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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
1997 Slide L1–4 . Prentice Hall. Stoica and R.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.Deterministic Signals fy(t)g1 . Moses.1 = t= If: discretetime deterministic data sequence X 1 t=.1 y(t)e.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.
1 y(t)y (t .i!k (k) = 1 t=. Stoica and R. Moses.1 X (k)e.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . Prentice Hall.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . S (!)d! t=.
Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L1–6 . Prentice Hall. Stoica and R.
k) r(0) jr(k)j Z Note that r(k) = 21 . (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . Moses. k)g r(k) = r (. (!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.First Deﬁnition of PSD (! ) = where r X 1 k=. Stoica and R.1 r(k)e.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . 1997 Slide L1–7 .
Moses. Prentice Hall. Stoica and R.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g. t=1 y(t)e.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.Second Deﬁnition of PSD 1 N y(t)e. 1997 Slide L1–8 .
P2: ] () f 2 . we can restrict attention to !2 .1=2 1=2] (!) 0 (t) is real. Thus. Stoica and R.Properties of the PSD P1: (!) = (! + 2 ) for all !. Moses. Then: (! ) = (. 1997 Slide L1–9 . Prentice Hall.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P.! ) Otherwise: (! ) 6= (.
k) hk e. 1997 Slide L1–10 . Prentice Hall. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .1y(t) = y(t .1 H (q) = X 1 k=0 hk q.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.k = unit delay operator: q. Moses.Transfer of PSD Through Linear Systems System Function: where q .
Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. 1997 Slide L1–11 .The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Moses. Prentice Hall.
Prentice Hall.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L2–1 . Moses.
i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Stoica and R. Moses. Prentice Hall.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.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. 1997 Slide L2–2 .
1997 Slide L2–3 .1) Lecture notes to accompany Introduction to Spectral Analysis by P.i!k ^c(!) = k=.1 X r(k)e.i!k (k)” by “^(k)”: r r ^(k)e.1 N . Stoica and R.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. Prentice Hall.(N . Moses.
Moses.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Prentice Hall. k t=k+1 X Standard biased estimate: 1 N y(t)y (t . 1997 Slide L2–4 . Stoica and R.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. k) k 0 ^ r(k) = N . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (.
N ^p(!) = 1 y(t)e.i!t N t=1 X 2 = N .i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.1) r ^(k)e. Stoica and R. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 X = ^c(!) k=.(N .Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). 1997 . Moses.
Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance. ( )g ^ ( ) . the PSD error is large. ^p(!) and ^c(!) have poor performance. even for large N .1 are small. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. jk =0 there are “so many” that when summed in ! . Stoica and R. 1997 Slide L2–6 . Intuitive explanation: r(k) . ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. Thus. Prentice Hall. Moses. p! f^( ) .
1 X wB (k) = 8 < : = Thus. ( )WB (! .1) 1 = wB (k)r(k)e. n o 0 k 1 .(N . window E ^p(!) = 21 .1) N . Prentice Hall.i!k k=. N k=. or triangular.1 jkj r(k)e.i!k r k=. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1 jkj N Bartlett. 1997 .i!k = 1.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. Moses.1 n o n o X ! X N . ) d Z Ideally: WB (!) = Dirac impulse (!).(N . jNj jkj N .
Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). 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 . Moses. Stoica and R. Prentice Hall. WB 1=N . 1997 . (!) may differ quite a bit from (!).
Moses. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–9 . Stoica and R. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . Prentice Hall.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable.
Moses. Prentice Hall. so ! is asymptotically unbiased. 1997 Slide L2–10 . severe bias As N . Stoica and R. WB ! !. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N .
(!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. dev = φ(ω) too  Resolvability properties depend on both bias and variance. Stoica and R. Moses. 1997 Slide L2–11 . Lecture notes to accompany Introduction to Spectral Analysis by P. (!1) ^p(!2) . Prentice Hall.Periodogram Variance As N !1 E ^p(!1) .
1997 Slide L2–12 .i!t 2 k and W = e. 1 Direct computation of O N 2 ﬂops ( ) . Moses.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 .i 2 . Stoica and R. Prentice Hall.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.
~ 4 = 0 2 4 : : : N . Prentice Hall. 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.i2 =N .Radix–2 Fast Fourier Transform (FFT) N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = . y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . 1997 . Stoica and R. Moses.1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Slide L2–13 t=1 ~ ~ f y(t) .
