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

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

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

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

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

i!t Lecture notes to accompany Introduction to Spectral Analysis by P.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the finite DTFT of fy(t)g. 1997 Slide L1–8 . Prentice Hall. Moses. Stoica and R.Second Definition of PSD 1 N y(t)e. t=1 y(t)e.

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

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

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

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

Moses.Periodogram Recall 2nd definition of (! ): 1 N y(t)e. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). 1997 Slide L2–2 .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.

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

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

N ^p(!) = 1 y(t)e. Prentice Hall. Stoica and R. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.1 X = ^c(!) k=.1) r ^(k)e. 1997 .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(!).i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. Moses.(N .

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

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

Moses. (!) may differ quite a bit from (!). 1997 . Stoica and R. for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . Prentice Hall. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. WB 1=N .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0).

Moses. 1997 Slide L2–9 . Prentice Hall. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . ^ 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.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Stoica and R.

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

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. Lecture notes to accompany Introduction to Spectral Analysis by P. dev = φ(ω) too - Resolvability properties depend on both bias and variance. 1997 Slide L2–11 . (!1) ^p(!2) . Prentice Hall.Periodogram Variance As N !1 E ^p(!1) . Stoica and R.

i 2 .Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. 1997 Slide L2–12 . Stoica and R. 1 Direct computation of O N 2 flops ( ) . N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N .i!t 2 k and W = e.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.

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

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

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

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

Prentice Hall. with small weight applied to covariances r k with “large” k . ^( ) jj ^BT (!) = M .1 X k=. 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.(M . Stoica and R.Blackman-Tukey Method Basic Idea: Weighted correlogram.1) w(k)^(k)e. Moses.

Moses. Stoica and R. con't ^BT (!) = 1 ^p( )W (! . Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. )d 2 . 1997 .Blackman-Tukey Method.

0 Z | {z } If W (!) 0 (. Stoica and R. Prentice Hall. Moses. )d 2 . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: Time-Bandwidth Product M .(M (0) w Z w (k ) = equiv time width 1 2 .1 X . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.1) Ne = k=. 1997 Slide L3–4 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! .

As M increases. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. Lecture notes to accompany Introduction to Spectral Analysis by P. Ne (and hence fixed. Prentice Hall. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level).Window Design. Moses. Once M is given. once M is given. 1997 Slide L3–5 . Stoica and R. bias decreases and variance increases. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. ) Choose M as a tradeoff between variance and bias.

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

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

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

for N 1. ^D(!) ' 1 ^p(!)d! 2 . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window.Daniell Method. Then. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Prentice Hall. Stoica and R. 1997 Slide L3–11 .

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

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

! can approximate arbitrarily well any continuous PSD. 1997 Slide L4–2 ( ) . Note.θ) Estimate parameters in φ(ω. Stoica and R. Prentice Hall. P By Weierstrass theorem.i!k (!) = P jkj n k e.i!k (!) is a rational function in e. 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.θ) ^ θ Estimate PSD ^ ^ =φ(ω. provided m and n are chosen sufficiently large.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.i! . Moses.

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

Moses.k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . j ) (b0 = 1) Multiply by y (t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. k) and take E f g to give: X r (k ) + X 2 m bj hj . Prentice Hall. 1997 Slide L4–4 . i) = m j =0 bj E fe(t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . i) = X m j =0 bj e(t . j )y (t . Stoica and R.k = j =0 = 0 for k > m B (q) = 1 h q.

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

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

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

. . {z .. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 .Levinson–Durbin Algorithm Fast.1 1 . .. Moses.1 . Prentice Hall.. . Stoica and R. n .0 .n . order-recursive solution to YW equations 2 6 6 6 4 | 0 . 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).. . . 1997 Slide L4–8 ..

Stoica and R.Levinson-Durbin Alg. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Prentice Hall. Moses. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. . 1997 Slide L4–9 . 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.

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

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

i!k k=. Moses.MA Spectrum Estimation Two main ways to Estimate (! ): 1. 1997 Slide L4–12 . Prentice Hall. 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. Lecture notes to accompany Introduction to Spectral Analysis by P. with AR model order n . Stoica and R.m ^BT (!) with a rectangular lag window of 2m + 1. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.

A(q)y(t) = B (q)e(t) B (!) 2 = m=.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).m k e. k)] g = X n X n j =0 p=0 aj ap r(k + p . j ) Lecture notes to accompany Introduction to Spectral Analysis by P. k)] g = E f A(q)y(t)] A(q)y(t . 1997 Slide L4–13 .i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Moses. Prentice Hall. Stoica and R.

