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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
Prentice Hall. Stoica and R.1 y(t)e. Moses.1 = t= If: discretetime deterministic data sequence X 1 t=.Deterministic Signals fy(t)g1 .1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–4 .
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.1 X (k)e. Moses. Prentice Hall. 1997 .1 y(t)y (t .i!k (k) = 1 t=. S (!)d! t=. Stoica and R.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .
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. 1997 Slide L1–6 .Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Prentice Hall. Moses. Stoica and R.
Stoica and R.k) r(0) jr(k)j Z Note that r(k) = 21 . Moses.First Deﬁnition of PSD (! ) = where r X 1 k=. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . 1997 Slide L1–7 . k)g r(k) = r (.1 r(k)e.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Prentice Hall. (!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P.
Second Deﬁnition of PSD 1 N y(t)e.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L1–8 .i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g. Stoica and R. Prentice Hall. t=1 y(t)e.
Then: (! ) = (. Thus. 1997 Slide L1–9 .1=2 1=2] (!) 0 (t) is real.Properties of the PSD P1: (!) = (! + 2 ) for all !. we can restrict attention to !2 .! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. P2: ] () f 2 . Moses.! ) Otherwise: (! ) 6= (. Prentice Hall. Stoica and R.
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. 1997 Slide L1–10 . Prentice Hall. Stoica and R.Transfer of PSD Through Linear Systems System Function: where q .k = unit delay operator: q. k) hk e.1y(t) = y(t . 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t . Moses.
The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . 1997 Slide L1–11 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Moses. Stoica and R. Prentice Hall. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Prentice Hall. Stoica and R.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–1 .
Stoica and R. Prentice Hall.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. 1997 Slide L2–2 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.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.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).
Moses. Stoica and R.1) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. 1997 Slide L2–3 .(N .i!k ^c(!) = k=.1 X r(k)e.i!k (k)” by “^(k)”: r r ^(k)e.1 N .
k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. 1997 Slide L2–4 . 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 .Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . k) k 0 ^ r(k) = N . Prentice Hall.
Stoica and R.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. Prentice Hall.1) r ^(k)e.1 X = ^c(!) k=. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.(N . 1997 . N ^p(!) = 1 y(t)e.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!).i!t N t=1 X 2 = N .
p! f^( ) . even for large N . ^p(!) and ^c(!) have poor performance.1 are small. Intuitive explanation: r(k) . the PSD error is large. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. ( )g ^ ( ) . 1997 Slide L2–6 . jk =0 there are “so many” that when summed in ! . Moses.Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance. Prentice Hall. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Thus.
Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. 1 jkj N Bartlett.1 jkj r(k)e. or triangular.i!k k=. Stoica and R. 1997 . window E ^p(!) = 21 .i!k r k=.1 X wB (k) = 8 < : = Thus.1 n o n o X ! X N . Moses.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.1) N . Prentice Hall. N k=. jNj jkj N .(N .i!k = 1. ( )WB (! .(N . n o 0 k 1 .1) 1 = wB (k)r(k)e. ) d Z Ideally: WB (!) = Dirac impulse (!).
Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). 1997 . WB 1=N . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . Stoica and R. (!) may differ quite a bit from (!).
Moses. ^ 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. 1997 Slide L2–9 . φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N .Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable.
!1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Prentice Hall. so ! is asymptotically unbiased. WB ! !. 1997 Slide L2–10 . Stoica and R. severe bias As N .
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. (!1) ^p(!2) .Periodogram Variance As N !1 E ^p(!1) . dev = φ(ω) too  Resolvability properties depend on both bias and variance. 1997 Slide L2–11 . (!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. Stoica and R. Prentice Hall.
1997 Slide L2–12 . 1 Direct computation of O N 2 ﬂops ( ) .i!t 2 k and W = e. Stoica and R.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Moses. 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 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P.i 2 . Prentice Hall.
Prentice Hall. Moses. 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. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : 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 = .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. ~ 4 = 0 2 4 : : : N .i2 =N . Stoica and R.
2k + 2c ck = 2 k. Moses. Prentice Hall.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 1997 Slide L2–14 .FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. N=8 ω 2 k N . Prentice Hall. Moses. 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 . Stoica and R.1 N k=0 sampled.