1997 Slide L2–14 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 2k + 2c ck = 2 k.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Prentice Hall.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus.
1997 Slide L2–15 . N=8 ω 2 k N .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Stoica and R. Moses.1 N k=0 sampled.
Stoica and R. Prentice Hall. Moses. 1997 Slide L3–1 .Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall.BlackmanTukey Method Basic Idea: Weighted correlogram. Moses.(M . 1997 Slide L3–2 .1 X k=. with small weight applied to covariances r k with “large” k .1) w(k)^(k)e.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. ^( ) jj ^BT (!) = M .
con't ^BT (!) = 1 ^p( )W (! .BlackmanTukey Method. Prentice Hall. 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. Moses. )d 2 . Stoica and R. 1997 .
W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.(M (0) w Z w (k ) = equiv time width 1 2 .1) Ne = k=. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . 0 Z  {z } If W (!) 0 (. Prentice Hall.1 X . 1997 Slide L3–4 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . Stoica and R. )d 2 .
Moses. 1997 Slide L3–5 .Window Design. bias decreases and variance increases. Lecture notes to accompany Introduction to Spectral Analysis by P. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Once M is given. 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. As M increases. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). Ne (and hence ﬁxed. Prentice Hall. Stoica and R.
Window Examples Triangular Window. Moses. 1997 Slide L3–6 . M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Prentice Hall. Stoica and R. 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.
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
Prentice Hall.Daniell Method By a previous result.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. Stoica and R. for N 1. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . Moses. 1997 Slide L3–10 .J X Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L3–11 . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Stoica and R. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . ^D(!) ' 1 ^p(!)d! 2 . Then. Moses. for N 1.Daniell Method. 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. Moses. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values.Summary of Periodogram Methods Unwindowed periodogram – reasonable bias – unacceptable variance Modiﬁed periodograms – Attempt to reduce the variance at the expense of (slightly) increasing the bias. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. ^ () – Implemented by averaging subsample periodograms. BT periodogram – Local smoothing/averaging of spectral window. Daniell Periodogram – Approximate interpretation: spectral window. Prentice Hall. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. more general for Welch). 1997 .
Moses. Prentice Hall. Stoica and R.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–1 .
i! .θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. 1997 Slide L4–2 ( ) . Moses. P By Weierstrass theorem. Stoica and R. Prentice Hall.i!k (!) is a rational function in e.i!k (!) = P jkj n k e.θ) ^ θ Estimate PSD ^ ^ =φ(ω. ! can approximate arbitrarily well any continuous PSD. provided m and n are chosen sufﬁciently large.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. Note. 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) Estimate parameters in φ(ω.
m and. e.1 + + anz.1 + + bmz. MA. and ARMA Models By Spectral Factorization theorem.AR..n B (z) = 1 + b1z.g. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. Prentice Hall. Stoica and R. Moses. 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. 1997 .
j )y (t . i) = m j =0 bj E fe(t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . Prentice Hall.k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . k) and take E f g to give: X r (k ) + X 2 m bj hj . Moses. k)g Lecture notes to accompany Introduction to Spectral Analysis by P. j ) (b0 = 1) Multiply by y (t . 1997 Slide L4–4 . i) = X m j =0 bj e(t .k = j =0 = 0 for k > m B (q) = 1 h q. Stoica and R.
r (. . Moses.1) . . . 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.1) : : : r(. Lecture notes to accompany Introduction to Spectral Analysis by P. . 2 1 a1 = 0 .n) . r(1) r(0) . 1997 Slide L4–5 .AR Signals: YuleWalker Equations AR: m = 0. . . Prentice Hall. Stoica and 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(. .
r . r ^(1) r(0) ^ ^.1) . Moses. . .n) 1 r r ^2 . Prentice Hall. Stoica and R.1) : : : ^(.AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. . ^(. . 1997 Slide L4–6 . .1 = 0 a . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. .
1) y(N . 1) : : : y (t .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . y(N . 1) y(n + 1) y(n) . ^ = . . n) . Find i=1 aiy(t . i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . Prentice Hall. .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . Stoica and R. 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . n)]T . . Moses. . 1997 Slide L4–7 . .(Y Y ). 3 7 5 Y =4 y(n) y(n .
