
. 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. .1) .n) 1 r r ^2 . Stoica and R. ^(.1) : : : ^(. .1 = 0 a . r ^(1) r(0) ^ ^. . . Prentice Hall. 1997
Slide L4–6
.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) ^(. . Moses. r .
n)]T . . .
3 7 5
Y
=4
y(n) y(n . . 1) y(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 . Prentice Hall. Stoica and R. . 1) y(N .
^ = .
Find
i=1
aiy(t . 2)
Lecture notes to accompany Introduction to Spectral Analysis by P.(Y Y ).
y(N . Moses. 1997
Slide L4–7
. n)
. . 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 )
.AR Spectral Estimation: LS Method
Least Squares Method:
e(t) = y(t) +
X
n
4 = y(t) + y(t) ^ where '(t) = y (t . .
1
..
. Prentice Hall.1 1 .Levinson–Durbin Algorithm
Fast. .
. . . Moses.0 ..n . 1997
Slide L4–8
.
Direct Solution: For one given value of n: For k
Rn+1
1
0
= 0 .
{z
...
n
. .. 0
2 n
3 7 7 7 5
O(n3) ﬂops
= 1 : : : n: O(n4) ﬂops
Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 ﬂops!
=1
( )
Lecture notes to accompany Introduction to Spectral Analysis by P.
32 7 7 7 5 } 6 6 6 4
1
n
3 7 7 7 5
2 6 6 6 4
^ k = either r(k) or r(k). orderrecursive solution to YW equations
2 6 6 6 4 
0 . Stoica and R.
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. . Moses. 1997
Slide L4–9
. con't
Relevant Properties of R:
Rx = y $ Rx = y. Stoica and R.
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.LevinsonDurbin Alg.
Prentice Hall. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
. con't
2
Rn+2 4
82 < 4 +2 :
1 n n = 0 0 n
3 5 2 4
2
3 5
2
Rn+2 4
39 = 5 2
0 ~n = 0n 2 1 n
3 5 2 4 3 5 2
3 5
Combining these gives:
Rn
0 1 n + kn ~n 0 1
3 5 2 4
=
4
n + kn n
2
0 n + kn
2 n
=
4
n
2 +1
3 5
0 0
Thus. 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.LevinsonDurbin Alg. Moses. n = n )
n+1 =
0 + kn 2+1 = n + kn n = n(1 .
2 kn = .
Moses.m
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.MA Signals
MA: n
=0 y(t) = B (q)e(t) = e(t) + b1e(t . 1997
Slide L4–11
. 1) +
+ bme(t . Prentice Hall.
r(k) = 0 for jkj > m
and
2 2 = m r(k)e. m)
Thus.i!k (!) = jB(!)j k=.
with AR model order n .
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–12
. Moses. Insert sample covariances
(! ) =
This is length
X
m
f^(k)g in: r
r(k)e. Prentice Hall. Stoica and R.MA Spectrum Estimation Two main ways to Estimate (! ): 1.m
^BT (!) with a rectangular lag window of 2m + 1. Estimate
fbkg and 2 and insert them in (!) = jB(!)j2 2
nonlinear estimation problem
^(!) is guaranteed to be 0
2. ^(!) is not guaranteed to be 0 =0
Both methods are special cases of ARMA methods described below.i!k
k=.
Stoica and R. k)] g =
X
n
X
n
j =0 p=0
aj ap r(k + p .ARMA Signals
ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).
A(q)y(t) = B (q)e(t) B (!) 2 = m=. k)] g = E f A(q)y(t)] A(q)y(t .i!k k (!) = 2 A(!) jA(!)j2
P
where
k
= E f B(q)e(t)] B(q)e(t . j )
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.m k e. 1997
Slide L4–13
.
Estimate
fai r(k)g in (!) =
P
m .ARMA Spectrum Estimation
Two Methods:
2g in (!) = 2 B(!) 2 1. Stoica and R. Estimate fai bj A(!)
nonlinear estimation problem. Prentice Hall. Moses. 1997 Slide L4–14
. can use an approximate linear twostage least squares method
^(!) is guaranteed to be 0
2.m k e
jA(!)j2
linear estimation problem (the Modiﬁed YuleWalker method).
