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. Prentice Hall. 1997
Slide L1–4
.i!t
exists and is called the DiscreteTime Fourier Transform (DTFT)
Lecture notes to accompany Introduction to Spectral Analysis by P.1
y(t)e. Stoica and R.1
jy(t)j2 < 1
X
Then:
Y (! ) =
1
t=.1 = t=
If:
discretetime deterministic data sequence
X
1
t=.
i!k
(k) =
1
t=. Prentice Hall.1
y(t)y (t . 1997
. S (!)d! t=.1
X Z
1
where
4 S (!) = jY (!)j2 = Energy Spectral Density
We can write
S (!) =
where
X
1
k=. Moses. Stoica and R.Energy Spectral Density
Parseval's Equality:
jy(t)j2 = 21 .1
X
(k)e. k)
Slide L1–5
Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Stoica and R. Moses.Random Signals
Random Signal
random signal probabilistic statements about future variations t current observation time
Here:
X
1
t=.1
n
jy(t)j2 = 1
o
But:
E jy(t)j2 < 1
E f g = Expectation over the ensemble of realizations E jy(t)j2
n o
= Average power in y
(t)
PSD = (Average) power spectral density
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L1–6
.
First Deﬁnition of PSD
(! ) =
where r
X
1
k=. (!)d!
Z
(!)d! =
inﬁnitesimal signal power in the band
! d! 2
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L1–7
. Prentice Hall. (!)ei!k d!
n o
(Inverse DTFT)
Interpretation:
so
r(0) = E jy(t)j2 = 21 . k)g r(k) = r (.1
r(k)e. Moses.k) r(0) jr(k)j
Z
Note that
r(k) = 21 . Stoica and R.i!k
(k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .
Moses.
t=1
y(t)e.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.i!t
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Second Deﬁnition of PSD
1 N y(t)e.
! ) Otherwise: (! ) 6= (. 1997
Slide L1–9
.1=2 1=2]
(!) 0 (t) is real. Prentice Hall. Then: (! ) = (. we can restrict attention to
!2 .Properties of the PSD
P1:
(!) = (! + 2 ) for all !.
Thus.
P2:
] () f 2 . Stoica and R.! )
P3: If y
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
1997
Slide L1–10
.k
= unit delay operator: q. Prentice Hall.i!k
H (! ) =
X
1
y (!) = jH (!)j2 e(!)
k=0
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1y(t) = y(t . k) hk e.Transfer of PSD Through Linear Systems
System Function: where q . Stoica and R. 1)
H (q ) y (t) 2 y (! ) = jH (! )j
e(
e(t) e (! )
Then
!)
y(t) =
X
1
k=0
hk e(t .1
H (q) =
X
1
k=0
hk q.
]g
Find an estimate of
Two Main Approaches :
Nonparametric: – Derived from the PSD deﬁnitions.
Parametric: – Assumes a parameterized functional form of the PSD
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. Stoica and R.The Spectral Estimation Problem
The Problem: From a sample
fy(1) : : : y(N )g
(!): f ^(!) ! 2 . 1997
Slide L1–11
.
Stoica and R. 1997
Slide L2–1
.Periodogram and Correlogram Methods
Lecture 2
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.
Prentice Hall. 1997
Slide L2–2
. Stoica and R.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).Periodogram Recall 2nd deﬁnition of (! ):
1 N y(t)e. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P.
Correlogram
Recall 1st deﬁnition of (! ):
(! ) =
P
X
1
Truncate the “ ” and replace “r
k=. Stoica and R. Moses.i!k
(k)” by “^(k)”: r
r ^(k)e.1 N .1 X
r(k)e.1)
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k
^c(!) =
k=. Prentice Hall.(N . 1997
Slide L2–3
.
k) k < 0 r
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. Stoica and R. 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 . 1997
Slide L2–4
. k) k 0 ^ r(k) = N . k) k 0 r(k) = N ^ t=k+1
X
For both estimators:
r ^(k) = ^ (.
Relationship Between ^p (! ) and ^c(! )
If: the biased ACS estimator r Then:
^(k) is used in ^c(!).1 X
= ^c(!)
k=.1)
r ^(k)e. Stoica and R. Moses.i!t N t=1
X
2
=
N .i!k
^p(!) = ^c(!)
Consequence: Both p ! and
^( )
^c(!) can be analyzed simultaneously. Prentice Hall.(N . 1997
.
Slide L2–5
Lecture notes to accompany Introduction to Spectral Analysis by P.
N
^p(!) = 1 y(t)e.
jk =0 there are “so many” that when summed in ! . ( )g
^ ( ) . ( )]
Lecture notes to accompany Introduction to Spectral Analysis by P.
Intuitive explanation:
r(k) .
^p(!) and ^c(!) have poor performance.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. 1997
Slide L2–6
. Moses.1 are small. the PSD error is large. p!
f^( ) . even for large N . Stoica and R. r(k) may be large for large jkj ^
Even if the errors r k r k Nj. Thus.
1 jkj N
Bartlett.1 jkj r(k)e.1) 1 = wB (k)r(k)e.i!k r k=. N k=.(N .1) N .i!k = 1.
n o
0
k 1 . 1997
.
Slide L2–7
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!k k=. or triangular. window
E ^p(!) = 21 .1 X
wB (k) =
8 < :
=
Thus. ) d
Z
Ideally:
WB (!) = Dirac impulse (!). Moses. jNj
jkj N . Prentice Hall.Bias Analysis of the Periodogram
E ^p(!) = E ^c(!) = E f^(k)g e. ( )WB (! .1
n o n o X ! X
N .(N .
Stoica and R. for N = 25
−10
−20
dB
−30
−40
−50
−60
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Main lobe 3dB width For “small” N . WB
1=N .