Prentice Hall.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–1 . Moses. 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. 1997 Slide L3–2 . Moses. with small weight applied to covariances r k with “large” k . Stoica and R. Prentice Hall. ^( ) jj ^BT (!) = M .1) w(k)^(k)e.(M .BlackmanTukey Method Basic Idea: Weighted correlogram.1 X k=.
Moses. 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. con't ^BT (!) = 1 ^p( )W (! . Stoica and R. )d 2 . 1997 .BlackmanTukey Method. Prentice Hall.
)d 2 .1) Ne = k=. 1997 Slide L3–4 . Stoica and R.(M (0) w Z w (k ) = equiv time width 1 2 .1 X . Moses. 0 Z  {z } If W (!) 0 (. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . Prentice Hall.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Once M is given. once M is given. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. bias decreases and variance increases. ) Choose M as a tradeoff between variance and bias. Ne (and hence ﬁxed. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. As M increases. 1997 Slide L3–5 . Stoica and R.Window Design.
Stoica and R. Moses. 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. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Prentice Hall. 1997 Slide L3–6 .
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and 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
f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . Moses.Daniell Method By a previous result. Prentice Hall. for N 1. Stoica and R. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. 1997 Slide L3–10 .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 .
Stoica and R. 1997 Slide L3–11 . ^D(!) ' 1 ^p(!)d! 2 . for N 1. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Then. Moses. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window.Daniell Method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Stoica and R. 1997 . Daniell Periodogram – Approximate interpretation: spectral window. Moses. BT periodogram – Local smoothing/averaging of spectral window. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. Prentice Hall. ^ () – Implemented by averaging subsample periodograms.Summary of Periodogram Methods Unwindowed periodogram – reasonable bias – unacceptable variance Modiﬁed periodograms – Attempt to reduce the variance at the expense of (slightly) increasing the bias. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. more general for Welch).
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! . Moses. 1997 Slide L4–2 ( ) . Note. ! can approximate arbitrarily well any continuous PSD.θ) Estimate parameters in φ(ω. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. P By Weierstrass theorem. Prentice Hall.i!k (!) = P jkj n k e.θ) ^ θ Estimate PSD ^ ^ =φ(ω.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. Stoica and R. provided m and n are chosen sufﬁciently large.i!k (!) is a rational function in e.
1997 . and ARMA Models By Spectral Factorization theorem.n B (z) = 1 + b1z. Stoica and R.1 + + anz. Moses. Prentice Hall.g.m and.AR. MA..1 + + bmz. e. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. 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. k) and take E f g to give: X r (k ) + X 2 m bj hj . j )y (t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k .k = j =0 = 0 for k > m B (q) = 1 h q. k)g Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–4 . Stoica and R. i) = m j =0 bj E fe(t . Moses. j ) (b0 = 1) Multiply by y (t . i) = X m j =0 bj e(t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t .
1997 Slide L4–5 . Moses. r(1) r(0) .1) : : : r(. 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. . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. . Prentice Hall.AR Signals: YuleWalker Equations AR: m = 0. Stoica and R. . 2 1 a1 = 0 . . . . Lecture notes to accompany Introduction to Spectral Analysis by P.1) .n) .
Prentice Hall. . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. r .1) . ^(. . 1997 Slide L4–6 . .1) : : : ^(.AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(.n) 1 r r ^2 . Stoica and R. . . Moses. .1 = 0 a . r ^(1) r(0) ^ ^.
(Y Y ). 1) y(N . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . 1) y(n + 1) y(n) . y(N . .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . 1997 Slide L4–7 . . Moses.AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . n)]T . 1) : : : y (t . n) . Stoica and R. 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 . . Find i=1 aiy(t . Prentice Hall. ^ = .
. .. {z .1 . Prentice Hall. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 .0 ..n . 1997 Slide L4–8 . . orderrecursive solution to YW equations 2 6 6 6 4  0 . Stoica and R. 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). n .. . Moses. .1 1 .Levinson–Durbin Algorithm Fast. 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. .. .