^(!) is not guaranteed to be 0
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=.
2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1) + 2y(t . K t=K +1
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1) + + K y(t . 1997
Slide L4–15
.
f kgK=1 by using AR k
1b) Estimate the noise sequence
^(t) = y(t) + ^1y(t . for some large K e(t) ' y(t) + 1y(t . K )
^2 =
N 1 j^(t)j2 e N . K )
1a) Estimate the coefﬁcients modelling techniques.TwoStage LeastSquares Method Assumption: The ARMA model is invertible:
A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 1) + e
and its variance
+ ^K y(t . Moses. Stoica and R.
Moses. y(t . 1) : : : ^(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. m)] e e = a1 : : : an b1 : : : bm]T
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L4–16
.TwoStage LeastSquares Method. Stoica and R. con't
fe(t)g by ^(t) in the ARMA equation. Note that the ai and bj coefﬁcients enter linearly in the above equation:
y(t) . Prentice Hall. 1) : : : . n) e ^(t . ^(t) ' .y(t .
. 1997
Slide L4–17
. 5 . . .
#
2
=
r(m + M . Moses. .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
. n + 2)
. Prentice Hall. n + M )
. least
f^ g
Note: For narrowband ARMA signals. .6 4
Replace
fr(k)g by f^(k)g and solve for faig. 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 . . . 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.
=
f^ g
Y W system of equations. r f^ g
. Stoica and R. If M > n overdetermined squares solution for ai .
: : : r(m . n + 1) r(m .. 1) : : : r(m .
Summary of Parametric Methods for Rational Spectra
Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes
Computational Burden low Accuracy medium
Guarantee ^(! ) 0 ? Yes
MA: BT
ARMA: MYW
ARMA: 2Stage LS
Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 1997
Slide L4–18
. Stoica and R.
Prentice Hall.Parametric Methods for Line Spectra — Part 1
Lecture 5
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L5–1
. Stoica and R. Moses.
!1
!2
!3

An “Ideal” line spectrum
Lecture notes to accompany Introduction to Spectral Analysis by P.Line Spectra Many applications have signals with (near) sinusoidal components. Examples: communications radar. Prentice Hall. Stoica and R. 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
. Moses.
superimposed in white noise of k 2. 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 . Moses. uniformly distributed on . ]
(realistic and mathematically convenient)
A3:
e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0
(can be achieved by “slow” sampling)
Slide L5–3
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
.
]
(prevents model ambiguities)
f'k g = independent rv's. Stoica and R.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 .
r(k) = E fy(t)y (t . 1997
. for p 6= j =2 .i'j o = E nei'p o E ne. Prentice Hall. Moses. !p) + 2 p
Slide L5–4
Lecture notes to accompany Introduction to Spectral Analysis by P. e
E xp(t)xj (t .i'j o e
Z
n
1 i' d' 2 = 0.i'j o = 1. Stoica and R. k)g = n=1 2ei!pk + 2 k 0 p p
P
and
(! ) = 2
X
n
p=1
2 (! . k) = 2 ei!pk p j p
n o
Hence.Covariance Function and PSD
Note that:
E E
n
i'p e. for p = j e i'p e.
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 . Stoica and R. 1997
Slide L5–5
. Prentice Hall. Moses.
^ ei!k t + residuals k
Lecture notes to accompany Introduction to Spectral Analysis by P.
. B = eiN!1 eiN!n
k
2 6 4
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. . Stoica and R. 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) .
B ) (Y .1B Y ] +Y Y . con't
Then:
F = (Y . B k2 = .Nonlinear Least Squares (NLS) Method.1B Y ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P.1B Y !=^ !
and
! = arg max Y B (B B ). (B B). Y B(B B). Moses. B ) = kY . 1997
Slide L5–7
.1B Y
This gives:
^ = (B B). Prentice Hall.1B Y ] B B] . (B B). Stoica and R.
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 ) 10.5. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. !
Difﬁcult Implementation: The NLS cost function F is multimodal. it is difﬁcult to avoid convergence to local minima. Prentice Hall. 1997
Slide L5–8
.