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

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

Stoica and R. 1) : : : ^(t . Note that the ai and bj coefficients enter linearly in the above equation: y(t) .y(t . 1997 Slide L4–16 . y(t . ^(t) ' . n) e ^(t . con't fe(t)g by ^(t) in the ARMA equation. Moses. 1) : : : . 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.Two-Stage Least-Squares Method. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

Moses. 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 . Examples: communications radar. 1997 .Line Spectra Many applications have signals with (near) sinusoidal components. Prentice Hall. !1 !2 !3 - An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.

Stoica and R. 1997 . ] (prevents model ambiguities) f'k g = independent rv's. uniformly distributed on . Prentice Hall. 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.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 .

Prentice Hall.i'j o = 1. e E xp(t)xj (t .i'j o e Z n 1 i' d' 2 = 0. 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 (! . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. k) = 2 ei!pk p j p n o Hence. 1997 . for p 6= j =2 . Stoica and R. for p = j e i'p e.Covariance Function and PSD Note that: E E n i'p e.i'j o = E nei'p o E ne.

^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.Parameter Estimation Estimate either: f!k k 'k gn=1 k 2 (Signal Model) f!k 2gn=1 2 k k Once (PSD Model) ^ Major Estimation Problem: f!k g f!kg are determined: ^ X f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p p=1 OR: Both k and 'k can be derived by a least squares method from f^ g f^ g X y(t) = with n k= k=1 k ei'k . Prentice Hall. 1997 Slide L5–5 . Moses. Stoica and R.

. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1 | y(t) . . Stoica and R. Moses. Prentice Hall. 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 . 1997 Slide L5–6 . .

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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10. 1997 Slide L5–8 . it is difficult to avoid convergence to local minima. Moses. ! Difficult Implementation: The NLS cost function F is multimodal.5.

Unwindowed Periodogram as an Approximate NLS Method

For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:

n=1
X

B B=N
N t=1

BY=

y(t)e;i!t = Y (!)

(finite DTFT)

1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.

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

Slide L5–10

High-Order Yule-Walker Method Recall:

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

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

n

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

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

Let

B (q) = 1 +

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

L

Then B

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

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

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

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

V . (U V )b = . Stoica and R. y = . diagonal and nonsingular Thus. Prentice Hall. n) spurious zeros of B (q ) are located strictly inside the unit circle. Lecture notes to accompany Introduction to Spectral Analysis by P. if the Minimum-Norm solution b is used. 1997 Slide L5–14 . Moses.1U Important property: The additional (L . The Minimum-Norm solution is b = . 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).High-Order and Overdetermined YW Equations.

Lecture notes to accompany Introduction to Spectral Analysis by P. this approach may give spurious frequency estimates when L > n. . V be defined similarly to U . V from the Let U . r . Prentice Hall. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. 1997 Slide L5–15 . Moses. Compute ^ = . this is the price paid for increased accuracy when L > n. SVD of .V ^ . Stoica and R. f^ g When the SNR is low.HOYW Equations.

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.

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

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

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

f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Prentice Hall.MUSIC Method a (!1) . 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. Stoica and R. . Moses. 1997 Slide L6–5 .

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

Moses.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Prentice Hall. 1997 Slide L6–7 .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. ) f!kgn=1 can be found from the roots of ^ k aT (z. Stoica and R.

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

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

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

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

Prentice Hall. find S .ESPRIT Implementation From the eigendecomposition of R. Stoica and R. Moses. ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1).1S1S2 ^^ ^^ f!kgn=1 = . 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 . then S1 and S2 .

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

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

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

Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. are conflicting. Z 6 ~ (! ) @ -! (b) Z !c ^FB (!) ' 1 2 (a) . Stoica and R. 2 ! + 2 ] Note that assumptions (a) and (b). Moses. jH ( )j2 ( )d = ' 21 !+ !. 1997 . !c @Q Q -! .with varying ! Power Calculation Bandpass Filter c and xed bandwidth - Power in the band - Division by lter bandwidth ^(!c ) - 6 y y (! ) . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband filter with bandwidth (c) ( ) constant on 2 ! . as well as (b) and (c). Prentice Hall.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c -! Filtered Signal y (t) .

