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Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
1 y(t)e. Stoica and R. Moses.1 = t= If: discretetime deterministic data sequence X 1 t=. 1997 Slide L1–4 . Prentice Hall.Deterministic Signals fy(t)g1 .1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.
k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.1 X (k)e. Prentice Hall. Stoica and R.1 y(t)y (t .Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . S (!)d! t=. Moses.i!k (k) = 1 t=. 1997 .
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. Stoica and R.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. 1997 Slide L1–6 .
(!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . Stoica and R.First Deﬁnition of PSD (! ) = where r X 1 k=.1 r(k)e. k)g r(k) = r (.k) r(0) jr(k)j Z Note that r(k) = 21 .i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Prentice Hall. Moses. (!)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 .
1997 Slide L1–8 . Prentice Hall. Stoica and R. t=1 y(t)e.Second Deﬁnition of PSD 1 N y(t)e.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.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.
1=2 1=2] (!) 0 (t) is real.Properties of the PSD P1: (!) = (! + 2 ) for all !.! ) Otherwise: (! ) 6= (.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Then: (! ) = (. 1997 Slide L1–9 . P2: ] () f 2 . Prentice Hall. we can restrict attention to !2 . Thus. Stoica and R. Moses.
Stoica and R.k = unit delay operator: q. 1997 Slide L1–10 .Transfer of PSD Through Linear Systems System Function: where q . 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t . k) hk e. Prentice Hall. Moses.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.1 H (q) = X 1 k=0 hk q.
Moses. Stoica and R. 1997 Slide L1–11 . Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Prentice Hall.
1997 Slide L2–1 . Stoica and R. Moses. Prentice Hall.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L2–2 . Stoica and R.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. Prentice Hall.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.1) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 N . 1997 Slide L2–3 .(N .1 X r(k)e. Stoica and R. Moses.i!k ^c(!) = k=.i!k (k)” by “^(k)”: r r ^(k)e.
k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. 1997 Slide L2–4 . k) k 0 ^ r(k) = N . 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 . Prentice Hall. Moses.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!).(N . Stoica and R. 1997 .1) r ^(k)e. N ^p(!) = 1 y(t)e. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.1 X = ^c(!) k=.i!t N t=1 X 2 = N .i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.
Intuitive explanation: r(k) . jk =0 there are “so many” that when summed in ! .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. Thus. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R. even for large N . ( )g ^ ( ) . 1997 Slide L2–6 . ^p(!) and ^c(!) have poor performance. r(k) may be large for large jkj ^ Even if the errors r k r k Nj.1 are small. the PSD error is large. p! f^( ) .
Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. N k=.i!k r k=.1 jkj r(k)e. Moses. Stoica and R.1) N .1 n o n o X ! X N .1 X wB (k) = 8 < : = Thus. 1997 . ) d Z Ideally: WB (!) = Dirac impulse (!). Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=. ( )WB (! .1) 1 = wB (k)r(k)e. Prentice Hall. window E ^p(!) = 21 . or triangular.(N .i!k = 1. 1 jkj N Bartlett.(N . n o 0 k 1 . jNj jkj N .
Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . (!) may differ quite a bit from (!).Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). 1997 . Stoica and R. Prentice Hall. Moses.
^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–9 . Stoica and R. 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 . Moses.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable.
!1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Prentice Hall. WB ! !. so ! is asymptotically unbiased. severe bias As N . Stoica and R. Moses. 1997 Slide L2–10 .
(!1) ^p(!2) . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–11 . (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st.Periodogram Variance As N !1 E ^p(!1) . Stoica and R. dev = φ(ω) too  Resolvability properties depend on both bias and variance. Moses. Prentice Hall.
N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N . Prentice Hall.i 2 .1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 1 Direct computation of O N 2 ﬂops ( ) . Moses.i!t 2 k and W = e.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Stoica and R. 1997 Slide L2–12 .
y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Prentice Hall. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . Slide L2–13 t=1 ~ ~ f y(t) . Moses. Stoica and R.Radix–2 Fast Fourier Transform (FFT) N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = .i2 =N . 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation. ~ 4 = 0 2 4 : : : N .
2k + 2c ck = 2 k. Stoica and R.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–14 . Prentice Hall.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus.
Moses.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P.1 N k=0 sampled. Prentice Hall. Stoica and R. 1997 Slide L2–15 .Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . N=8 ω 2 k N .