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. along with L .
f!kgn=1. Stoica and R. con't
Estimation Procedure: Estimate
f^igL=1 using an ARMA MYW technique b i
^( )
Roots of B q give “spurious” roots. n ^ k
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L5–12
.HighOrder YuleWalker Method. Prentice Hall.
.HighOrder and Overdetermined YW Equations
ARMA covariance:
r (k ) +
X
L
i=1
bir(k . . Prentice Hall. Moses. i) = 0 k > L
In matrix form for k
2 6 6 6 4 
= L + 1 ::: L + M
3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 }
: : : r(1) r(L + 1) : : : r(2) b = . . 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. . . Stoica and R. r(L + M .
Lecture notes to accompany Introduction to Spectral Analysis by P. r(L + 2) . 1997
Slide L5–13
.
1U Important property: The additional (L . Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. diagonal and nonsingular
Thus. Stoica and R.
(U V )b = . 1997 Slide L5–14
. 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). y = . if the MinimumNorm solution b is used.V . Moses.
The MinimumNorm solution is
b = .HighOrder and Overdetermined YW Equations. n) spurious zeros of B (q ) are located strictly inside the unit circle.
this approach may give spurious frequency estimates when L > n.1U ^ ^ ^ b ^(q) that
Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
f^ g
When the SNR is low. . r
. 1997
Slide L5–15
. 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. V be deﬁned similarly to U . V from the
Let U . Compute
^ = .HOYW Equations. Stoica and R. Moses.V ^ . SVD of .
1997
Slide L6–1
. Moses.Parametric Methods for Line Spectra — Part 2
Lecture 6
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
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 . 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
. Moses. Stoica and R. Prentice Hall. 1997
Slide L6–2
.i(m. .
0
2 n
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P..The Covariance Matrix Equation Let:
a(!) = 1 e.i! : : : e. m + 1)
.
= Ax(t) + ~(t) ~ e
where
x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .
Stoica and R. Prentice Hall. n))
Thus.. Moses.
2
R = S G]
6 4
1
3
"
.n] (m (m .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.
m
7 5
S G
#
Lecture notes to accompany Introduction to Spectral Analysis by P.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. 1997
Slide L6–3
..
Moses. = = nonsingular 0 n.
0
n
3 7 5
with C (since rank S . Prentice Hall. con't As rank
(APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.. 2
2 6 4 3 7 5 2 6 4
Note:
RS = APA S + 2S = S
1
0
.Eigendecomposition of R and Its Properties. 2 . Stoica and R. 1997
. =0 A G=0
Slide L6–4
Lecture notes to accompany Introduction to Spectral Analysis by P..1) = AC S = A(PA S
( ) = rank(A) = n). since S G
j j 6= 0
4 . . Therefore..
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. Prentice Hall.
f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0.MUSIC Method
a (!1) . Moses. . 1997
Slide L6–5
. Stoica and R.
Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1 : : : z. Prentice Hall.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 .
a(z) = 1 z.(m. 1997 Slide L6–6
. a (!)G ^
Root MUSIC Method:
]
f!kgn=1 = the angular positions of the n roots of: ^ k
^^ aT (z.1)GG a(z) = 0
that are closest to the unit circle. Here.1)]T
Note: Both variants of MUSIC may produce spurious frequency estimates.
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. 1997
Slide L6–7
. ) f!kgn=1 can be found from the roots of ^ k aT (z.Pisarenko Method
Pisarenko is a special case of MUSIC with m (the minimum possible value). Moses. Prentice Hall. Stoica and R.
Stoica and R. Prentice Hall.
