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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
Deterministic Signals fy(t)g1 . Prentice Hall.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=. Stoica and R. Moses.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–4 .1 y(t)e.1 = t= If: discretetime deterministic data sequence X 1 t=.
Stoica and R.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.1 y(t)y (t . S (!)d! t=.i!k (k) = 1 t=.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997 .1 X (k)e.
Moses.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. 1997 Slide L1–6 . Stoica and R. Prentice Hall.
Prentice Hall. Stoica and R. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .1 r(k)e.k) r(0) jr(k)j Z Note that r(k) = 21 . 1997 Slide L1–7 . 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. Moses.First Deﬁnition of PSD (! ) = where r X 1 k=.
Stoica and R.Second Deﬁnition of PSD 1 N y(t)e. t=1 y(t)e. Prentice Hall.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g. Moses. 1997 Slide L1–8 .
Properties of the PSD P1: (!) = (! + 2 ) for all !. Thus. Prentice Hall. Stoica and R. Moses. we can restrict attention to !2 .1=2 1=2] (!) 0 (t) is real. Then: (! ) = (. 1997 Slide L1–9 .! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P.! ) Otherwise: (! ) 6= (. P2: ] () f 2 .
k) hk e. Stoica and R. Prentice Hall.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1 H (q) = X 1 k=0 hk q.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 .1y(t) = y(t . 1997 Slide L1–10 .k = unit delay operator: q.
1997 Slide L1–11 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Moses.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 .
Moses. Prentice Hall. Stoica and R.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–1 .
Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e.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. 1997 Slide L2–2 .
i!k (k)” by “^(k)”: r r ^(k)e.1) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1 X r(k)e. Stoica and R.i!k ^c(!) = k=.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. Prentice Hall. 1997 Slide L2–3 .(N .1 N .
Moses. Stoica and R. k) k 0 ^ r(k) = N . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L2–4 . 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 .
Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!).1) r ^(k)e. Moses. Prentice Hall. Stoica and R.1 X = ^c(!) k=. 1997 .i!t N t=1 X 2 = N . Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. N ^p(!) = 1 y(t)e.(N .
( )g ^ ( ) . ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. Intuitive explanation: r(k) . jk =0 there are “so many” that when summed in ! . p! f^( ) . Stoica and R.Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance. Prentice Hall. the PSD error is large. Moses. Thus. even for large N . 1997 Slide L2–6 .1 are small. ^p(!) and ^c(!) have poor performance.
1) 1 = wB (k)r(k)e. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.1) N . Moses. window E ^p(!) = 21 . 1 jkj N Bartlett. Prentice Hall. ( )WB (! .i!k r k=.1 X wB (k) = 8 < : = Thus. or triangular.1 jkj r(k)e.1 n o n o X ! X N .Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.(N . jNj jkj N . N k=.(N . ) d Z Ideally: WB (!) = Dirac impulse (!). 1997 .i!k = 1.i!k k=. n o 0 k 1 . Stoica and R.
(!) may differ quite a bit from (!).Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). WB 1=N . Moses. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . 1997 .
1997 Slide L2–9 . Prentice Hall.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Stoica and R. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 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. WB ! !. 1997 Slide L2–10 . severe bias As N . Moses. Stoica and R. so ! is asymptotically unbiased. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N .
dev = φ(ω) too  Resolvability properties depend on both bias and variance. Prentice Hall. (!1) ^p(!2) . Moses. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. 1997 Slide L2–11 . Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Variance As N !1 E ^p(!1) . Stoica and R.
i 2 . Stoica and R.i!t 2 k and W = e.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 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. 1 Direct computation of O N 2 ﬂops ( ) . 1997 Slide L2–12 . Moses.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.
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 = . ~ 4 = 0 2 4 : : : N . y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Slide L2–13 t=1 ~ ~ f y(t) . Prentice Hall. 1997 .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : 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. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L2–14 .FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. 2k + 2c ck = 2 k. Moses.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus.
Moses. 1997 Slide L2–15 . Stoica and R.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P.1 N k=0 sampled. N=8 ω 2 k N . 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 .