Slide L2–8
Lecture notes to accompany Introduction to Spectral Analysis by P.
(!) may differ quite a bit from (!).Bartlett Window WB (! )
1 sin(!N=2) 2 WB (!) = N sin(!=2)
" #
0
WB (!)=WB (0). Moses. 1997
. 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 . Stoica and R.
^ φ(ω)≅W (ω) B
Sidelobe Level: leakage
φ(ω)≅δ(ω) leakage ω ω
Lecture notes to accompany Introduction to Spectral Analysis by P.Smearing and Leakage
Main Lobe Width: smearing or smoothing Details in resolvable. 1997
Slide L2–9
. Prentice Hall. Moses.
WB ! !. Prentice Hall. severe bias As N . 1997
Slide L2–10
. Stoica and R. so ! is asymptotically unbiased. Moses.
!1 ^( )
( )! ( )
Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Bias Properties
Summary of Periodogram Bias Properties: For “small” N .
dev = φ(ω) too 
Resolvability properties depend on both bias and variance. (!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. 1997
Slide L2–11
. (!1) ^p(!2) . Stoica and R. Prentice Hall. Moses.Periodogram Variance As N
!1 E ^p(!1) .
1 fY (k)gN=0 from fy(t)gN : t=1 k
Lecture notes to accompany Introduction to Spectral Analysis by P. N Let ! = N
Then YN
( 2 k) is the Discrete Fourier Transform (DFT): N
X
Y (k) =
N
t=1
y(t)W tk
k = 0 ::: N . Moses.i!t
2 k and W = e. 1997
Slide L2–12
.Discrete Fourier Transform (DFT)
Finite DTFT: YN
(!) =
X
N
t=1
y(t)e. Stoica and R. 1
Direct computation of O N 2 ﬂops
( )
. Prentice Hall.i 2 .
2 = 2p:
Y (2p) =
For k
X
~ N
= 1 3 5 : : : N .i2 =N . 1 = 2p + 1:
X
t=1
~ ~ y(t) + y(t + N )]W tp
Y (2p + 1) =
Each is a N
~ N
~ = N=2point DFT computation. Moses. ~
4 = 0 2 4 : : : N . y(t + N )]W tgW tp
Lecture notes to accompany Introduction to Spectral Analysis by P.1 for odd k
Assume:
X X X
Let N For k
~ ~ = N=2 and W = W 2 = e. Stoica and R. Prentice Hall.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) . 1997
.
Stoica and R.1 k2k ) ck = 2
ck = 1 N log2 N 2
Thus.
Lecture notes to accompany Introduction to Spectral Analysis by P. 2k + 2c ck = 2 k. Moses.FFT Computation Count
Let ck Then
= number of ﬂops for N = 2k point FFT. 1997
Slide L2–14
. Prentice Hall.
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 . Moses. Stoica and R.1 N k=0
sampled. N=8 ω
2 k N . Prentice Hall.1 ! N k=0
^ φ(ω)
continuous curve
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997
Slide L3–1
. Moses. Stoica and R.Improved PeriodogramBased Methods
Lecture 3
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
1997
Slide L3–2
.1 X k=. Moses.(M . Prentice Hall. Stoica and R. with small weight applied to covariances r k with “large” k .1)
w(k)^(k)e.BlackmanTukey Method
Basic Idea: Weighted correlogram.i!k r
fw(k)g =
Lag Window
w(k)
1
M
M
k
Lecture notes to accompany Introduction to Spectral Analysis by P.
^( )
jj
^BT (!) =
M .
Moses. con't
^BT (!) = 1 ^p( )W (! . 1997
.BlackmanTukey Method. Prentice Hall. )d 2 .
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. Stoica and R.
Moses.Window Design Considerations Nonnegativeness:
^BT (!) = 1 ^p( ) W (! .1) Ne = k=. W (!)d! = equiv bandwidth e= W (0)
Ne e = 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 X
. w(k) is a psd sequence) ^BT (!) 0
(which is desirable)
Then:
TimeBandwidth Product
M . 1997 Slide L3–4
. 0
Z  {z }
If W
(!) 0 (. )d 2 . Stoica and R.(M (0) w
Z
w (k )
= equiv time width
1 2 .
1997
Slide L3–5
. Ne (and hence ﬁxed. bias decreases and variance increases. con't
e = 1=Ne = 0(1=M )
is the BT resolution threshold. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P.
)
Choose M as a tradeoff between variance and bias. Stoica and R.
Once M is given. As M increases.
e) is essentially
)
Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level).Window Design. once M is given. Prentice Hall.
The energy in the main lobe and in the sidelobes cannot be reduced simultaneously.
Prentice Hall.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. 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. 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
Moses.J
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1 ! =
N j =0 Idea: “Local averaging” of (2J + 1) samples in the
j
(2 + 1)
frequency domain should reduce the variance by about J .
k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. 1997
Slide L3–10
.
f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . for N
1. Prentice Hall.Daniell Method
By a previous result.
Moses. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral
Let
Z
window. for N 1. 1997
Slide L3–11
. Then.Daniell Method. ^D(!) ' 1 ^p(!)d! 2 . Stoica and R. con't
As J increases: Bias increases (more smoothing) Variance decreases (more averaging)
= 2J=N . Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.
^ ()
– Implemented by averaging subsample periodograms. Moses.
^BT (!) with a rectangular
Slide L3–12
– Implemented by local averaging of periodogram values. Welch periodograms
– Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. 1997
. Prentice Hall.
^p(!) by a suitably selected ^(k) using a lag
– Implemented by truncating and weighting r window in c !
^( )
Bartlett.