R( )
Let
"
1 = the vector in R(G). Moses. with ﬁrst element equal ^ ^ to one. Uses m n (as in MUSIC). that has minimum Euclidean norm. and reduce risk of false frequency estimates. but only one vector in G (as in Pisarenko). 1997
Slide L6–8
.MinNorm Method
Goals: Reduce computational burden. g
#
Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. 1997
Slide L6–9
.MinNorm Method. Moses. con't
Spectral MinNorm
f!gn=1 = ^k
the locations of the n highest peaks in the “pseudospectrum”
2 1 = a (!) 1 ^ g
" #
Root MinNorm
f!gn=1 = ^k
the angular positions of the n roots of the polynomial
aT (z.1) 1 ^ g
"
#
that are closest to the unit circle.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
k k2) = (S S ) ) (S S ).1 gm
" # " #
MinNorm Method: Determining g ^
Then:
1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . at least.S(S S ).S =(1 . Prentice Hall. for N 1. 1997 Slide L6–10
. (S S ).) ^^ I=S S=
Multiplying the above equation by gives:
(1 .1 g
+ S S . k k2) ) ^ = . Moses.1 = =(1 . k k2) g
Lecture notes to accompany Introduction to Spectral Analysis by P.1 exists iff = k k2 6= 1 (This holds.Let S
^= S g1 . Stoica and R. g
" #
MinNorm solution: As:
^ = .
Stoica and R.1]S
2 6 4 
3 7 5
Recall S
= AC with jC j 6= 0. Then S2 = A2C = A1DC = S1 C . 1997 Slide L6–11
.i!n S1 = Im. D= 0 e..1 0]A A2 = 0 Im..i!1 0 . where e.1 0]S S2 = 0 Im.1S1S2
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.ESPRIT Method
Let
A1 = Im.1DC
{z
}
So has the same eigenvalues as D . let
= A1D. Prentice Hall.1]A
Then A2
Also. determined as
is uniquely
= (S1S1).
1997
Slide L6–12
. 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. Moses.ESPRIT Implementation From the eigendecomposition of R.1S1S2 ^^ ^^
f!kgn=1 = .
^
^
^
^
The frequency estimates are found by:
where
f^kgn=1 are the eigenvalues of k ^ = (S1S1). ﬁnd S . Stoica and R. then S1 and S2 .
1997
.Summary of Frequency Estimation Methods
Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT
Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none
Recommendation:
Use Periodogram for mediumresolution applications
Use ESPRIT for highresolution applications
Slide L6–13
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. Stoica and R.
Prentice Hall.Filter Bank Methods
Lecture 7
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. 1997
Slide L7–1
.
1997 Slide L7–2
. Nonparametric Approach: Implicitly smooth ! !=. (
=2 2 =1
N > 1 leads to the variability / resolution compromise
associated with all nonparametric methods.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Basic Ideas
Two main PSD estimation approaches: 1. but 2 requires
to ensure that the number of estimated values = = ) is < N . by assuming that ! is nearly constant over the bands
f ( )g
( )
!.
(!) by a
2.
!+ ] N >1
1
2 is more general than 1. Prentice Hall. Moses. Parametric Approach: Parameterize ﬁnitedimensional model.
as well as (b) and (c).
!c
@Q Q !
. 1997
.
jH ( )j2 ( )d = ' 21
!+ !. 2 ! + 2 ]
Note that assumptions (a) and (b). are conﬂicting. Stoica and R.Filter Bank Approach to Spectral Estimation
H 6 (!)
1
!c
!
Filtered Signal
y (t)
.
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
(! )
.
Slide L7–3
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.
Moses. 1997
.i!k = 1 eiN (~.!) . 1 H (!) = hk e ! N ei(~.t) t=1
X X
= N
where
(
X
1
k=0
hk y(N . 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. Prentice Hall.!) . k)
2
! . Stoica and R.Filter Bank Interpretation of the Periodogram
1 N y(t)e. 1 k=0
X
1 ei!k k = 0 : : : N .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .
Stoica and R. con't
jH (!)j as a function of (~ . power calculation from only 1 sample of ﬁlter output. for N = 50. and: narrow ﬁlter passband. !
0 −5 −10
−15 dB
−20
−25
−30
−35
−40
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Conclusion: The periodogram p ! is a ﬁlter bank PSD estimator with bandpass ﬁlter as given above. Moses. !). 1997
Slide L7–5
.
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P.Filter Bank Interpretation of the Periodogram. Prentice Hall.
Both approaches compromise bias for variance. Prentice Hall. Use several bandpass ﬁlters on the whole sample. 1997
Slide L7–6
.
~
provides several samples for power calculation.