Prentice Hall.LevinsonDurbin Alg. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 1997 Slide L4–9 . Moses. Stoica and R. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . . con't Relevant Properties of R: Rx = y $ Rx = y. 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. Stoica and R. 2 kn = . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 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. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.LevinsonDurbin Alg. 1997 .
i!k (!) = jB(!)j k=. Stoica and R. Prentice Hall.m X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–11 .MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . r(k) = 0 for jkj > m and 2 2 = m r(k)e. 1) + + bme(t . m) Thus. Moses.
Stoica and R. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. with AR model order n . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L4–12 .m ^BT (!) with a rectangular lag window of 2m + 1.i!k k=. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below.MA Spectrum Estimation Two main ways to Estimate (! ): 1.
Moses.m k e. A(q)y(t) = B (q)e(t) B (!) 2 = m=. Stoica and R.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). 1997 Slide L4–13 .i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Prentice Hall. 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 . k)] g = E f A(q)y(t)] A(q)y(t .
can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. ^(!) 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.i!k k=. Prentice Hall. Moses.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). 1997 Slide L4–14 . Estimate fai bj A(!) nonlinear estimation problem. Stoica and R. Estimate fai r(k)g in (!) = P m .
TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. Moses. Stoica and R. 1) + e and its variance + ^K y(t . K ) ^2 = N 1 j^(t)j2 e N . for some large K e(t) ' y(t) + 1y(t . Prentice Hall. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–15 . 1) + 2y(t . 1) + + K y(t .
1) : : : . 1) : : : ^(t . y(t . Stoica and R.y(t . Prentice Hall. e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. 1997 Slide L4–16 . ^(t) ' . n) e ^(t . con't fe(t)g by ^(t) in the ARMA equation. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P.TwoStage LeastSquares Method. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . Moses.
. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . . = f^ g Y W system of equations. r f^ g . 1) : : : r(m .. Prentice Hall. . Stoica and R.6 4 Replace fr(k)g by f^(k)g and solve for faig. If M > n overdetermined squares solution for ai . . fast Levinsontype algorithms exist for obtaining ai . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. n + 2) . n + 1) r(m . # 2 = r(m + M . n + M ) .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . .. least f^ g Note: For narrowband ARMA signals. . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. . : : : r(m . Moses. = m + 1 ::: m + M a1 an . . 5 . 1997 Slide L4–17 .
Moses. 1997 Slide L4–18 . Prentice Hall.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Stoica and R. Prentice Hall. Moses.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–1 .
Moses. 1997 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 .Line Spectra Many applications have signals with (near) sinusoidal components. Examples: communications radar. Stoica and R. Prentice Hall.
Prentice Hall. ] (prevents model ambiguities) f'k g = independent rv's. superimposed in white noise of k 2. Moses. ] (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 .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . uniformly distributed on . Stoica and R.
Moses.i'j o e Z n 1 i' d' 2 = 0. Prentice Hall. r(k) = E fy(t)y (t . k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! .Covariance Function and PSD Note that: E E n i'p e.i'j o = E nei'p o E ne. for p = j e i'p e. for p 6= j =2 . 1997 . e E xp(t)xj (t .i'j o = 1. Stoica and R. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. k) = 2 ei!pk p j p n o Hence.
1997 Slide L5–5 . ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall.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 .
Moses. . . X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . . Stoica and R. Prentice Hall. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–6 .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) .
1B Y This gives: ^ = (B B).1B Y ] +Y Y . Stoica and R. Y B(B B).1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. con't Then: F = (Y . B ) (Y . (B B). Prentice Hall.1B Y ] B B] . Moses. B ) = kY . B k2 = . (B B).1B Y !=^ ! and ! = arg max Y B (B B ).Nonlinear Least Squares (NLS) Method. 1997 Slide L5–7 .
Moses. ! Difﬁcult Implementation: The NLS cost function F is multimodal. 1997 Slide L5–8 . 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. Prentice Hall.5. Lecture notes to accompany Introduction to Spectral Analysis by P. it is difﬁcult to avoid convergence to local minima.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
1997 Slide L5–12 . Prentice Hall. Moses.HighOrder YuleWalker Method. 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. along with L . f!kgn=1. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P.