1997 Slide L3–1 . Moses. Stoica and R.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
with small weight applied to covariances r k with “large” k .1) w(k)^(k)e.1 X k=. ^( ) jj ^BT (!) = M .BlackmanTukey Method Basic Idea: Weighted correlogram. 1997 Slide L3–2 . Stoica and R.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.(M .
1997 . 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. )d 2 . Moses. Prentice Hall. Stoica and R. con't ^BT (!) = 1 ^p( )W (! .BlackmanTukey Method.
Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . 1997 Slide L3–4 . )d 2 . Moses.1) Ne = k=. W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. 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 .(M (0) w Z w (k ) = equiv time width 1 2 . Stoica and R.
e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). Stoica and R. Ne (and hence ﬁxed. Once M is given. ) Choose M as a tradeoff between variance and bias. bias decreases and variance increases.Window Design. 1997 Slide L3–5 . Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. As M increases. once M is given. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold.
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.Window Examples Triangular Window. Moses. 1997 Slide L3–6 .
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Moses. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . 1997 Slide L3–10 . k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. Prentice Hall.J X Lecture notes to accompany Introduction to Spectral Analysis by P.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J .Daniell Method By a previous result. Stoica and R. for N 1.
Prentice Hall. Stoica and R. Moses. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . for N 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. ^D(!) ' 1 ^p(!)d! 2 .Daniell Method. 1997 Slide L3–11 . Then.
Stoica and R.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. Moses. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. Daniell Periodogram – Approximate interpretation: spectral window. Prentice Hall. more general for Welch). Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Lecture notes to accompany Introduction to Spectral Analysis by P. BT periodogram – Local smoothing/averaging of spectral window. ^ () – Implemented by averaging subsample periodograms. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. 1997 .
1997 Slide L4–1 .Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. Prentice Hall.
! can approximate arbitrarily well any continuous PSD. P By Weierstrass theorem.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. Note.i! .θ) ^ θ Estimate PSD ^ ^ =φ(ω. Stoica and R. Prentice Hall.i!k (!) is a rational function in e.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. provided m and n are chosen sufﬁciently large.i!k (!) = P jkj n k e. Moses.θ) Estimate parameters in φ(ω. 1997 Slide L4–2 ( ) .
Stoica and R.AR. Prentice Hall. 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. MA.1 + + anz. 1997 .. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. and ARMA Models By Spectral Factorization theorem.n B (z) = 1 + b1z. Moses.g.m and. e.1 + + bmz.
k) and take E f g to give: X r (k ) + X 2 m bj hj . Prentice Hall. k)g Lecture notes to accompany Introduction to Spectral Analysis by P. i) = m j =0 bj E fe(t . Moses. j )y (t . 1997 Slide L4–4 . i) = X m j =0 bj e(t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k .k = j =0 = 0 for k > m B (q) = 1 h q. Stoica and R. j ) (b0 = 1) Multiply by y (t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t .
n) . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. . Prentice Hall. r (. Stoica and R. . Lecture notes to accompany Introduction to Spectral Analysis by P. .AR Signals: YuleWalker Equations AR: m = 0. .1) : : : r(.1) . . . Moses. 2 1 a1 = 0 . 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(1) r(0) . 1997 Slide L4–5 . .
.1) : : : ^(. Stoica and R.1) .1 = 0 a . Moses. .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) ^(. 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) ^ ^. . Prentice Hall. 1997 Slide L4–6 . r . . ^(. .n) 1 r r ^2 .
1) y(n + 1) y(n) . . n)]T . 1) : : : y (t .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . n) . . y(N . ^ = . Find i=1 aiy(t . . .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . 3 7 5 Y =4 y(n) y(n . .(Y Y ). Moses. 1997 Slide L4–7 . Prentice Hall. Stoica and R. i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 1) y(N .
n . .. {z . n . .1 . 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. . Moses. 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 1 . .. orderrecursive solution to YW equations 2 6 6 6 4  0 ..0 .Levinson–Durbin Algorithm Fast. 1997 Slide L4–8 . Prentice Hall... Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . Stoica and R.