Prentice Hall. Stoica and R. Moses.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–1 .
with small weight applied to covariances r k with “large” k . 1997 Slide L3–2 . Moses.1) w(k)^(k)e. Stoica and R.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.1 X k=. Prentice Hall.(M . ^( ) jj ^BT (!) = M .
Stoica and R. )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.BlackmanTukey Method. con't ^BT (!) = 1 ^p( )W (! . Prentice Hall. Moses. 1997 .
w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . 0 Z  {z } If W (!) 0 (. Stoica and R. Prentice Hall. 1997 Slide L3–4 .(M (0) w Z w (k ) = equiv time width 1 2 . )d 2 . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! .1 X . Moses.1) Ne = k=.
Moses. Stoica and R. bias decreases and variance increases. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Prentice Hall. As M increases. Ne (and hence ﬁxed. 1997 Slide L3–5 . e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. ) Choose M as a tradeoff between variance and bias. once M is given. Lecture notes to accompany Introduction to Spectral Analysis by P. Once M is given.Window Design.
Stoica and R. 1997 Slide L3–6 . Moses. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P.Window Examples Triangular Window. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Prentice Hall.
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
Stoica and R. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N .Daniell Method By a previous result. 1997 Slide L3–10 .J X Lecture notes to accompany Introduction to Spectral Analysis by P. for N 1.1 ! = 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. Moses. Prentice Hall.
con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . for N 1. Then. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window.Daniell Method. ^D(!) ' 1 ^p(!)d! 2 . Moses. Prentice Hall. Stoica and R. 1997 Slide L3–11 . Lecture notes to accompany Introduction to Spectral Analysis by P.
Daniell Periodogram – Approximate interpretation: spectral window. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Moses. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. ^ () – Implemented by averaging subsample periodograms. Lecture notes to accompany Introduction to Spectral Analysis by P. more general for Welch). BT periodogram – Local smoothing/averaging of 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. Stoica and R. Prentice Hall. 1997 .
Stoica and R. Moses.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L4–1 .
1997 Slide L4–2 ( ) .θ) Estimate parameters in φ(ω. ! can approximate arbitrarily well any continuous PSD. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.θ) ^ θ Estimate PSD ^ ^ =φ(ω.i!k (!) = P jkj n k e.i!k (!) is a rational function in e. Moses. Prentice Hall. provided m and n are chosen sufﬁciently large.i! .Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. Note.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. Stoica and R. P By Weierstrass theorem.
n B (z) = 1 + b1z. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.m and. A(! ) = A(z )jz =ei! Signal Modeling Interpretation: e(t) e (! ) = 2  B (q) A(q) white noise B (!) 2 2 A(!) ltered white noise y(t)y (! ) = ARMA: AR: MA: A(q)y(t) = B (q)e(t) A(q)y(t) = e(t) y(t) = B (q)e(t) Slide L4–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.AR.1 + + bmz. 1997 .1 + + anz..g. MA. e. Moses. and ARMA Models By Spectral Factorization theorem. Stoica and R.
i) = X m j =0 bj e(t . 1997 Slide L4–4 .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P.k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Moses.k = j =0 = 0 for k > m B (q) = 1 h q. j ) (b0 = 1) Multiply by y (t . Prentice Hall. Stoica and R. k) and take E f g to give: X r (k ) + X 2 m bj hj . j )y (t . i) = m j =0 bj E fe(t .
AR Signals: YuleWalker Equations AR: m = 0. Prentice Hall. 2 1 a1 = 0 .1) : : : r(. Lecture notes to accompany Introduction to Spectral Analysis by P. . . . 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(. Moses. . . r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. r (.n) . .1) . 1997 Slide L4–5 . . Stoica and R. r(1) r(0) .
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) ^(. . . Stoica and R. Moses. .1) : : : ^(. . Prentice Hall. r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. . . r ^(1) r(0) ^ ^.1 = 0 a .n) 1 r r ^2 . r .1) . 1997 Slide L4–6 . ^(.
3 7 5 Y =4 y(n) y(n . Prentice Hall. 2) Lecture notes to accompany Introduction to Spectral Analysis by P.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 ) . 1) y(n + 1) y(n) . . ^ = . 1) y(N . y(N . 1997 Slide L4–7 . Moses. . n) . Stoica and R. .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . n)]T . 1) : : : y (t . Find i=1 aiy(t . .(Y Y ). .