. 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. Moses.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . . r(L + M . . . Stoica and R. r(L + 2) . 1997 Slide L5–13 . i) = 0 k > L In matrix form for k 2 6 6 6 4  = L + 1 ::: L + M 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 } : : : r(1) r(L + 1) : : : r(2) b = . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
1U Important property: The additional (L . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. (U V )b = . Stoica and R. if the MinimumNorm solution b is used. The MinimumNorm solution is b = . 1997 Slide L5–14 . n) spurious zeros of B (q ) are located strictly inside the unit circle.V . diagonal and nonsingular Thus.HighOrder and Overdetermined YW Equations. y = . 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).
HOYW Equations. Compute ^ = . . V be deﬁned similarly to U . this is the price paid for increased accuracy when L > n. f^ g When the SNR is low. V from the Let U . this approach may give spurious frequency estimates when L > n. r . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–15 .1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. Prentice Hall. Stoica and R. SVD of .V ^ . Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. Moses.
Stoica and R. Moses. Prentice Hall. 1997 Slide L6–1 .Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P.
The Covariance Matrix Equation Let: a(!) = 1 e.. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. .i! : : : e. m + 1) .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . Moses. Stoica and R. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . Prentice Hall. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . m + 1)]T e 4 R = E fy(t)~ (t)g = APA + 2I ~ y Then with 2 P = E fx(t)~ (t)g = ~ x 6 4 2 1 0 .. 1997 Slide L6–2 .i(m.
1997 Slide L6–3 . 2 R = S G] 6 4 1 3 " ..ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Moses.. n)) Thus.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. Stoica and R. Prentice Hall.n] (m (m . m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 .. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. Prentice Hall. Moses. Therefore.Eigendecomposition of R and Its Properties. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . .1) = AC S = A(PA S ( ) = rank(A) = n). = = nonsingular 0 n. since S G j j 6= 0 4 . Stoica and R. 0 n 3 7 5 with C (since rank S . 2 .. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P..
1997 Slide L6–5 . Moses. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Prentice Hall. Stoica and R. 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. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus.MUSIC Method a (!1) . .
Stoica and R.1)GG a(z) = 0 that are closest to the unit circle.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 . Lecture notes to accompany Introduction to Spectral Analysis by P.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates.(m. a(z) = 1 z. Here. 1997 Slide L6–6 . Moses.1 : : : z. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Prentice Hall.
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.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Moses. If: =n+1 m=n+1 Then: ^ g G = ^1. Prentice Hall. 1997 Slide L6–7 . ) f!kgn=1 can be found from the roots of ^ k aT (z. Stoica and R.
MinNorm Method Goals: Reduce computational burden. g # Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. with ﬁrst element equal ^ ^ to one. that has minimum Euclidean norm. but only one vector in G (as in Pisarenko). Uses m n (as in MUSIC). and reduce risk of false frequency estimates. Moses. Prentice Hall. 1997 Slide L6–8 . R( ) Let " 1 = the vector in R(G).
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. 1997 Slide L6–9 . Stoica and R.MinNorm Method.1) 1 ^ g " # that are closest to the unit circle. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
k k2) = (S S ) ) (S S ).1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .S(S S ).1 = =(1 . (S S ). at least. for N 1. Stoica and R. 1997 Slide L6–10 . k k2) ) ^ = .1 exists iff = k k2 6= 1 (This holds.Let S ^= S g1 . Prentice Hall. Moses. g " # MinNorm solution: As: ^ = . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P.) ^^ I=S S= Multiplying the above equation by gives: (1 .S =(1 .1 g + S S .
1]A Then A2 Also.1 0]S S2 = 0 Im. Stoica and R. let = A1D.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. Prentice Hall. where e. determined as is uniquely = (S1S1).ESPRIT Method Let A1 = Im.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.1 0]A A2 = 0 Im. Moses.i!n S1 = Im.i!1 0 . D= 0 e.. 1997 Slide L6–11 . Then S2 = A2C = A1DC = S1 C ..1DC {z } So has the same eigenvalues as D .
ﬁnd S . 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. 1997 Slide L6–12 . Stoica and R.ESPRIT Implementation From the eigendecomposition of R. Prentice Hall. Moses.1S1S2 ^^ ^^ f!kgn=1 = . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1).
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. Stoica and R. Moses. Prentice Hall.
Moses.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L7–1 . Prentice Hall.