.n .. 0 2 n 3 7 7 7 5 O(n3) ﬂops = 1 : : : n: O(n4) ﬂops Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 ﬂops! =1 ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. . n .. {z . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . ... Prentice Hall. 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).1 .0 .. 1997 Slide L4–8 . .1 1 .Levinson–Durbin Algorithm Fast. orderrecursive solution to YW equations 2 6 6 6 4  0 . . Moses. . Stoica and R.
LevinsonDurbin Alg. Moses. con't Relevant Properties of R: Rx = y $ Rx = y. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. Stoica and R. 1997 Slide L4–9 . 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. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Prentice Hall. .
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. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 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.LevinsonDurbin Alg. Moses. Prentice Hall. 2 kn = . Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .
r(k) = 0 for jkj > m and 2 2 = m r(k)e.i!k (!) = jB(!)j k=. m) Thus. 1997 Slide L4–11 . 1) + + bme(t .MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Stoica and R.m X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Moses. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. with AR model order n .MA Spectrum Estimation Two main ways to Estimate (! ): 1. Prentice Hall.m ^BT (!) with a rectangular lag window of 2m + 1. Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=. Stoica and R. 1997 Slide L4–12 . Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.
ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). k)] g = E f A(q)y(t)] A(q)y(t . A(q)y(t) = B (q)e(t) B (!) 2 = m=.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Prentice Hall.m k e. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L4–13 . k)] g = X n X n j =0 p=0 aj ap r(k + p . Moses.
ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. Estimate fai bj A(!) nonlinear estimation problem. Moses. Prentice Hall. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–14 . can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2.i!k k=. Stoica and R.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai r(k)g in (!) = P m .
K ) 1a) Estimate the coefﬁcients modelling techniques. K ) ^2 = N 1 j^(t)j2 e N . Prentice Hall. 1) + e and its variance + ^K y(t . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. Moses. 1997 Slide L4–15 . 1) + 2y(t . for some large K e(t) ' y(t) + 1y(t . 1) + + K y(t . Stoica and R.
Prentice Hall. 1) : : : ^(t .TwoStage LeastSquares Method. con't fe(t)g by ^(t) in the ARMA equation. 1997 Slide L4–16 . 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. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . n) e ^(t . ^(t) ' . 1) : : : . Moses. y(t .
. # 2 = r(m + M . = m + 1 ::: m + M a1 an .. 1) : : : r(m . 5 . . n + 2) . 1997 Slide L4–17 . : : : r(m . . least f^ g Note: For narrowband ARMA signals. r(m + M ) r(m + 1) r(m + 2) 3 7 If M n.6 4 Replace fr(k)g by f^(k)g and solve for faig. . = f^ g Y W system of equations. .. Moses. r f^ g . . Stoica and R. n + M ) . n + 1) r(m . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . . . fast Levinsontype algorithms exist for obtaining ai . If M > n overdetermined squares solution for ai .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
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. Moses. 1997 Slide L4–18 . Prentice Hall.
Prentice Hall. 1997 Slide L5–1 .Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.
sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 .Line Spectra Many applications have signals with (near) sinusoidal components. Examples: communications radar. 1997 . Stoica and R. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
Prentice Hall. power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . 1997 .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . uniformly distributed on . Moses. ] (prevents model ambiguities) f'k g = independent rv's. superimposed in white noise of k 2. ] (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. Stoica and R.
Prentice Hall. Stoica and R. Moses.i'j o e Z n 1 i' d' 2 = 0. r(k) = E fy(t)y (t . k) = 2 ei!pk p j p n o Hence.i'j o = E nei'p o E ne.Covariance Function and PSD Note that: E E n i'p e.i'j o = 1. for p = j e i'p e. e E xp(t)xj (t . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . for p 6= j =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 . Moses. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–5 . Stoica and R. Prentice Hall.
Stoica and R. . . 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 . Prentice Hall.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. 1997 Slide L5–6 . Moses.
con't Then: F = (Y . Y B(B B). B k2 = . 1997 Slide L5–7 .1B Y ] +Y Y . Prentice Hall.1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. B ) (Y . Moses. (B B).Nonlinear Least Squares (NLS) Method.1B Y !=^ ! and ! = arg max Y B (B B ).1B Y This gives: ^ = (B B). B ) = kY . Stoica and R. (B B).1B Y ] B B] .
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. ! 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. Stoica and R. 1997 Slide L5–8 .5. 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. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. Prentice Hall.HighOrder YuleWalker Method. along with L . f!kgn=1. 1997 Slide L5–12 .