Daniell Periodogram
– Approximate interpretation: spectral window.Summary of Periodogram Methods Unwindowed periodogram
– reasonable bias – unacceptable variance
Modiﬁed periodograms
– Attempt to reduce the variance at the expense of (slightly) increasing the bias.
BT periodogram
– Local smoothing/averaging of spectral window. more general for Welch).
Prentice Hall.Parametric Methods for Rational Spectra
Lecture 4
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 1997
Slide L4–1
.
Note. ! can approximate arbitrarily well any continuous PSD. provided m and n are chosen sufﬁciently large. Moses.i!k (!) is a rational function in e. 1997 Slide L4–2
( )
.i! . Stoica and R. however: choice of m and n is not simple some PSDs are not continuous
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) = P jkj n k e.θ) Estimate parameters in φ(ω.
P
By Weierstrass theorem.Basic Idea of Parametric Spectral Estimation
Observed Data Assumed functional form of φ(ω. Prentice Hall.θ) φ(ω)
possibly revise assumption on φ(ω)
Rational Spectra
jkj m k e.θ)
^ θ
Estimate PSD
^ ^ =φ(ω.
e.1 + + bmz.g. a rational factored as
(!) can be
B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.. and ARMA Models
By Spectral Factorization theorem. 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.1 + + anz. Stoica and R.m and. Prentice Hall.n B (z) = 1 + b1z. MA.
k (h = 1) where H (q ) = A(q ) 0 k k=0
X X
i=1
air(k . 1997
Slide L4–4
. j )y (t .ARMA Covariance Structure
ARMA signal model:
y(t)+
X
n
i=1 n
aiy(t . k) and take E f g to give:
X
r (k ) +
X
2 m bj hj . i) =
m
j =0
bj E fe(t .k = j =0 = 0 for k > m B (q) = 1 h q. j )
(b0 = 1)
Multiply by y
(t . Moses. Prentice Hall. i) =
X
m
j =0
bj e(t . k)g
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
. . Stoica and R. Prentice Hall. 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. r (. 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(. .1) .
Lecture notes to accompany Introduction to Spectral Analysis by P. .
2 1 a1 = 0 . . . r(1) r(0) .AR Signals: YuleWalker Equations
AR: m
= 0.1) : : : r(. . Moses.n) . 1997
Slide L4–5
.
. 1997
Slide L4–6
. . r ^(n) : : : r(0) ^ ^n a 0
32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4
3 7 7 7 5
Then the PSD estimate is
^2 ^(!) = ^ 2 jA(!)j
Lecture notes to accompany Introduction to Spectral Analysis by P. ^(. . . r ^(1) r(0) ^ ^.n) 1 r r ^2 .1) : : : ^(. .1) . Prentice Hall.1 = 0 a . Moses. . Stoica and R. r .AR Spectral Estimation: YW Method
YuleWalker Method: Replace r
2 6 6 6 4
(k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(.
. n)]T .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
.
3 7 5
Y
=4
y(n) y(n .
Find
i=1
aiy(t . Stoica and 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 )
. 2)
Lecture notes to accompany Introduction to Spectral Analysis by P. 1) y(N . . Prentice Hall. 1) : : : y (t . 1) y(n + 1) y(n)
. . n)
. Moses.(Y Y ).
y(N . .
n .
.
Direct Solution: For one given value of n: For k
Rn+1
1
0
= 0 .. Stoica and R... .
. Moses. .1
. 1997
Slide L4–8
.1 1 .0 . Prentice Hall...
n
.Levinson–Durbin Algorithm
Fast. . . orderrecursive solution to YW equations
2 6 6 6 4 
0 .
{z
. 0
2 n
3 7 7 7 5
O(n3) ﬂops
= 1 : : : n: O(n4) ﬂops
Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 ﬂops!
=1
( )
Lecture notes to accompany Introduction to Spectral Analysis by P.
32 7 7 7 5 } 6 6 6 4
1
n
3 7 7 7 5
2 6 6 6 4
^ k = either r(k) or r(k).
2
4
Rn+1
n+1
r ~n
n+1 r ~n
0
3 5
2
r ~n =
6 4
.LevinsonDurbin Alg. Prentice Hall. where x = xn : : : x1]T ~ ~ ~
Nested structure
2
Rn+2 =
Thus. 1997
Slide L4–9
. . Stoica and R.
n
3 7 5
1
Rn+2 4
1 n = 0
3 5
2 4
Rn+1
n+1
r ~n
n+1 r ~n
0
32 54
1 n n = 0 0 n
3 5 2 4
2
3 5
where
r n = n+1 + ~n n
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. con't
Relevant Properties of R:
Rx = y $ Rx = y.
n = n )
n+1 =
0 + kn 2+1 = n + kn n = n(1 .
Lecture notes to accompany Introduction to Spectral Analysis by P. con't
2
Rn+2 4
82 < 4 +2 :
1 n n = 0 0 n
3 5 2 4
2
3 5
2
Rn+2 4
39 = 5 2
0 ~n = 0n 2 1 n
3 5 2 4 3 5 2
3 5
Combining these gives:
Rn
0 1 n + kn ~n 0 1
3 5 2 4
=
4
n + kn n
2
0 n + kn
2 n
=
4
n
2 +1
3 5
0 0
Thus. jknj2) 2 2 n
"
n
#
"
~n 1
#
Computation count: k ﬂops for the step k
2 )
n2 ﬂops
!k+1 2 to determine f k
k gn=1 k
Slide L4–10
This is O
(n2) times faster than the direct solution. Moses.LevinsonDurbin Alg. 1997
. Stoica and R.
2 kn = . Prentice Hall.
Stoica and R. m)
Thus. 1997
Slide L4–11
. 1) +
+ bme(t .m
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i!k (!) = jB(!)j k=.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. Moses.