Parametric Approach: Parameterize ﬁnitedimensional model. but 2 requires to ensure that the number of estimated values = = ) is < N . Prentice Hall. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Nonparametric Approach: Implicitly smooth ! !=. (!) by a 2. 1997 Slide L7–2 . Lecture notes to accompany Introduction to Spectral Analysis by P.Basic Ideas Two main PSD estimation approaches: 1. !+ ] N >1 1 2 is more general than 1. Moses. Stoica and R. by assuming that ! is nearly constant over the bands f ( )g ( ) !.
Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 1997 . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . Stoica and R. 2 ! + 2 ] Note that assumptions (a) and (b).Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . !c @Q Q ! . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . are conﬂicting.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . as well as (b) and (c). jH ( )j2 ( )d = ' 21 !+ !.
i!k = 1 eiN (~.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(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.!) . k) 2 ! . 1 k=0 X 1 ei!k k = 0 : : : N . Moses.Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1997 .t) t=1 X X = N where ( X 1 k=0 hk y(N . Prentice Hall. Stoica and R. 1 H (!) = hk e ! N ei(~.
^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. con't jH (!)j as a function of (~ . !). 1997 Slide L7–5 . ! 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. for N = 50. Moses. and: narrow ﬁlter passband.Filter Bank Interpretation of the Periodogram. power calculation from only 1 sample of ﬁlter output.
Split the available sample. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Stoica and R. ~ provides several samples for power calculation. This approach leads to Bartlett and Welch methods. Prentice Hall. Moses. Both approaches compromise bias for variance. Use several bandpass ﬁlters on the whole sample. more data points for the power calculation stage. This “multiwindow approach” is similar to the Daniell method. Lecture notes to accompany Introduction to Spectral Analysis by P. 2.Possible Improvements to the Filter Bank Approach 1. 1997 Slide L7–6 . Each ﬁlter covers a small band centered on ! . and bandpass ﬁlter each subsample.
Moses. Prentice Hall. Stoica and R.Capon Method Idea: Datadependent bandpass ﬁlter design. = h0 h1 : : : hm] . 1997 Slide L7–7 . k) 2 6 4  .i! : : : e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.im! ]T hk e. yF (t) = X m k=0  hk y(t . y(t .
m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .1a(!) which should be the power of y (t) in a passband centered on ! .1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.Capon Method. Moses. Stoica and R. Prentice Hall.1a=a R. 1997 Slide L7–8 .
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. .Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. bias decreases and variance increases. Stoica and R. Capon uses one bandpass ﬁlter only. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. 1997 Slide L7–9 .
i!k ^ k=.i!(t.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . Prentice Hall. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.m m + 1 1 m m ^(t . s)e. 1997 Slide L7–10 .1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . jkj ^BT (!) = r(k)e. Moses. Stoica and R.
1997 Slide L7–11 . Prentice Hall.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). C ! generally has worse resolution and bias properties than the AR method. Moses. 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. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Due to the loworder AR terms in the average. Stoica and R.
Stoica and R.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–1 . Moses. Prentice Hall.
@. v Source n @. electromagnetic.. @. . antennas. Prentice Hall. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. seismology.@ . mechanical Receiving sensors: Hydrophones. Emitted energy: Acoustic. sonar. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P. Sensor 1 @. communications. @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . @..R .@ . . seismometers Applications: Radar. Moses. Stoica and R. 1997 Slide L8–2 .. @. . .
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. AOA). Prentice Hall. the array is calibrated. The number of sources n is known. Moses.) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–3 . (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.
Stoica and R. thermal noise in sensor electronics. at the “ﬁrst” sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k “noise” at the kth sensor (e.g. Basic Problem: Estimate the time delays known but x t unknown. etc. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals).. k) + ek (t) ( = convolution operator). () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. Moses. Then the output of sensor k is yk (t) = hk (t) x(t .g.. background noise. 1997 Slide L8–4 .Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.
Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Moses. !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. k ) ' (t) cos !ct + '(t) . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. k ) ' jHk (!c)j (t)cos !ct + '(t) . Stoica and R. !c k ] hk (t) x(t . k) ' (t) '(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . 1997 .