.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . r(L + 2) . 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 = . Stoica and R. . . r(L + M . . Moses. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–13 . 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.
HighOrder and Overdetermined YW Equations. 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). Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 1997 Slide L5–14 .1U Important property: The additional (L . The MinimumNorm solution is b = . if the MinimumNorm solution b is used. n) spurious zeros of B (q ) are located strictly inside the unit circle. diagonal and nonsingular Thus.V . Stoica and R. y = . (U V )b = .
Compute ^ = . Stoica and R.HOYW Equations. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. r . .V ^ . SVD of . V from the Let U . this is the price paid for increased accuracy when L > n. V be deﬁned similarly to U . this approach may give spurious frequency estimates when L > n. f^ g When the SNR is low. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. 1997 Slide L5–15 . Moses.
Moses.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L6–1 . Prentice Hall.
i! : : : e..The Covariance Matrix Equation Let: a(!) = 1 e. Prentice Hall. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .. Moses. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 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 .i(m. = 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 . Stoica and R. 1997 Slide L6–2 . . m + 1) .
.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm.n] (m (m .. 2 R = S G] 6 4 1 3 " . n)) Thus. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–3 . Prentice Hall. Moses.Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm. Stoica and R.
Eigendecomposition of R and Its Properties. 2 . Stoica and R. 0 n 3 7 5 with C (since rank S . 1997 .. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.. since S G j j 6= 0 4 . . Moses. = = nonsingular 0 n. Prentice Hall. Therefore.1) = AC S = A(PA S ( ) = rank(A) = n).. =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 .
MUSIC Method a (!1) . Prentice Hall. 1997 Slide L6–5 . Moses. Stoica and R. Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0.
1 : : : z. Lecture notes to accompany Introduction to Spectral Analysis by P. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.1)GG a(z) = 0 that are closest to the unit circle. 1997 Slide L6–6 .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 .1)]T Note: Both variants of MUSIC may produce spurious frequency estimates.(m. a(z) = 1 z. Prentice Hall. Stoica and R. Here. Moses.
Stoica and R. 1997 Slide L6–7 . Prentice Hall.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. ) f!kgn=1 can be found from the roots of ^ k aT (z. Moses.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.
Prentice Hall. Stoica and R. Uses m n (as in MUSIC). g # Lecture notes to accompany Introduction to Spectral Analysis by P. R( ) Let " 1 = the vector in R(G). but only one vector in G (as in Pisarenko). and reduce risk of false frequency estimates. that has minimum Euclidean norm.MinNorm Method Goals: Reduce computational burden. with ﬁrst element equal ^ ^ to one. 1997 Slide L6–8 . Moses.
Stoica and R. con't Spectral MinNorm f!gn=1 = ^k the locations of the n highest peaks in the “pseudospectrum” 2 1 = a (!) 1 ^ g " # Root MinNorm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. 1997 Slide L6–9 . Prentice Hall.1) 1 ^ g " # that are closest to the unit circle. Moses.MinNorm Method. Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L6–10 .1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . (S S ).1 exists iff = k k2 6= 1 (This holds. Prentice Hall. g " # MinNorm solution: As: ^ = . k k2) = (S S ) ) (S S ). k k2) ) ^ = . Moses.) ^^ I=S S= Multiplying the above equation by gives: (1 . Stoica and R.1 = =(1 .1 g + S S .S(S S ). k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. at least.S =(1 .Let S ^= S g1 . for N 1.
ESPRIT Method Let A1 = Im. Stoica and R.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.. Prentice Hall.1 0]A A2 = 0 Im.1DC {z } So has the same eigenvalues as D .1]A Then A2 Also. D= 0 e.i!n S1 = Im.i!1 0 .. 1997 Slide L6–11 . determined as is uniquely = (S1S1). let = A1D. Moses. Then S2 = A2C = A1DC = S1 C .1 0]S S2 = 0 Im.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. where e.
ESPRIT Implementation From the eigendecomposition of R. 1997 Slide L6–12 . 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.1S1S2 ^^ ^^ f!kgn=1 = . then S1 and S2 . Moses. Prentice Hall. ﬁnd S . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Stoica and R.
Prentice Hall. 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 . Moses.