Estimate
fbkg and 2 and insert them in (!) = jB(!)j2 2
nonlinear estimation problem
^(!) is guaranteed to be 0
2.i!k
k=.m
^BT (!) with a rectangular lag window of 2m + 1.MA Spectrum Estimation Two main ways to Estimate (! ): 1. ^(!) is not guaranteed to be 0 =0
Both methods are special cases of ARMA methods described below. Prentice Hall. Insert sample covariances
(! ) =
This is length
X
m
f^(k)g in: r
r(k)e.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. with AR model order n . 1997 Slide L4–12
. Moses.
Moses.i!k k (!) = 2 A(!) jA(!)j2
P
where
k
= E f B(q)e(t)] B(q)e(t . 1997
Slide L4–13
.m k e. k)] g = E f A(q)y(t)] A(q)y(t . Stoica and R.ARMA Signals
ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). j )
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
A(q)y(t) = B (q)e(t) B (!) 2 = m=. k)] g =
X
n
X
n
j =0 p=0
aj ap r(k + p .
can use an approximate linear twostage least squares method
^(!) is guaranteed to be 0
2. Estimate
fai r(k)g in (!) =
P
m . Stoica and R.m k e
jA(!)j2
linear estimation problem (the Modiﬁed YuleWalker method). Moses.i!k k=. Estimate fai bj A(!)
nonlinear estimation problem. 1997 Slide L4–14
. Prentice Hall.
^(!) 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.
1) + e
and its variance
+ ^K y(t . Stoica and R. K t=K +1
X
Lecture notes to accompany Introduction to Spectral Analysis by P. 1) + + K y(t .
f kgK=1 by using AR k
1b) Estimate the noise sequence
^(t) = y(t) + ^1y(t . Moses. for some large K e(t) ' y(t) + 1y(t . 1) + 2y(t .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. K )
^2 =
N 1 j^(t)j2 e N . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1997
Slide L4–15
. Prentice Hall.
^(t) ' . 1) : : : . m)] e e = a1 : : : an b1 : : : bm]T
Lecture notes to accompany Introduction to Spectral Analysis by P. n) e ^(t . 1997
Slide L4–16
.y(t . Stoica and R. y(t . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares
Step 2: Replace techniques. Prentice Hall. 1) : : : ^(t . Note that the ai and bj coefﬁcients enter linearly in the above equation:
y(t) . Moses. con't
fe(t)g by ^(t) in the ARMA equation.TwoStage LeastSquares Method.
i) = 0 k > m
3 7 5 "
r(m) r(m + 1)
. 5 .
=
f^ g
Y W system of equations. n + 1) r(m . fast Levinsontype algorithms exist for obtaining ai . . n + 2)
. . the accuracy of ai is often better for M > n
Lecture notes to accompany Introduction to Spectral Analysis by P. .6 4
Replace
fr(k)g by f^(k)g and solve for faig. 1) : : : r(m . .
: : : r(m .. 1997
Slide L4–17
.
= m + 1 ::: m + M
a1 an
. r(m + M )
r(m + 1) r(m + 2)
3 7
If M n. Stoica and R.. .
#
2
=
r(m + M . r f^ g
. Moses. .Modiﬁed YuleWalker Method
ARMA Covariance Equation:
r(k) +
2 6 4
X
n
In matrix form for k
i=1
air(k . If M > n overdetermined squares solution for ai . . least
f^ g
Note: For narrowband ARMA signals. Prentice Hall. n + M )
. .
Moses. Stoica and R.Summary of Parametric Methods for Rational Spectra
Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes
Computational Burden low Accuracy medium
Guarantee ^(! ) 0 ? Yes
MA: BT
ARMA: MYW
ARMA: 2Stage LS
Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L4–18
. Prentice Hall.
1997
Slide L5–1
. Prentice Hall. Stoica and R. Moses.Parametric Methods for Line Spectra — Part 1
Lecture 5
Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. !1
!2
!3

An “Ideal” line spectrum
Lecture notes to accompany Introduction to Spectral Analysis by P.Line Spectra Many applications have signals with (near) sinusoidal components. Stoica and R. Examples: communications radar. Prentice Hall. 1997
. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models
2 6(2 1) 2
6
(!)
6
(2 2) 2
6
(2 2) 3
!
Slide L5–2
.
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 .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . uniformly distributed on . ]
(realistic and mathematically convenient)
A3:
e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0
(can be achieved by “slow” sampling)
Slide L5–3
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
]
(prevents model ambiguities)
f'k g = independent rv's. Stoica and R. superimposed in white noise of k 2. 1997
.
Covariance Function and PSD
Note that:
E E
n
i'p e. for p 6= j =2 .
r(k) = E fy(t)y (t . Stoica and R. Moses. e
E xp(t)xj (t .i'j o = E nei'p o E ne. Prentice Hall. k) = 2 ei!pk p j p
n o
Hence. for p = j e i'p e.i'j o = 1. !p) + 2 p
Slide L5–4
Lecture notes to accompany Introduction to Spectral Analysis by P. k)g = n=1 2ei!pk + 2 k 0 p p
P
and
(! ) = 2
X
n
p=1
2 (! . 1997
.i'j o e
Z
n
1 i' d' 2 = 0.
1997
Slide L5–5
. Moses.Parameter Estimation Estimate either:
f!k
k 'k gn=1 k
2
(Signal Model)
f!k 2gn=1 2 k k
Once
(PSD Model)
^ Major Estimation Problem: f!k g
f!kg are determined: ^
X
f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p
p=1
OR: Both k and 'k can be derived by a least squares method from
f^ g
f^ g
X
y(t) =
with
n
k=
k=1 k ei'k . Prentice Hall. Stoica and R.