!) . k) 2 ! . 1997 .!) . 1 H (!) = hk e ! N ei(~. Moses.t) t=1 X X = N where ( X 1 k=0 hk y(N .Filter Bank Interpretation of the Periodogram 1 N y(t)e. Stoica and R.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .i!k = 1 eiN (~. Prentice Hall. 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1 k=0 X 1 ei!k k = 0 : : : N .

Filter Bank Interpretation of the Periodogram. Prentice Hall. !). 1997 Slide L7–5 . con't jH (!)j as a function of (~ . 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. power calculation from only 1 sample of filter output. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. for N = 50. Moses. Stoica and R.

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

yF (t) = X m k=0 | hk y(t . = h0 h1 : : : hm] .im! ]T hk e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. y(t . Moses. k) 2 6 4 | .i! : : : e. 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.Capon Method Idea: Data-dependent bandpass filter design. Stoica and R. 1997 Slide L7–7 . Prentice Hall.

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

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

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

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. Prentice Hall. 1997 Slide L7–11 . 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 low-order AR terms in the average. Stoica and R. C ! generally has less statistical variability than the AR PSD estimator. Moses.

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

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

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

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

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

i! + ek (t) | s(t) {z } | Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i!ct to obtain (t)ei (t) lowpass highpass Hence. 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. Moses. Stoica and R.Complex Signal Representation The noise-free output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. by low-pass filtering and sampling the signal yk (t)=2 = yk(t)e. Prentice Hall.!ct = (t)f ei (t) + e.i 2!ct+ (t)] g n o | {z } | {z } Lowpass filter 2z(t)e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!c k + ek (t) where s(t) is the complex envelope of x(t).i!ct ~ = yk(t) cos(!ct) . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–6 or .

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

Stoica and R. 1997 Slide L8–10 . 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 . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

i!s : : : e. Prentice Hall. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i(m. 1997 . 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 one-to-one for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Moses.

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

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

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

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

Prentice Hall. | e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal filter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2.B .? B -P C B C B B B . B .1 q . C C B C B C B C B C B A @ . Stoica and R. ? qq 1 ! (Spatial sampling) (b) Spatial filter Lecture notes to accompany Introduction to Spectral Analysis by P.i! Be 2 B !! B B B B .i m.i! C @ h a(!)]u(t) R @ C . ! hm. Cu(t) C B ..1 ? - 1 . s qq h - ? 1 ? - m.@ 0 B 1 C h @@ C B B e. Moses.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 B @ .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.

1997 Slide L9–6 . Prentice Hall. Stoica and R. Here. con't Example: The response magnitude h a of a spatial filter (or beamformer) for a 10-element ULA. where 0 j ( )j = ( ) = 25 0 30 −30 Th et a (d eg ) 60 −60 90 0 2 4 6 Magnitude 8 10 −90 Lecture notes to accompany Introduction to Spectral Analysis by P. h a 0 . Moses.Spatial Filtering.

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

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. 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 . n o n o The (dominant) peaks of h DOAs of the sources.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R.

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

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

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. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). 1997 Slide L9–11 . Moses.1a( ) E jyF (t)j2 = 1=a ( )R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Prentice Hall. Stoica and R.1a( ): Performance: Slightly superior to Beamforming.1a( )=a ( )R.

Moses. MIN-NORM and ESPRIT methods of frequency estimation can be used. Stoica and R. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. YW. almost without modification.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 . Prentice Hall. MUSIC. Lecture notes to accompany Introduction to Spectral Analysis by P. for DOA estimation.

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

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

1997 Slide L9–15 .) = n.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank |{z} |{z} Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Yule-Walker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ . is . Stoica and R. = U1 U2 ] 0 n n 0 V1 g n . and the SVD of .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (.n 0 V2 g L n M . Prentice Hall.

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 . Stoica and R. (L 1).YW-MUSIC 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. Prentice Hall.

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

1997 Slide L9–18 ( ) = d sin( )=c .ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.i!c ( 1) 0 . Stoica and R. D= 0 e. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D. Moses.. Prentice Hall.. where e.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Lecture notes to accompany Introduction to Spectral Analysis by P.

so m m and .1]A Lecture notes to accompany Introduction to Spectral Analysis by P. the two subarrays are often the first m and last m array elements. Prentice Hall. Stoica and R. 1997 Slide L9–19 .1 0]A = . 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. Moses.1 .ESPRIT Method.1 A1 = Im.

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