Moses. Prentice Hall.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–1 . Stoica and R.
by assuming that ! is nearly constant over the bands f ( )g ( ) !. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. (!) by a 2. Stoica and R. but 2 requires to ensure that the number of estimated values = = ) is < N . 1997 Slide L7–2 . !+ ] N >1 1 2 is more general than 1. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Parametric Approach: Parameterize ﬁnitedimensional model.Basic Ideas Two main PSD estimation approaches: 1. Moses. Nonparametric Approach: Implicitly smooth ! !=.
1997 . !c @Q Q ! . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . as well as (b) and (c). 2 ! + 2 ] Note that assumptions (a) and (b). Stoica and R. are conﬂicting. Moses. Prentice Hall. jH ( )j2 ( )d = ' 21 !+ !.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) .
Stoica and R.!) .!) .t) t=1 X X = N where ( X 1 k=0 hk y(N .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .i!k = 1 eiN (~. 1997 . Prentice Hall.Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1 k=0 X 1 ei!k k = 0 : : : 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. 1 H (!) = hk e ! N ei(~.
Stoica and R.Filter Bank Interpretation of the Periodogram. ! 0 −5 −10 −15 dB −20 −25 −30 −35 −40 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Conclusion: The periodogram p ! is a ﬁlter bank PSD estimator with bandpass ﬁlter as given above. power calculation from only 1 sample of ﬁlter output. Moses. 1997 Slide L7–5 . con't jH (!)j as a function of (~ . and: narrow ﬁlter passband. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. !). for N = 50. Prentice Hall.
~ provides several samples for power calculation. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Possible Improvements to the Filter Bank Approach 1. more data points for the power calculation stage. Each ﬁlter covers a small band centered on ! . This “multiwindow approach” is similar to the Daniell method. This approach leads to Bartlett and Welch methods. Use several bandpass ﬁlters on the whole sample. and bandpass ﬁlter each subsample. Stoica and R. Split the available sample. 2. 1997 Slide L7–6 . Both approaches compromise bias for variance. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering.
Prentice Hall. Moses.im! ]T hk e.Capon Method Idea: Datadependent bandpass ﬁlter design. = h0 h1 : : : hm] . 1997 Slide L7–7 .i! : : : e. k) 2 6 4  . yF (t) = X m k=0  hk y(t . y(t .i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e. Stoica and R.
con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R. 1997 Slide L7–8 .m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1a=a R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .Capon Method.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.1a(!) which should be the power of y (t) in a passband centered on ! . Stoica and R. Moses. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.
bias decreases and variance increases. Lecture notes to accompany Introduction to Spectral Analysis by P.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. . but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Stoica and R. Moses. Prentice Hall. 1997 Slide L7–9 . Capon uses one bandpass ﬁlter only.
Prentice Hall. 1997 Slide L7–10 .1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.i!(t. s)e.m m + 1 1 m m ^(t . j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.i!k ^ k=.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . Stoica and R. Moses.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . jkj ^BT (!) = r(k)e.
^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. C ! generally has worse resolution and bias properties than the AR method. Stoica and R. C ! generally has less statistical variability than the AR PSD estimator. Prentice Hall. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Due to the loworder AR terms in the average.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). 1997 Slide L7–11 .
1997 Slide L8–1 . Prentice Hall. Stoica and R. Moses.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P.
v Source n @. mechanical Receiving sensors: Hydrophones. @. seismometers Applications: Radar.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . 1997 Slide L8–2 . @. Stoica and R. .. electromagnetic. Moses. communications. @. Sensor 1 @. @. sonar.@ .. antennas. 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. Emitted energy: Acoustic. Prentice Hall.R . @. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. . seismology. .. .@ .
The number of sources n is known. AOA).) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Stoica and R. Moses.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. the array is calibrated. 1997 Slide L8–3 .
g.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). 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. Then the output of sensor k is yk (t) = hk (t) x(t . Lecture notes to accompany Introduction to Spectral Analysis by P.. Prentice Hall. Stoica and R. background noise.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. Basic Problem: Estimate the time delays known but x t unknown.g. Moses. k) + ek (t) ( = convolution operator). 1997 Slide L8–4 . etc.. thermal noise in sensor electronics. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case.
Stoica and R. k) ' (t) '(t . Prentice Hall. k ) ' (t) cos !ct + '(t) . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . k ) ' jHk (!c)j (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 . Moses. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . 1997 . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. !c k ] hk (t) x(t . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence.