LevinsonDurbin Alg. Stoica and R. n 3 7 5 1 Rn+2 4 1 n = 0 3 5 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 32 54 1 n n = 0 0 n 3 5 2 4 2 3 5 where r n = n+1 + ~n n Lecture notes to accompany Introduction to Spectral Analysis by P. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. Moses. Prentice Hall. 1997 Slide L4–9 . con't Relevant Properties of R: Rx = y $ Rx = y. . 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 .
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. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 .LevinsonDurbin Alg. 2 kn = . 1997 . Stoica and R. 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. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Prentice Hall. r(k) = 0 for jkj > m and 2 2 = m r(k)e. 1) + + bme(t . m) Thus.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Stoica and R. 1997 Slide L4–11 .m X Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) = jB(!)j k=. Moses.
1997 Slide L4–12 .MA Spectrum Estimation Two main ways to Estimate (! ): 1. Stoica and R. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.m ^BT (!) with a rectangular lag window of 2m + 1. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. with AR model order n . Prentice Hall.i!k k=.
Prentice Hall. k)] g = X n X n j =0 p=0 aj ap r(k + p .m k e. Moses. 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 . j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). 1997 Slide L4–13 . k)] g = E f A(q)y(t)] A(q)y(t .
can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Moses.i!k k=. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–14 . Prentice Hall. Stoica and R.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai bj A(!) nonlinear estimation problem. Estimate fai r(k)g in (!) = P m .ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1.
1997 Slide L4–15 . 1) + e and its variance + ^K y(t . for some large K e(t) ' y(t) + 1y(t . Stoica and R. 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. 1) + 2y(t . K ) ^2 = N 1 j^(t)j2 e N . 1) + + K y(t . Prentice Hall. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. K ) 1a) Estimate the coefﬁcients modelling techniques.
e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques.y(t . Moses. Prentice Hall. y(t . 1997 Slide L4–16 . 1) : : : . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.TwoStage LeastSquares Method. ^(t) ' . 1) : : : ^(t . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . n) e ^(t . con't fe(t)g by ^(t) in the ARMA equation.
. n + 2) . r f^ g . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. . 1997 Slide L4–17 . = m + 1 ::: m + M a1 an . # 2 = r(m + M . fast Levinsontype algorithms exist for obtaining ai .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . least f^ g Note: For narrowband ARMA signals.. . . 5 . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P.6 4 Replace fr(k)g by f^(k)g and solve for faig. = f^ g Y W system of equations. Prentice Hall. If M > n overdetermined squares solution for ai . n + 1) r(m . . Moses.. Stoica and R. . 1) : : : r(m . : : : r(m . . . n + M ) .
Moses. 1997 Slide L4–18 .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. Prentice Hall. Stoica and R.
Prentice Hall. 1997 Slide L5–1 . Moses.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
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 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Examples: communications radar. Stoica and R. 1997 . Moses.Line Spectra Many applications have signals with (near) sinusoidal components. Prentice Hall.
Stoica and R. ] (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. Moses. 1997 . Prentice Hall.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . uniformly distributed on . 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 . ] (prevents model ambiguities) f'k g = independent rv's. superimposed in white noise of k 2.
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.i'j o = 1. k) = 2 ei!pk p j p n o Hence.i'j o e Z n 1 i' d' 2 = 0. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . Moses. r(k) = E fy(t)y (t .i'j o = E nei'p o E ne. Stoica and R. Prentice Hall. for p 6= j =2 . 1997 .Covariance Function and PSD Note that: E E n i'p e.
Moses. Prentice Hall. 1997 Slide L5–5 . ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.Parameter Estimation Estimate either: f!k k 'k gn=1 k 2 (Signal Model) f!k 2gn=1 2 k k Once (PSD Model) ^ Major Estimation Problem: f!k g f!kg are determined: ^ X f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p p=1 OR: Both k and 'k can be derived by a least squares method from f^ g f^ g X y(t) = with n k= k=1 k ei'k . 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 .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . Prentice Hall. . B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. . . Stoica and R. 1997 Slide L5–6 . Moses.
(B B).1B Y !=^ ! and ! = arg max Y B (B B ). Prentice Hall. Stoica and R. Y B(B B). B ) (Y . B k2 = .1B Y ] +Y Y . 1997 Slide L5–7 .1B Y This gives: ^ = (B B).1B Y ] B B] .1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. con't Then: F = (Y . (B B).Nonlinear Least Squares (NLS) Method. Moses. B ) = kY .