^ ei!k t + residuals k
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997
Slide L5–6
. . Moses.Nonlinear Least Squares (NLS) Method
min' g f!
Let:
X
N
k k k t=1 
y(t) . B = eiN!1 eiN!n
k
2 6 4
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . Stoica and R. . .
Y B(B B).1B Y ] B B] . Moses.1B Y
This gives:
^ = (B B).1B Y ] +Y Y . B k2 = .1B Y !=^ !
and
! = arg max Y B (B B ). (B B). 1997
Slide L5–7
. Stoica and R. con't
Then:
F = (Y . (B B).1B Y ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. B ) (Y . B ) = kY . Prentice Hall.Nonlinear Least Squares (NLS) Method.
!
Difﬁcult Implementation: The NLS cost function F is multimodal.NLS Properties
Excellent Accuracy:
6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k
q
1)
Then
var
(^k ) 10.5. Moses. it is difﬁcult to avoid convergence to local minima. 1997
Slide L5–8
. Stoica and R. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.
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
n ^ k
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.HighOrder YuleWalker Method. Moses. con't
Estimation Procedure: Estimate
f^igL=1 using an ARMA MYW technique b i
^( )
Roots of B q give “spurious” roots. Stoica and R.
f!kgn=1. along with L . 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 = . 1997
Slide L5–13
.HighOrder and Overdetermined YW Equations
ARMA covariance:
r (k ) +
X
L
i=1
bir(k . . 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. r(L + M . . Stoica and R. . .
Lecture notes to accompany Introduction to Spectral Analysis by P. . Moses. r(L + 2) . Prentice Hall.
Moses.
The MinimumNorm solution is
b = . n) spurious zeros of B (q ) are located strictly inside the unit circle.
Lecture notes to accompany Introduction to Spectral Analysis by P.HighOrder and Overdetermined YW Equations.
(U V )b = . if the MinimumNorm solution b is used. diagonal and nonsingular
Thus.V . y = . Prentice Hall. 1997 Slide L5–14
. con't Fact: SVD of rank :
( )=n =U V
U = (M n) with U U = In V = (n L) with V V = In
= (n n).1U Important property: The additional (L . Stoica and R.
Compute
^ = . V from the
Let U . 1997
Slide L5–15
. SVD of .
f^ g
When the SNR is low.1U ^ ^ ^ b ^(q) that
Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.V ^ .
Lecture notes to accompany Introduction to Spectral Analysis by P.HOYW Equations. r
. Practical Solution
Let
^= ^ ^ ^ ^
but made from
f^(k)g instead of fr(k)g. . Moses. V be deﬁned similarly to U . this approach may give spurious frequency estimates when L > n. this is the price paid for increased accuracy when L > n. Stoica and R. Prentice Hall.
Moses. 1997
Slide L6–1
. Prentice Hall.Parametric Methods for Line Spectra — Part 2
Lecture 6
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
1997
Slide L6–2
.1)! ]T A = a(!1) : : : a(!n)] (m n)
rank
Note: Deﬁne
(A) = n
y(t) y(t .The Covariance Matrix Equation Let:
a(!) = 1 e.
= Ax(t) + ~(t) ~ e
where
x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .. Stoica and R.i! : : : e..
0
2 n
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P.i(m. m + 1)
. m + 1)]T e
4 R = E fy(t)~ (t)g = APA + 2I ~ y
Then
with
2
P = E fx(t)~ (t)g = ~ x
6 4
2 1
0
. . 1)
(for m
3 7 7 7 5
n)
2
46 y(t) = 6 ~
6 4
y(t . Moses. Prentice Hall.
Prentice Hall.
2
R = S G]
6 4
1
3
"
.Eigendecomposition of R and Its Properties
R = APA + 2I (m > n)
Let:
1
2 :::
m: eigenvalues of R
fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm... n))
Thus.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm.n] (m (m . Moses. Stoica and R.
m
7 5
S G
#
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L6–3
.
. = = nonsingular 0 n. .. 2 . Prentice Hall.. con't As rank
(APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. =0 A G=0
Slide L6–4
Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . 1997
. Stoica and R.
0
n
3 7 5
with C (since rank S .Eigendecomposition of R and Its Properties.1) = AC S = A(PA S
( ) = rank(A) = n). Therefore. Moses.
Prentice Hall.
Let:
1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R
X
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L6–5
.
f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Moses. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k
2 6 4 3 7 5
Thus. Stoica and R.MUSIC Method
a (!1) . .
a (!)G ^
Root MUSIC Method:
]
f!kgn=1 = the angular positions of the n roots of: ^ k
^^ aT (z.Spectral and Root MUSIC Methods Spectral MUSIC Method:
f!kgn=1 = the locations of the n highest peaks of the ^ k
“pseudospectrum” function:
1 ^G a(!) ! 2 . Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–6
.(m.1)]T
Note: Both variants of MUSIC may produce spurious frequency estimates. Here.
a(z) = 1 z.1)GG a(z) = 0
that are closest to the unit circle. Prentice Hall.1 : : : z. Stoica and R.
Moses.Pisarenko Method
Pisarenko is a special case of MUSIC with m (the minimum possible value). If:
=n+1
m=n+1
Then:
^ g G = ^1. Stoica and R.1)^1 = 0 g
no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m
n+1
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L6–7
. Prentice Hall. ) f!kgn=1 can be found from the roots of ^ k aT (z.
1997
Slide L6–8
. and reduce risk of false frequency estimates.
R( )
Let
"
1 = the vector in R(G). but only one vector in G (as in Pisarenko). Moses. that has minimum Euclidean norm. with ﬁrst element equal ^ ^ to one. g
#
Lecture notes to accompany Introduction to Spectral Analysis by P. Uses m n (as in MUSIC). Prentice Hall.MinNorm Method
Goals: Reduce computational burden. Stoica and R.