Moses. 1997 Slide L8–6 or .Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.!ct = (t)f ei (t) + e.i!ct to obtain (t)ei (t) lowpass highpass Hence.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!ct ~ = yk(t) cos(!ct) .i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i!c k + ek (t) where s(t) is the complex envelope of x(t).i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
1997 Slide L8–10 .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 . Prentice Hall. Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. !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. 1997 . Prentice Hall.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.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Moses.i(m.i!s : : : e.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R. 1997 Slide L9–1 .
Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Prentice Hall. 1997 Slide L9–2 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
i! : : : e.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . 1997 Slide L9–3 . Moses. Prentice Hall.1] y(t) = u(t) : : : u(t . m + 1)]T If u m. Stoica and R. k) = h y(t) k=0 h = ho : : : hm.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. Lecture notes to accompany Introduction to Spectral Analysis by P.i(m.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .
Moses. 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.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs.i!c 2 : : : e. 1997 Slide L9–4 . Prentice Hall.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
i! Be 2 B !! B B B B .1 ?  1 .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.. C C B C B C B C B C B A @ . 1997 Slide L9–5 .? B P C B C B B B . s qq h  ? 1 ?  m. ! hm.@ 0 B 1 C h @@ C B B e. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.i m. B .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q. Stoica and R. B B @ .B .  e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal ﬁlter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2. Prentice Hall.1 q . Cu(t) C B .i! C @ h a(!)]u(t) R @ C .. Moses.
h a 0 . Prentice Hall. Here. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA.Spatial Filtering. Moses. 1997 Slide L9–6 . 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. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. To locate an emitter in the ﬁeld of view. 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”). hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). 1997 Slide L9–7 .
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.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. n o n o The (dominant) peaks of h DOAs of the sources. Stoica and R. Prentice Hall. Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest. 1997 . ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
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. Stoica and R. Moses. Prentice Hall. y t can be considered as impinging on the array from all DOAs. () 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.
1 = 1.Implementation of Beamforming 1 N y(t)y (t) ^ R=N t=1 X The beamforming DOA estimates are: f^kg = the locations of the n largest peaks of a Ra . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. ( )^ ( ) 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. Resolution Threshold: inf j k . 1997 .
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. 1997 Slide L9–11 . Stoica and R. Both Beamforming and Capon are nonparametric approaches. Prentice Hall.1a( ) E jyF (t)j2 = 1=a ( )R.1a( ): Performance: Slightly superior to Beamforming.1a( )=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).
for DOA estimation. Moses. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. 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. almost without modiﬁcation. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L9–12 . YW. Stoica and R. MINNORM and ESPRIT methods of frequency estimation can be used.
1A ]y(t) = N t=1 ^ = trf I .Nonlinear Least Squares Method 1 N ky(t) . Prentice Hall. As(t)k2 min(t)g N f k g fs t=1 X  Minimizing f over s gives f ( s) {z } ^(t) = (A A).1A y(t) t = 1 : : : N s X Then 1 N k I . Moses. A(A A). A(A A). this is precisely the form of the NLS method of frequency estimation. 1997 Slide L9–13 =1 .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . f ^k g = arg max trf A(A A). Stoica and R.1A ]Rg ^ Thus. A(A A). Lecture notes to accompany Introduction to Spectral Analysis by P.1A ]Rg X f kg For N .
Prentice Hall. 1997 Slide L9–14 . Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Stoica and R. Moses.
n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. and the SVD of . = U1 U2 ] 0 n n 0 V1 g n . Stoica and R.n 0 V2 g L n M . Moses.YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ . 1997 Slide L9–15 . is . Prentice Hall.) = n.
using 1 N y(t)~ (t) ^ . (L 1). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ).=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. Stoica and R. Moses. Prentice Hall. 1997 Slide L9–16 .
that is. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–17 . 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. Prentice Hall. Stoica and R. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Moses.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem.
ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. where e. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.. D= 0 e. Moses.i!c ( 1) 0 . 1997 Slide L9–18 ( ) = d sin( )=c . 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.
1 0]A = . the two subarrays are often the ﬁrst m and last m array elements. 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. so m m and . Moses.1 . 1997 Slide L9–19 .1 A2 = 0 Im.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 A1 = Im.ESPRIT Method. Stoica and R.