Lecture notes to accompany Introduction to Spectral Analysis by P. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. This approach leads to Bartlett and Welch methods. Each ﬁlter covers a small band centered on ! . 2.Possible Improvements to the Filter Bank Approach 1. and bandpass ﬁlter each subsample. Moses. Split the available sample. more data points for the power calculation stage. This “multiwindow approach” is similar to the Daniell method. Stoica and R.
Moses. Stoica and R.im! ]T
hk e. = h0 h1 : : : hm] . Prentice Hall.
yF (t) =
X
m
k=0

hk y(t . y(t . k)
2 6 4 
. 1997
Slide L7–7
. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y
{z } 7 5 {z } n o
y(t)
3
H (! ) =
where a
X
m
(! ) = 1
k=0 e.i!k = h a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P.i! : : : e.Capon Method
Idea: Datadependent bandpass ﬁlter design.
1 a (!)R a(!)
with
N 1 ^ y(t)~ (t) ~ y R = N .1a=a R. con't Capon Filter Design Problem:
min(h Rh) h
Solution:
subject to h
a(!) = 1
h0 = R. Moses. Stoica and R. 1997
Slide L7–8
.Capon Method.m t=m+1
X
Lecture notes to accompany Introduction to Spectral Analysis by P.1a
o
The power at the ﬁlter output is:
E jyF (t)j2 = h0Rh0 = 1=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 ! . Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.
Capon uses one bandpass ﬁlter only. 1997
Slide L7–9
.Capon Properties
m is the user parameter that controls the compromise
between bias and variance: – as m increases. Prentice Hall. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Moses.
. bias decreases and variance increases. Stoica and R.
Relation between Capon and BlackmanTukey Methods
Consider
^BT (!) with Bartlett window: m m + 1 . Prentice Hall.i!(t. j )] ^ r = m+1
X X X
Then we have
^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.i!k ^ k=.m m + 1 1 m m ^(t . Moses. s)e. jkj ^BT (!) = r(k)e.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . 1997
Slide L7–10
. Stoica and R.1a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997
Slide L7–11
. C ! generally has worse resolution and bias properties than the AR method. Moses. Due to the loworder AR terms in the average. Stoica and R.Relation between Capon and AR Methods Let
2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). C ! generally has less statistical variability than the AR PSD estimator.
AR Then
^C (!) =
1 1 m 1= ^AR(!) m + 1 k=0 k
X
Consequences: Due to the average over k. Prentice Hall.
^( )
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997
Slide L8–1
. Stoica and R. Moses. Prentice Hall.Spatial Methods — Part 1
Lecture 8
Lecture notes to accompany Introduction to Spectral Analysis by P.
@. Stoica and R. 1997 Slide L8–2
.
Sensor 1
@. . Prentice Hall. . @.@ . Moses... seismometers Applications: Radar. @. 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. .The Spatial Spectral Estimation Problem
Source 1
vSource 2
B B B B N B cccc ccc c c c c c
v
@ .
Sensor 2 Sensor
m
Problem: Detect and locate n radiating sources by using an array of m passive sensors. seismology. mechanical Receiving sensors: Hydrophones.R .@ . electromagnetic. communications. sonar. @.
v Source n
@. antennas.
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.)
Lecture notes to accompany Introduction to Spectral Analysis by P.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. 1997
Slide L8–3
. the array is calibrated. AOA).
g.
()
f kg with hk(t)
This is a timedelay estimation problem in the unknown input case.
Basic Problem: Estimate the time delays known but x t unknown. 1997 Slide L8–4
.. etc.
Lecture notes to accompany Introduction to Spectral Analysis by P.)
hk (t) = ek (t) =
Note:
t 2 R (continuoustime signals).. Then the output of sensor k is yk (t) = hk (t) x(t . background noise. Prentice Hall. at the “ﬁrst” sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k “noise” at the kth sensor (e.g. thermal noise in sensor electronics.Array Model — Single Emitter Case
x(t) =
k=
the signal waveform as measured at a reference point (e. Stoica and R. k) + ek (t) ( = convolution operator). Moses.