1) 1 ^ g
"
#
that are closest to the unit circle. 1997
Slide L6–9
. Moses. Prentice Hall. Stoica and R.MinNorm Method. 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.
Lecture notes to accompany Introduction to Spectral Analysis by P.
) ^^ I=S S=
Multiplying the above equation by gives:
(1 .Let S
^= S g1 .1 = =(1 . for N 1.S =(1 . Prentice Hall.1 gm
" # " #
MinNorm Method: Determining g ^
Then:
1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . 1997 Slide L6–10
. k k2) ) ^ = .1 exists iff = k k2 6= 1 (This holds. g
" #
MinNorm solution: As:
^ = . k k2) g
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. (S S ).1 g
+ S S . at least. k k2) = (S S ) ) (S S ).S(S S ). Stoica and R.
i!n S1 = Im. Stoica and R. Prentice Hall. Moses.ESPRIT Method
Let
A1 = Im. let
= A1D.1DC
{z
}
So has the same eigenvalues as D . D= 0 e.i!1 0 .1]A
Then A2
Also.1 0]S S2 = 0 Im.1S1S2
Lecture notes to accompany Introduction to Spectral Analysis by P. Then S2 = A2C = A1DC = S1 C . determined as
is uniquely
= (S1S1).. where e. 1997 Slide L6–11
..1]S
2 6 4 
3 7 5
Recall S
= AC with jC j 6= 0.1 0]A A2 = 0 Im.
ﬁnd S . then S1 and S2 . Prentice Hall.
^
^
^
^
The frequency estimates are found by:
where
f^kgn=1 are the eigenvalues of k ^ = (S1S1). 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.ESPRIT Implementation From the eigendecomposition of R. 1997
Slide L6–12
.1S1S2 ^^ ^^
f!kgn=1 = . Moses. Stoica and R.
Prentice Hall. Stoica and R. Moses. 1997
.Summary of Frequency Estimation Methods
Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT
Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none
Recommendation:
Use Periodogram for mediumresolution applications
Use ESPRIT for highresolution applications
Slide L6–13
Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses.Filter Bank Methods
Lecture 7
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. 1997
Slide L7–1
.
Prentice Hall. by assuming that ! is nearly constant over the bands
f ( )g
( )
!. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. Parametric Approach: Parameterize ﬁnitedimensional model. Moses. Nonparametric Approach: Implicitly smooth ! !=. but 2 requires
to ensure that the number of estimated values = = ) is < N .
!+ ] N >1
1
2 is more general than 1.Basic Ideas
Two main PSD estimation approaches: 1.
(!) by a
2. (
=2 2 =1
N > 1 leads to the variability / resolution compromise
associated with all nonparametric methods. 1997 Slide L7–2
.
2 ! + 2 ]
Note that assumptions (a) and (b).
Slide L7–3
Lecture notes to accompany Introduction to Spectral Analysis by P.
Z
6 ~ (! ) @ !
(b)
Z
!c
^FB (!) ' 1 2
(a)
.
jH ( )j2 ( )d = ' 21
!+ !.
c ( )d = (') (!)
(a) consistent power calculation
(b) Ideal passband ﬁlter with bandwidth
(c)
( ) constant on 2 ! . Prentice Hall.with varying !
Power Calculation
Bandpass Filter c and xed bandwidth

Power in the band

Division by lter bandwidth
^(!c )

6
y
y
(! )
.
!c
@Q Q !
. as well as (b) and (c). Moses.Filter Bank Approach to Spectral Estimation
H 6 (!)
1
!c
!
Filtered Signal
y (t)
. 1997
. Stoica and R. are conﬂicting.
1 k=0
X
1 ei!k k = 0 : : : N .i!k = 1 eiN (~.!) . Prentice Hall. 1 H (!) = hk e ! N ei(~.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . Stoica and R.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 .!) . k)
2
! . Moses. 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.
Filter Bank Interpretation of the Periodogram. for N = 50. Stoica and R. and: narrow ﬁlter passband. con't
jH (!)j as a function of (~ . power calculation from only 1 sample of ﬁlter output. Prentice Hall. !
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.
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L7–5
. !). Moses.
This approach leads to Bartlett and Welch methods. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Each ﬁlter covers a small band centered on ! .Possible Improvements to the Filter Bank Approach 1.
Lecture notes to accompany Introduction to Spectral Analysis by P. 2. Split the available sample. Use several bandpass ﬁlters on the whole sample. 1997
Slide L7–6
. and bandpass ﬁlter each subsample. Prentice Hall. more data points for the power calculation stage. This “multiwindow approach” is similar to the Daniell method.
~
provides several samples for power calculation.
Both approaches compromise bias for variance. Stoica and R. Moses.
Moses. y(t .
yF (t) =
X
m
k=0

hk y(t . Stoica and R. 1997
Slide L7–7
. k)
2 6 4 
. Prentice Hall. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y
{z } 7 5 {z } n o
y(t)
3
H (! ) =
where a
X
m
(! ) = 1
k=0 e.i!k = h a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P. = h0 h1 : : : hm] .Capon Method
Idea: Datadependent bandpass ﬁlter design.im! ]T
hk e.i! : : : e.
1a
o
The power at the ﬁlter output is:
E jyF (t)j2 = h0Rh0 = 1=a (!)R. Moses. con't Capon Filter Design Problem:
min(h Rh) h
Solution:
subject to h
a(!) = 1
h0 = R.
n
The Bandwidth
1 ' m+1 = (ﬁlter 1 length)
Conclusion Estimate PSD as:
+1 ^(!) = m^.m t=m+1
X
Lecture notes to accompany Introduction to Spectral Analysis by P.1a=a R.Capon Method. Prentice Hall. Stoica and R. 1997
Slide L7–8
.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 ! .