1 .n . Prentice Hall. Moses.0 . . . {z . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . .. n .. 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k). orderrecursive solution to YW equations 2 6 6 6 4  0 .Levinson–Durbin Algorithm Fast... Stoica and R..1 1 . . . . 1997 Slide L4–8 . 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.
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. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Prentice Hall. con't Relevant Properties of R: Rx = y $ Rx = y. . 1997 Slide L4–9 . Stoica and R.LevinsonDurbin Alg. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus.
LevinsonDurbin Alg. Stoica and R. 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. 1997 . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 2 kn = . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Moses. m) Thus. Prentice Hall. Stoica and R. 1997 Slide L4–11 .i!k (!) = jB(!)j k=. 1) + + bme(t . r(k) = 0 for jkj > m and 2 2 = m r(k)e.m X Lecture notes to accompany Introduction to Spectral Analysis by P.
i!k k=. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.m ^BT (!) with a rectangular lag window of 2m + 1. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. with AR model order n . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.MA Spectrum Estimation Two main ways to Estimate (! ): 1. 1997 Slide L4–12 . Moses. Stoica and R.
k)] g = E f A(q)y(t)] A(q)y(t . k)] g = X n X n j =0 p=0 aj ap r(k + p . 1997 Slide L4–13 . Moses.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).m k e. A(q)y(t) = B (q)e(t) B (!) 2 = m=. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Prentice Hall.
Moses.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai bj A(!) nonlinear estimation problem. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.i!k k=. 1997 Slide L4–14 . can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Estimate fai r(k)g in (!) = P m .ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1.
Stoica and R. 1997 Slide L4–15 . Moses. K ) 1a) Estimate the coefﬁcients modelling techniques. 1) + e and its variance + ^K y(t . Prentice Hall. K ) ^2 = N 1 j^(t)j2 e N . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . 1) + 2y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1) + + K y(t .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . for some large K e(t) ' y(t) + 1y(t . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses.TwoStage LeastSquares Method. con't fe(t)g by ^(t) in the ARMA equation. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . y(t . 1) : : : .y(t . 1997 Slide L4–16 . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. Stoica and R. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. n) e ^(t . ^(t) ' . 1) : : : ^(t .
r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . r f^ g . If M > n overdetermined squares solution for ai . .. . fast Levinsontype algorithms exist for obtaining ai .6 4 Replace fr(k)g by f^(k)g and solve for faig. . n + 2) . : : : r(m . 5 . 1) : : : r(m . n + 1) r(m . . = m + 1 ::: m + M a1 an . 1997 Slide L4–17 . Prentice Hall. least f^ g Note: For narrowband ARMA signals. n + M ) . . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. . = f^ g Y W system of equations. . # 2 = r(m + M . Stoica and R. Moses.Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k .. .
Moses.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L4–18 . Prentice Hall.
Moses. 1997 Slide L5–1 . Stoica and R. Prentice Hall.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Stoica and R. Moses. Examples: communications radar. !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. 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 . 1997 .
Moses. 1997 . ] (prevents model ambiguities) f'k g = independent rv's. Stoica and R. 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. ] (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 . superimposed in white noise of k 2. uniformly distributed on .
i'j o = E nei'p o E ne. r(k) = E fy(t)y (t . Prentice Hall. for p 6= j =2 . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. e E xp(t)xj (t .i'j o e Z n 1 i' d' 2 = 0. Stoica and R. k) = 2 ei!pk p j p n o Hence.Covariance Function and PSD Note that: E E n i'p e. 1997 . for p = j e i'p e.i'j o = 1. Moses. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! .
Parameter Estimation Estimate either: f!k k 'k gn=1 k 2 (Signal Model) f!k 2gn=1 2 k k Once (PSD Model) ^ Major Estimation Problem: f!k g f!kg are determined: ^ X f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p p=1 OR: Both k and 'k can be derived by a least squares method from f^ g f^ g X y(t) = with n k= k=1 k ei'k . 1997 Slide L5–5 . Prentice Hall. Stoica and R. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
. . X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. . 1997 Slide L5–6 . Prentice Hall. Moses. Stoica and R.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) .