k ) ' (t) cos !ct + '(t) . Prentice Hall. !c k + argfHk (!c)g]
where Hk function
(!) = Ffhk(t)g is the kth sensor's transfer
Hence. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Moses. the kth sensor output is
yk (t) = jHk (!c)j (t) cos !ct + '(t) . !c k ] hk (t) x(t . Stoica and R. k) ' (t) '(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) .Narrowband Assumption
Assume: The emitted signals are narrowband with known carrier frequency !c . !c k + arg Hk (!c)] + ek(t)
Slide L8–5
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
.
i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. Moses. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e. 1997 Slide L8–6
or
.i!c k + ek (t) where s(t) is the complex envelope of x(t).i! + ek (t)

s(t)
{z
} 
Hk (!c)
{z
k
c
}
c k
yk (t) = s(t)Hk (!c) e.!ct = (t)f ei (t) + e.i 2!ct+ (t)] g
n o  {z }  {z }
Lowpass ﬁlter
2z(t)e.i!ct ~ = yk(t) cos(!ct) . Stoica and R.Complex Signal Representation The noisefree output has the form:
z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i!ct to obtain (t)ei (t)
lowpass
highpass
Hence. by lowpass ﬁltering and sampling the signal
yk (t)=2 = yk(t)e. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
1) c
Lecture notes to accompany Introduction to Spectral Analysis by P. 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.
1997
. Moses.1)!s ]T By direct analogy with the vector a(! ) made from
uniform samples of a sinusoidal time series. Prentice Hall.
Slide L8–11
d = spatial sampling period
Lecture notes to accompany Introduction to Spectral Analysis by P.i!s : : : e. Stoica and R.Spatial Frequency
Let:
sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.
!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.
Spatial Methods — Part 2
Lecture 9
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. Prentice Hall. 1997
Slide L9–1
.
Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering
Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation
There is a strong analogy between temporal ﬁltering and spatial ﬁltering. 1997
Slide L9–2
. Moses. Stoica and R. Prentice Hall.
1] y(t) = u(t) : : : u(t .1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .1 X
(t) = ei!t then yF (t) = h a(!)] u(t)
 {z }
ﬁlter transfer function
a(!) = 1 e. Prentice Hall.Analogy between Temporal and Spatial Filtering
Temporal FIR Filter:
yF (t) = hk u(t . Moses. k) = h y(t) k=0 h = ho : : : hm.
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L9–3
.i(m.i! : : : e. m + 1)]T
If u
m. Stoica and R.
Prentice Hall. Stoica and R.
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. Moses. 1997 Slide L9–4
.i!c 2 : : : e.
Lecture notes to accompany Introduction to Spectral Analysis by P.i!c m ]T
yF (t) = h a( )] s(t)
 {z }
The corresponding ﬁlter output is
ﬁlter transfer function
We can select h to enhance or attenuate signals coming from different DOAs.Analogy between Temporal and Spatial Filtering Spatial Filter:
fyk(t)gm=1 = k
the “spatial samples” obtained with a sensor array.
i m.  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.Analogy between Temporal and Spatial Filtering
u(t) = ei!t
z
1
s q..B .1
? 
1 . Moses. Cu(t) C 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 .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. 1997 Slide L9–5
.? B P C B C B B B . s qq
h

?
1
?

m. B B @ . Stoica and R. ! hm. B ..@ 0 B 1 C h @@ C B B e.i! Be 2 B !! B B B B .1
q . Prentice Hall. C C B C B C B C B C B A @ .
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. Stoica and R. Here. 1997
Slide L9–6
. Prentice Hall.Spatial Filtering. h a 0 . Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Spatial Filtering Uses
Spatial Filters can be used To pass the signal of interest only. by sweeping the ﬁlter through the DOA range of interest (“goniometer”). To locate an emitter in the ﬁeld of view. Stoica and R. Prentice Hall. 1997
Slide L9–7
. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal).
Nonparametric Spatial Methods
A Filter Bank Approach to DOA estimation. and evaluate the powers of the ﬁltered signals:
E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. Moses. Stoica and R.
( )Rh( ) give the
Slide L9–8
Lecture notes to accompany Introduction to Spectral Analysis by P. Basic Ideas Design a ﬁlter h
( ) such that for each
– It passes undistorted the signal with DOA = – It attenuates all DOAs
6=
Sweep the ﬁlter through the DOA range of interest. Prentice Hall. 1997
.
n o n
o
The (dominant) peaks of h DOAs of the sources.