Stoica and R. 1997 Slide L5–8 . Moses. Prentice Hall.5. ! 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. it is difﬁcult to avoid convergence to local minima. Lecture notes to accompany Introduction to Spectral Analysis by P.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Prentice Hall. Stoica and R. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. along with L . 1997 Slide L5–12 . n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P.HighOrder YuleWalker Method. Moses. 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 = . 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 ARMA covariance: r (k ) + X L i=1 bir(k . r(L + M . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. . . 1997 Slide L5–13 . . r(L + 2) .
Prentice Hall. n) spurious zeros of B (q ) are located strictly inside the unit circle. 1997 Slide L5–14 . Lecture notes to accompany Introduction to Spectral Analysis by P. if the MinimumNorm solution b is used. 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). diagonal and nonsingular Thus. Stoica and R.1U Important property: The additional (L . Moses. The MinimumNorm solution is b = .V .HighOrder and Overdetermined YW Equations. (U V )b = . y = .
Compute ^ = .HOYW Equations. V be deﬁned similarly to U .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 . . V from the Let U . r . this approach may give spurious frequency estimates when L > n.V ^ . Lecture notes to accompany Introduction to Spectral Analysis by P. SVD of . this is the price paid for increased accuracy when L > n. Moses. Prentice Hall. f^ g When the SNR is low. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. Stoica and R.
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L6–1 . Stoica and R. Prentice Hall.
i! : : : e.. 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. Moses. Prentice Hall. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. . Stoica and R. m + 1) .The Covariance Matrix Equation Let: a(!) = 1 e.. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . 1997 Slide L6–2 . = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .
Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm.. Moses.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm.. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.n] (m (m . n)) Thus. Stoica and R. Prentice Hall. 1997 Slide L6–3 . 2 R = S G] 6 4 1 3 " .
Moses. 2 . Stoica and R.. = = nonsingular 0 n. 1997 . Prentice Hall.. Therefore.Eigendecomposition of R and Its Properties.. =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 .1) = AC S = A(PA S ( ) = rank(A) = n). since S G j j 6= 0 4 . 0 n 3 7 5 with C (since rank S . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.
Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. Moses. . Stoica and R. 1997 Slide L6–5 .MUSIC Method a (!1) . 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. Here. 1997 Slide L6–6 .1)GG a(z) = 0 that are closest to the unit circle. Moses.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates.(m. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 . Prentice Hall. Stoica and R. a(z) = 1 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. If: =n+1 m=n+1 Then: ^ g G = ^1. ) f!kgn=1 can be found from the roots of ^ k aT (z. 1997 Slide L6–7 . Prentice Hall.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Stoica and R.
Moses. with ﬁrst element equal ^ ^ to one. but only one vector in G (as in Pisarenko).MinNorm Method Goals: Reduce computational burden. R( ) Let " 1 = the vector in R(G). and reduce risk of false frequency estimates. Prentice Hall. Stoica and R. g # Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–8 . Uses m n (as in MUSIC). that has minimum Euclidean norm.
Prentice Hall. Moses. Stoica and R. 1997 Slide L6–9 . 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.1) 1 ^ g " # that are closest to the unit circle.MinNorm Method. Lecture notes to accompany Introduction to Spectral Analysis by P.
Let S ^= S g1 . Moses. at least. for N 1.S(S S ).1 = =(1 . Prentice Hall. k k2) ) ^ = . k k2) = (S S ) ) (S S ).S =(1 .1 g + S S . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. (S S ).) ^^ I=S S= Multiplying the above equation by gives: (1 . g " # MinNorm solution: As: ^ = . 1997 Slide L6–10 .1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .1 exists iff = k k2 6= 1 (This holds.
.1 0]A A2 = 0 Im.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.1DC {z } So has the same eigenvalues as D .1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. 1997 Slide L6–11 . Prentice Hall. let = A1D.i!n S1 = Im. D= 0 e. Then S2 = A2C = A1DC = S1 C .1]A Then A2 Also. Stoica and R. Moses.i!1 0 . where e. determined as is uniquely = (S1S1).1 0]S S2 = 0 Im.ESPRIT Method Let A1 = Im..