1997
Slide L7–9
.
Capon uses one bandpass ﬁlter only. Moses. Stoica and R.Capon Properties
m is the user parameter that controls the compromise
between bias and variance: – as m increases.
. Prentice Hall. bias decreases and variance increases.
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.
i!k ^ k=. Prentice Hall.Relation between Capon and BlackmanTukey Methods
Consider
^BT (!) with Bartlett window: m m + 1 .i!(t. j )] ^ r = m+1
X X X
Then we have
^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. s)e.1a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . Stoica and R. jkj ^BT (!) = r(k)e. 1997
Slide L7–10
. Moses.m m + 1 1 m m ^(t .
Relation between Capon and AR Methods Let
2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). Moses.
^( )
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P.
AR Then
^C (!) =
1 1 m 1= ^AR(!) m + 1 k=0 k
X
Consequences: Due to the average over k. 1997
Slide L7–11
. Stoica and R. C ! generally has less statistical variability than the AR PSD estimator. Due to the loworder AR terms in the average. C ! generally has worse resolution and bias properties than the AR method. Prentice Hall.
Stoica and R.Spatial Methods — Part 1
Lecture 8
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L8–1
. Prentice Hall. Moses.
Stoica and R.. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”)
Lecture notes to accompany Introduction to Spectral Analysis by P. ..The Spatial Spectral Estimation Problem
Source 1
vSource 2
B B B B N B cccc ccc c c c c c
v
@ . Emitted energy: Acoustic. @. electromagnetic. 1997 Slide L8–2
. .@ . antennas.@ . seismology. Moses.
v Source n
@. seismometers Applications: Radar. mechanical Receiving sensors: Hydrophones.
Sensor 2 Sensor
m
Problem: Detect and locate n radiating sources by using an array of m passive sensors.
Sensor 1
@. @.R . .. @. @. communications. @. Prentice Hall. . sonar.
)
Lecture notes to accompany Introduction to Spectral Analysis by P. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Prentice Hall.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. the array is calibrated. AOA). The number of sources n is known. Moses. 1997
Slide L8–3
.
k) + ek (t) ( = convolution operator).
Basic Problem: Estimate the time delays known but x t unknown. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.)
hk (t) = ek (t) =
Note:
t 2 R (continuoustime signals).
()
f kg with hk(t)
This is a timedelay estimation problem in the unknown input case. background noise.Array Model — Single Emitter Case
x(t) =
k=
the signal waveform as measured at a reference point (e..g. thermal noise in sensor electronics. Then the output of sensor k is yk (t) = hk (t) x(t . Stoica and R. 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. etc. Moses. 1997 Slide L8–4
.g..
Prentice Hall. !c k ] hk (t) x(t . !c k + arg Hk (!c)] + ek(t)
Slide L8–5
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
. Stoica and R. k) ' (t) '(t . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Moses. k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k + argfHk (!c)g]
where Hk function
(!) = Ffhk(t)g is the kth sensor's transfer
Hence. k ) ' (t) cos !ct + '(t) . Then:
x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t .Narrowband Assumption
Assume: The emitted signals are narrowband with known carrier frequency !c . the kth sensor output is
yk (t) = jHk (!c)j (t) cos !ct + '(t) .
Complex Signal Representation The noisefree output has the form:
z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.!ct = (t)f ei (t) + e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.
Lecture notes to accompany Introduction to Spectral Analysis by P. by lowpass ﬁltering and sampling the signal
yk (t)=2 = yk(t)e.i! + ek (t)

s(t)
{z
} 
Hk (!c)
{z
k
c
}
c k
yk (t) = s(t)Hk (!c) e. Moses.i!ct to obtain (t)ei (t)
lowpass
highpass
Hence.i 2!ct+ (t)] g
n o  {z }  {z }
Lowpass ﬁlter
2z(t)e.i!ct ~ = yk(t) cos(!ct) . Stoica and R. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e. 1997 Slide L8–6
or
.i!c k + ek (t) where s(t) is the complex envelope of x(t). Prentice Hall.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
Uniform Linear Arrays
Source h
JJ J J
J J
JJ J ^ J
J
JJ
JJ+ JJ
JJ
2
] J d sin J ^ JJ J JJ 3 J J
v
4
1
v ]? v
d 
v
ppp
m
vSensor
ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k:
where c = wave propagation speed
d sin k = (k . Moses. 1) c
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. 1997
Slide L8–10
.
Slide L8–11
d = spatial sampling period
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Spatial Frequency
Let:
sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Prentice Hall. Stoica and R.i(m.i!s : : : e.1)!s ]T By direct analogy with the vector a(! ) made from
uniform samples of a sinusoidal time series.
!s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2
As
=2
d
=2 is a spatial Shannon sampling theorem. 1997
.
Stoica and R. Prentice Hall. 1997
Slide L9–1
. Moses.Spatial Methods — Part 2
Lecture 9
Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Stoica and R.Spatial Filtering
Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation
There is a strong analogy between temporal ﬁltering and spatial ﬁltering. 1997
Slide L9–2
.
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
i! : : : e.
Lecture notes to accompany Introduction to Spectral Analysis by P.1] y(t) = u(t) : : : u(t . Stoica and R. Moses.i(m.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .1 X
(t) = ei!t then yF (t) = h a(!)] u(t)
 {z }
ﬁlter transfer function
a(!) = 1 e. k) = h y(t) k=0 h = ho : : : hm. Prentice Hall.Analogy between Temporal and Spatial Filtering
Temporal FIR Filter:
yF (t) = hk u(t . 1997
Slide L9–3
. m + 1)]T
If u
m.
i!c 2 : : : e.Analogy between Temporal and Spatial Filtering Spatial Filter:
fyk(t)gm=1 = k
the “spatial samples” obtained with a sensor array. Stoica and R. Moses. Prentice Hall.