Moses. y t can be considered as impinging on the array from all DOAs. 1997
Slide L9–9
.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.
()
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. Prentice Hall. Stoica and R.
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 . but
Slide L9–10
Lecture notes to accompany Introduction to Spectral Analysis by P. Resolution Threshold:
inf j k . Prentice Hall.
( )^ ( )
This is the direct spatial analog of the BlackmanTukey periodogram. pj > =
wavelength array length array beamwidth
Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Stoica and R.
1
= 1. Moses.
1a( )=a ( )R.Capon Method Filter design:
min(h Rh) subject to h a( ) = 1 h
Solution:
h = R. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.1a( )
n o
Implementation:
f^kg =
the locations of the n largest peaks of
^ 1=a ( )R. Both Beamforming and Capon are nonparametric approaches. 1997 Slide L9–11
.1a( ) E jyF (t)j2 = 1=a ( )R. Stoica and R. Moses. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( ):
Performance: Slightly superior to Beamforming.
Prentice Hall. MUSIC.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
.
Then:
R = E fy(t)y (t)g = APA + 2I
Thus: The NLS.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. MINNORM and ESPRIT methods of frequency estimation can be used. for DOA estimation. almost without modiﬁcation. YW.
Lecture notes to accompany Introduction to Spectral Analysis by P. As(t)k2 min(t)g N f k g fs t=1
X 
Minimizing f over s gives
f ( s)
{z
}
^(t) = (A A). A(A A). A(A A). Stoica and R.1A ]Rg ^ Thus. Prentice Hall. Moses. f ^k g = arg max trf A(A A).1A ]y(t) = N t=1 ^ = trf I . this is precisely the form of the NLS method of frequency estimation. 1997 Slide L9–13
=1
. A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A y(t) t = 1 : : : N s
X
Then
1 N k I .Nonlinear Least Squares Method
1 N ky(t) .1A ]Rg
X
f kg
For N .
Moses.Nonlinear Least Squares Method
Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L9–14
. Stoica and R.
n 0 V2 g L n M .) = n. Moses. Prentice Hall. is .= y
(M L)
Also assume:
M > n L > n ( ) m = M + L > 2n)
rank
~ (A) = rank(A) = n
" # " #
(.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 ~ .n ~ ~ Properties: A V2 = 0 V1 2 R(A)
Then: rank
{z} {z}
Lecture notes to accompany Introduction to Spectral Analysis by P. = U1 U2 ] 0 n n 0 V1 g n . and the SVD of . Stoica and R. 1997
Slide L9–15
.
Stoica and R. 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. (L 1). Moses. using 1 N y(t)~ (t) ^ . is the “array transfer vector” for y(t) a ~
at DOA
^ V2 is deﬁned similarly to V2. 1997
Slide L9–16
.YWMUSIC DOA Estimator
f^kg =
where
the n largest peaks of
1=~ ( )V2V2 ~( ) a ^^a
~( ).
MUSIC and MinNorm Methods
Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Moses. 1997
Slide L9–17
. Prentice Hall.
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. if rank
(P ) = rank(E fs(t)s (t)g) < n
Modiﬁcations that apply in the coherent case exist. that is.
Lecture notes to accompany Introduction to Spectral Analysis by P.i!c ( n) ( ) = the time delay from subarray 1 to
2 6 4
3 7 5
subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Let
m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2)
Then
A2 = A1D. 1997 Slide L9–18
( ) = d sin( )=c
..i!c ( 1) 0 . Moses. Prentice Hall.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Stoica and R.. where e. D= 0 e.
1997
Slide L9–19
.1]A
Lecture notes to accompany Introduction to Spectral Analysis by P. con't ESPRIT Scenario
source θ
known
subarray 1
displac ement v
ector
subarray 2
Properties: Requires special array geometry Computationally efﬁcient
No risk of spurious DOA estimates
Does not require array calibration Note: For a ULA.1 A2 = 0 Im.1
.1 A1 = Im. the two subarrays are often the ﬁrst m and last m array elements. Moses. so m m and
.ESPRIT Method. Stoica and R.1 0]A
= . Prentice Hall.