1B Y ] B B] .1B Y ] +Y Y . Prentice Hall. B ) = kY . Moses. con't Then: F = (Y .1B Y !=^ ! and ! = arg max Y B (B B ). B ) (Y . (B B). Stoica and R.1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. Y B(B B).Nonlinear Least Squares (NLS) Method. (B B).1B Y This gives: ^ = (B B). 1997 Slide L5–7 . B k2 = .
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–8 .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. Stoica and R.5. ! Difﬁcult Implementation: The NLS cost function F is multimodal. Prentice Hall. it is difﬁcult to avoid convergence to local minima.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. along with L . 1997 Slide L5–12 . Moses. Prentice Hall.HighOrder YuleWalker Method. Stoica and R. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. f!kgn=1.
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 = . . Prentice Hall. Moses.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . r(L + M . . 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. . r(L + 2) . . . 1997 Slide L5–13 .
V . (U V )b = .HighOrder and Overdetermined YW Equations. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. The MinimumNorm solution is b = . y = . 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 . n) spurious zeros of B (q ) are located strictly inside the unit circle. Stoica and R. Moses. diagonal and nonsingular Thus. if the MinimumNorm solution b is used.
V ^ . this approach may give spurious frequency estimates when L > n. 1997 Slide L5–15 . V from the Let U . Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. r . Prentice Hall. 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. SVD of . V be deﬁned similarly to U . this is the price paid for increased accuracy when L > n. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Compute ^ = .HOYW Equations. Moses.
Moses. Prentice Hall. Stoica and R. 1997 Slide L6–1 .Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P.
0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . 1997 Slide L6–2 . Prentice Hall.. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . m + 1)]T e 4 R = E fy(t)~ (t)g = APA + 2I ~ y Then with 2 P = E fx(t)~ (t)g = ~ x 6 4 2 1 0 ..The Covariance Matrix Equation Let: a(!) = 1 e. Stoica and R. Moses. . m + 1) .i! : : : e.i(m.
Prentice Hall.n] (m (m . 1997 Slide L6–3 . Stoica and R. n)) Thus.Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm. Moses. 2 R = S G] 6 4 1 3 " ...ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.
2 . 0 n 3 7 5 with C (since rank S . Therefore. Moses. 1997 . since S G j j 6= 0 4 . Stoica and R. Prentice Hall. = = nonsingular 0 n.. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 .Eigendecomposition of R and Its Properties.1) = AC S = A(PA S ( ) = rank(A) = n). 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. .
. Moses. Stoica and R.MUSIC Method a (!1) . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. 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 . Prentice Hall.
1997 Slide L6–6 . Stoica and R.1)GG a(z) = 0 that are closest to the unit circle. Here.(m. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Prentice Hall. Moses.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 . a(z) = 1 z. Lecture notes to accompany Introduction to Spectral Analysis by P.1 : : : z.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates.
Stoica and R. ) f!kgn=1 can be found from the roots of ^ k aT (z. 1997 Slide L6–7 . If: =n+1 m=n+1 Then: ^ g G = ^1. Moses. Prentice Hall.1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value).
1997 Slide L6–8 .MinNorm Method Goals: Reduce computational burden. that has minimum Euclidean norm. Moses. R( ) Let " 1 = the vector in R(G). Stoica and R. and reduce risk of false frequency estimates. g # Lecture notes to accompany Introduction to Spectral Analysis by P. Uses m n (as in MUSIC). with ﬁrst element equal ^ ^ to one. but only one vector in G (as in Pisarenko). Prentice Hall.
Stoica and R. 1997 Slide L6–9 . Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Prentice Hall.1) 1 ^ g " # that are closest to the unit circle. Moses.MinNorm Method.
for N 1. k k2) ) ^ = . at least.1 g + S S . Prentice Hall.) ^^ I=S S= Multiplying the above equation by gives: (1 .Let S ^= S g1 .1 exists iff = k k2 6= 1 (This holds.1 = =(1 .S(S S ). k k2) = (S S ) ) (S S ).S =(1 .1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . 1997 Slide L6–10 . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. g " # MinNorm solution: As: ^ = . (S S ).
1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. let = A1D.i!1 0 .1 0]S S2 = 0 Im. D= 0 e. Prentice Hall..1 0]A A2 = 0 Im.1DC {z } So has the same eigenvalues as D .1]A Then A2 Also. Moses..i!n S1 = Im. Then S2 = A2C = A1DC = S1 C .ESPRIT Method Let A1 = Im. 1997 Slide L6–11 . Stoica and R. determined as is uniquely = (S1S1).1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. where e.