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. 1997 Slide L9–4
.
Lecture notes to accompany Introduction to Spectral Analysis by P.
i! Be 2 B !! B B B B . B . Stoica and R.1
q .B .
?
qq
1
!
(Spatial sampling)
(b) Spatial ﬁlter
Lecture notes to accompany Introduction to Spectral Analysis by P.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. s qq
h

?
1
?

m.i m. Moses.. Prentice Hall. B B @ .@ 0 B 1 C h @@ C B B e.  e {z } ? a(!)
1
?
0
qq
(
1)
1
(Temporal sampling)
(a) Temporal ﬁlter
narrowband source with DOA=
Z
z
Z
Z
Z ~ aa 1reference !!
h
0
0 1 B aa 2..Analogy between Temporal and Spatial Filtering
u(t) = ei!t
z
1
s q. 1997 Slide L9–5
.i! C @ h a(!)]u(t) R @ C . C C B C B C B C B C B A @ . ! hm.1
? 
1 . Cu(t) C B .? B P C B C B B B .
Moses. 1997
Slide L9–6
. Stoica and R. 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. Prentice Hall. con't
Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Here. h a 0 .Spatial Filtering.
Stoica and R. Prentice Hall. To locate an emitter in the ﬁeld of view. 1997
Slide L9–7
. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering Uses
Spatial Filters can be used To pass the signal of interest only. 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).
Nonparametric Spatial Methods
A Filter Bank Approach to DOA estimation. and evaluate the powers of the ﬁltered signals:
E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. 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.
n o n
o
The (dominant) peaks of h DOAs of the sources. 1997
.
( )Rh( ) give the
Slide L9–8
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R.
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. y t can be considered as impinging on the array from all DOAs. Stoica and R. 1997
Slide L9–9
. Prentice Hall.
()
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.
but
Slide L9–10
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
. pj > =
wavelength array length array beamwidth
Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > .
( )^ ( )
This is the direct spatial analog of the BlackmanTukey periodogram. Prentice Hall. Moses.
1
= 1. Resolution Threshold:
inf j k . Stoica and R.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 .
Both Beamforming and Capon are nonparametric approaches.Capon Method Filter design:
min(h Rh) subject to h a( ) = 1 h
Solution:
h = R.1a( )=a ( )R.1a( )
n o
Implementation:
f^kg =
the locations of the n largest peaks of
^ 1=a ( )R. 1997 Slide L9–11
.1a( ) E jyF (t)j2 = 1=a ( )R. Prentice Hall. Moses.1a( ):
Performance: Slightly superior to Beamforming.
Lecture notes to accompany Introduction to Spectral Analysis by P. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). Stoica and R.
for DOA estimation. MUSIC. Stoica and R.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
. YW. almost without modiﬁcation.
Then:
R = E fy(t)y (t)g = APA + 2I
Thus: The NLS.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. MINNORM and ESPRIT methods of frequency estimation can be used.
A(A A).1A y(t) t = 1 : : : N s
X
Then
1 N k I .1A ]y(t) = N t=1 ^ = trf I .1A ]Rg
X
f kg
For N .Nonlinear Least Squares Method
1 N ky(t) .1A ]Rg ^ Thus. A(A A). Stoica and R. Moses. 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). this is precisely the form of the NLS method of frequency estimation. Prentice Hall.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . f ^k g = arg max trf A(A A). 1997 Slide L9–13
=1
.
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997
Slide L9–14
.Nonlinear Least Squares Method
Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Moses. Prentice Hall. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.
) = n. Prentice Hall.n ~ ~ Properties: A V2 = 0 V1 2 R(A)
Then: rank
{z} {z}
Lecture notes to accompany Introduction to Spectral Analysis by P. = U1 U2 ] 0 n n 0 V1 g n . is .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
. 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 . Moses. Stoica and R.
Stoica and R.YWMUSIC DOA Estimator
f^kg =
where
the n largest peaks of
1=~ ( )V2V2 ~( ) a ^^a
~( ). using 1 N y(t)~ (t) ^ . Prentice Hall. (L 1). Moses.=N y t=1
X
Properties: Computational complexity: medium Performance: satisfactory if m
2n
Main advantages: – weak assumption on e t – the subarray A need not be calibrated
f ( )g
Lecture notes to accompany Introduction to Spectral Analysis by P. is the “array transfer vector” for y(t) a ~
at DOA
^ V2 is deﬁned similarly to V2. 1997
Slide L9–16
.
MUSIC and MinNorm Methods
Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Stoica and R. 1997
Slide L9–17
. if rank
(P ) = rank(E fs(t)s (t)g) < n
Modiﬁcations that apply in the coherent case exist. that is. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. Moses. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. 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. D= 0 e.
Lecture notes to accompany Introduction to Spectral Analysis by P.. Prentice Hall.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. where e.. 1997 Slide L9–18
( ) = d sin( )=c
. Moses.i!c ( 1) 0 .
1]A
Lecture notes to accompany Introduction to Spectral Analysis by P. so m m and
. Stoica and R. Prentice Hall.ESPRIT Method. 1997
Slide L9–19
.1
. con't ESPRIT Scenario
source θ
known
subarray 1
displac ement v
ector
subarray 2
Properties: Requires special array geometry Computationally efﬁcient
No risk of spurious DOA estimates
Does not require array calibration Note: For a ULA.1 A1 = Im. Moses.1 0]A
= . the two subarrays are often the ﬁrst m and last m array elements.1 A2 = 0 Im.