Moses.i!ct ~ = yk(t) cos(!ct) .!ct = (t)f ei (t) + e. 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. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.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. Prentice Hall.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. 1997 Slide L8–6 or . by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i!c k + ek (t) where s(t) is the complex envelope of x(t).i!ct to obtain (t)ei (t) lowpass highpass Hence.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
1997 Slide L8–10 .Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Moses.
Prentice Hall. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. Stoica and R. 1997 . 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.i(m.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.i!s : : : e.
1997 Slide L9–1 . Prentice Hall. Stoica and R.Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Stoica and R. Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–2 .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.
1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . Prentice Hall.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .1] y(t) = u(t) : : : u(t . k) = h y(t) k=0 h = ho : : : hm. Lecture notes to accompany Introduction to Spectral Analysis by P.i(m.i! : : : e. Stoica and R. Moses. 1997 Slide L9–3 . 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.
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. 1997 Slide L9–4 .Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Moses. Stoica and R. Prentice Hall.i!c 2 : : : e. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs.
B .@ 0 B 1 C h @@ C B B e.1 ?  1 . C C B C B C B C B C B A @ .  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.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. ! hm.i m. s qq h  ? 1 ?  m.? B P C B C B B B . 1997 Slide L9–5 . Cu(t) C B .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q. B B @ . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.. Prentice Hall. B .i! C @ h a(!)]u(t) R @ C .i! Be 2 B !! B B B B ..1 q . Stoica and R. Moses.
Moses. h a 0 .Spatial Filtering. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. where 0 j ( )j = ( ) = 25 0 30 −30 Th et a (d eg ) 60 −60 90 0 2 4 6 Magnitude 8 10 −90 Lecture notes to accompany Introduction to Spectral Analysis by P. Here. Prentice Hall. Stoica and R. 1997 Slide L9–6 .
1997 Slide L9–7 . Lecture notes to accompany Introduction to Spectral Analysis by P. To locate an emitter in the ﬁeld of view. Moses. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal).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”). Stoica and R. Prentice Hall.
n o n o The (dominant) peaks of h DOAs of the sources. 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. Stoica and R. Prentice Hall. 1997 . ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.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.
Prentice Hall. y t can be considered as impinging on the array from all DOAs. 1997 Slide L9–9 . 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. () 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.
Stoica and R. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . 1997 . 1 = 1. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. Prentice Hall.Implementation of Beamforming 1 N y(t)y (t) ^ R=N t=1 X The beamforming DOA estimates are: f^kg = the locations of the n largest peaks of a Ra . Resolution Threshold: inf j k .
1a( ) E jyF (t)j2 = 1=a ( )R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Both Beamforming and Capon are nonparametric approaches.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Stoica and R.1a( )=a ( )R.1a( ): Performance: Slightly superior to Beamforming. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). 1997 Slide L9–11 . Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.
for DOA estimation. almost without modiﬁcation. 1997 Slide L9–12 . Moses. MUSIC. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. MINNORM and ESPRIT methods of frequency estimation can be used. Stoica and R. YW. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS.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.
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). this is precisely the form of the NLS method of frequency estimation. A(A A). f ^k g = arg max trf A(A A). Moses.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]y(t) = N t=1 ^ = trf I .1A ]Rg ^ Thus. 1997 Slide L9–13 =1 .Nonlinear Least Squares Method 1 N ky(t) . Lecture notes to accompany Introduction to Spectral Analysis by P. A(A A).1A ]Rg X f kg For N . A(A A). Stoica and R.1A y(t) t = 1 : : : N s X Then 1 N k I . Prentice Hall.
Moses. 1997 Slide L9–14 . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Prentice Hall.
Moses.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. = U1 U2 ] 0 n n 0 V1 g n . is . 1997 Slide L9–15 .) = n. and the SVD of .YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ .n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.n 0 V2 g L n M . Stoica and R.
=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). 1997 Slide L9–16 . Stoica and R. using 1 N y(t)~ (t) ^ . Moses. (L 1).
that is. Prentice Hall. 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. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist.MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. 1997 Slide L9–17 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
..i!c ( 1) 0 . Moses. D= 0 e. 1997 Slide L9–18 ( ) = d sin( )=c . Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D. Prentice Hall.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. where e. Stoica and R.
1997 Slide L9–19 .1 A2 = 0 Im. the two subarrays are often the ﬁrst m and last m array elements. Prentice Hall. Stoica and R.1 0]A = . so m m and . Moses.1 A1 = Im.ESPRIT Method.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.1 .