^ ^ ^ ^ 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. then S1 and S2 . ﬁnd S . Stoica and R. Moses. Prentice Hall. 1997 Slide L6–12 .1S1S2 ^^ ^^ f!kgn=1 = .ESPRIT Implementation From the eigendecomposition of R.
Moses. Stoica and R.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. 1997 . Prentice Hall.
Prentice Hall.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L7–1 . Moses.
Moses. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Prentice Hall. Nonparametric Approach: Implicitly smooth ! !=. 1997 Slide L7–2 . but 2 requires to ensure that the number of estimated values = = ) is < N .Basic Ideas Two main PSD estimation approaches: 1. Parametric Approach: Parameterize ﬁnitedimensional model. (!) by a 2. !+ ] N >1 1 2 is more general than 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . 1997 . are conﬂicting.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . Moses. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. 2 ! + 2 ] Note that assumptions (a) and (b).with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . Prentice Hall. jH ( )j2 ( )d = ' 21 !+ !. Stoica and R. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . !c @Q Q ! . as well as (b) and (c).
i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . k) 2 ! . 1 H (!) = hk e ! N ei(~.t) t=1 X X = N where ( X 1 k=0 hk y(N .i!k = 1 eiN (~. Moses.Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1 k=0 X 1 ei!k k = 0 : : : N . Stoica and R.!) .!) . 1997 . Prentice Hall.
and: narrow ﬁlter passband. for N = 50. con't jH (!)j as a function of (~ . power calculation from only 1 sample of ﬁlter output. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L7–5 . 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. !). Moses.Filter Bank Interpretation of the Periodogram.
This “multiwindow approach” is similar to the Daniell method. Split the available sample.Possible Improvements to the Filter Bank Approach 1. more data points for the power calculation stage. and bandpass ﬁlter each subsample. Each ﬁlter covers a small band centered on ! . Both approaches compromise bias for variance. This approach leads to Bartlett and Welch methods. ~ provides several samples for power calculation. Moses. Stoica and R. 2. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Use several bandpass ﬁlters on the whole sample. 1997 Slide L7–6 . and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering.
yF (t) = X m k=0  hk y(t . Stoica and R. y(t .i! : : : e.Capon Method Idea: Datadependent bandpass ﬁlter design.im! ]T hk e. k) 2 6 4  .i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. = h0 h1 : : : hm] . Prentice Hall. 1997 Slide L7–7 . m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e. Moses.
Moses.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.Capon Method. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R. Prentice Hall.1a(!) which should be the power of y (t) in a passband centered on ! . n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. 1997 Slide L7–8 .1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .1a=a R.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
bias decreases and variance increases. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Moses.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L7–9 . . Stoica and R. Capon uses one bandpass ﬁlter only.
Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .i!k ^ k=. 1997 Slide L7–10 . Prentice Hall.m m + 1 1 m m ^(t .s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . s)e.i!(t.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. jkj ^BT (!) = r(k)e. Moses. Stoica and R. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.
C ! generally has worse resolution and bias properties than the AR method. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Stoica and R. Moses. 1997 Slide L7–11 . ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Due to the loworder AR terms in the average. Prentice Hall. C ! generally has less statistical variability than the AR PSD estimator.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t).
Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Moses. 1997 Slide L8–1 .
. seismometers Applications: Radar.. Emitted energy: Acoustic.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ .R . Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. Stoica and R. @.. communications. @. Prentice Hall. Sensor 1 @. . Moses. sonar.. 1997 Slide L8–2 . seismology. 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. @.@ .@ . v Source n @. . antennas. . electromagnetic. mechanical Receiving sensors: Hydrophones. @. @.
Prentice Hall. Stoica and R.) Lecture notes to accompany Introduction to Spectral Analysis by P.Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. AOA). (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Moses. 1997 Slide L8–3 . The number of sources n is known. the array is calibrated.
Then the output of sensor k is yk (t) = hk (t) x(t .g. Lecture notes to accompany Introduction to Spectral Analysis by P.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). etc. 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. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. background noise. Prentice Hall. Stoica and R.. Moses.. 1997 Slide L8–4 . thermal noise in sensor electronics.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. k) + ek (t) ( = convolution operator). Basic Problem: Estimate the time delays known but x t unknown.
Prentice Hall. Stoica and R. Moses. k ) ' (t) cos !ct + '(t) . 1997 . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . k) ' (t) '(t . !c k ] hk (t) x(t . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence.Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . k ) ' jHk (!c)j (t)cos !ct + '(t) .
Prentice Hall. Moses.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. 1997 Slide L8–6 or . by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P. 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.!ct = (t)f ei (t) + e. Stoica and R.i!ct to obtain (t)ei (t) lowpass highpass Hence.i!ct ~ = yk(t) cos(!ct) .i!c k + ek (t) where s(t) is the complex envelope of x(t).Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
Prentice Hall.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. Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–10 .
Prentice Hall.i(m.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Stoica and R.i!s : : : e. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 . !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.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–1 . Moses. Stoica and R. Prentice Hall.
Stoica and R. 1997 Slide L9–2 . Moses. 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 timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering.
i! : : : e.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .1] y(t) = u(t) : : : u(t . Moses. Stoica and R. 1997 Slide L9–3 .i(m. m + 1)]T If u m.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. k) = h y(t) k=0 h = ho : : : hm.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .
Prentice Hall. 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. Moses. Stoica and R. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.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. 1997 Slide L9–4 .
i! Be 2 B !! B B B B . Moses. Cu(t) C B .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. B . Prentice Hall. B B @ .1 q .1 ?  1 .B .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 . Stoica and R.? B P C B C B B B .. C C B C B C B C B C B A @ . s qq h  ? 1 ?  m.@ 0 B 1 C h @@ C B B e.. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P. ! hm.i m.  e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal ﬁlter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2.
h a 0 . Stoica and R. Here. 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.Spatial Filtering. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. 1997 Slide L9–6 . Moses. Prentice Hall.
To locate an emitter in the ﬁeld of view. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Prentice Hall. Stoica and R. 1997 Slide L9–7 .
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. Stoica and R. Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. n o n o The (dominant) peaks of h DOAs of the sources. 1997 . 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. y t can be considered as impinging on the array from all DOAs. 1997 Slide L9–9 . Moses.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. Prentice Hall.
Stoica and R. 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. 1 = 1. Resolution Threshold: inf j k . Prentice Hall. Moses. 1997 .Implementation of Beamforming 1 N y(t)y (t) ^ R=N t=1 X The beamforming DOA estimates are: f^kg = the locations of the n largest peaks of a Ra . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L9–11 .1a( ) E jyF (t)j2 = 1=a ( )R. Moses.1a( )=a ( )R. Stoica and R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Both Beamforming and Capon are nonparametric approaches. Prentice Hall.1a( ): Performance: Slightly superior to Beamforming.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. 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).
Lecture notes to accompany Introduction to Spectral Analysis by P. for DOA estimation. Moses. YW. Prentice Hall. MINNORM and ESPRIT methods of frequency estimation can be used.Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular. MUSIC. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. 1997 Slide L9–12 . almost without modiﬁcation. Stoica and R.
1A y(t) t = 1 : : : N s X Then 1 N k I . Lecture notes to accompany Introduction to Spectral Analysis by P. A(A A).1A ]Rg ^ Thus.Nonlinear Least Squares Method 1 N ky(t) . Moses.1A ]y(t) = N t=1 ^ = trf I .1A ]Rg X f kg For N . f ^k g = arg max trf A(A A). A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . Prentice Hall. Stoica and R. this is precisely the form of the NLS method of frequency estimation. 1997 Slide L9–13 =1 . 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).
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Stoica and R. Prentice Hall. 1997 Slide L9–14 .
1997 Slide L9–15 .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = 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. = U1 U2 ] 0 n n 0 V1 g n .n 0 V2 g L n M . Stoica and R.) = n. Prentice Hall.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 ~ . and the SVD of . is .
Moses. Prentice Hall. using 1 N y(t)~ (t) ^ . (L 1).=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L9–16 .YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.
Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. that is. Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–17 .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. Lecture notes to accompany Introduction to Spectral Analysis by P. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D... 1997 Slide L9–18 ( ) = d sin( )=c .i!c ( 1) 0 . where e. Prentice Hall. D= 0 e.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Moses.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.
1 A2 = 0 Im. 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. Prentice Hall. Moses. so m m and .1 A1 = Im.1 . the two subarrays are often the ﬁrst m and last m array elements.1 0]A = . 1997 Slide L9–19 . Stoica and R.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.ESPRIT Method.
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