ﬁnd S . Moses.1S1S2 ^^ ^^ f!kgn=1 = . arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P. then S1 and S2 . Stoica and R. ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). 1997 Slide L6–12 . Prentice Hall.ESPRIT Implementation From the eigendecomposition of R.
Prentice Hall. 1997 . Moses.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Stoica and R.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–1 . Prentice Hall. Moses.
Nonparametric Approach: Implicitly smooth ! !=. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods.Basic Ideas Two main PSD estimation approaches: 1. but 2 requires to ensure that the number of estimated values = = ) is < N . !+ ] N >1 1 2 is more general than 1. Stoica and R. (!) by a 2. 1997 Slide L7–2 . Parametric Approach: Parameterize ﬁnitedimensional model. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.
Moses. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . !c @Q Q ! . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . as well as (b) and (c). 1997 . 2 ! + 2 ] Note that assumptions (a) and (b). jH ( )j2 ( )d = ' 21 !+ !. are conﬂicting.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . Stoica and R. Prentice Hall.
Moses.!) . 1 k=0 X 1 ei!k k = 0 : : : N .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i!k = 1 eiN (~. k) 2 ! .!) .t) t=1 X X = N where ( X 1 k=0 hk y(N . 1 H (!) = hk e ! N ei(~. 1997 .Filter Bank Interpretation of the Periodogram 1 N y(t)e. Stoica and R.
Filter Bank Interpretation of the Periodogram. power calculation from only 1 sample of ﬁlter output. ! 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. and: narrow ﬁlter passband. Prentice Hall. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. con't jH (!)j as a function of (~ . Moses. !). for N = 50. 1997 Slide L7–5 .
2. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. and bandpass ﬁlter each subsample.Possible Improvements to the Filter Bank Approach 1. Use several bandpass ﬁlters on the whole sample. more data points for the power calculation stage. ~ provides several samples for power calculation. Each ﬁlter covers a small band centered on ! . Lecture notes to accompany Introduction to Spectral Analysis by P. This “multiwindow approach” is similar to the Daniell method. Prentice Hall. Stoica and R. Both approaches compromise bias for variance. 1997 Slide L7–6 . Moses. This approach leads to Bartlett and Welch methods. Split the available sample.
i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.Capon Method Idea: Datadependent bandpass ﬁlter design. yF (t) = X m k=0  hk y(t . Moses. 1997 Slide L7–7 . y(t . = h0 h1 : : : hm] .im! ]T hk e. Stoica and R. k) 2 6 4  .i! : : : e. Prentice Hall. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.
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 ! . con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. 1997 Slide L7–8 . Moses.1a=a R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . Stoica and R. Prentice Hall.
Prentice Hall. Stoica and R. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Moses. 1997 Slide L7–9 . 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. Capon uses one bandpass ﬁlter only.
jkj ^BT (!) = r(k)e.m m + 1 1 m m ^(t .i!k ^ k=.i!(t. 1997 Slide L7–10 . j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . Stoica and R.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . s)e.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
C ! generally has worse resolution and bias properties than the AR method. C ! generally has less statistical variability than the AR PSD estimator. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Moses. Stoica and R. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–11 . Due to the loworder AR terms in the average. Prentice Hall.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t).
Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. Prentice Hall. 1997 Slide L8–1 .
. @. Moses. @. seismology.@ . mechanical Receiving sensors: Hydrophones.R . communications. Emitted energy: Acoustic. @. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. Prentice Hall. antennas. .The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . seismometers Applications: Radar. . Sensor 1 @. sonar. . @.. Stoica and R.. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P.. v Source n @. @. electromagnetic.@ . 1997 Slide L8–2 .
Moses. The number of sources n is known.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.) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–3 . AOA). (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Prentice Hall. Stoica and R.
1997 Slide L8–4 . etc. Then the output of sensor k is yk (t) = hk (t) x(t . Prentice Hall. k) + ek (t) ( = convolution operator). background noise. thermal noise in sensor electronics.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals).. Stoica and R.. Lecture notes to accompany Introduction to Spectral Analysis by P.g. 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. Basic Problem: Estimate the time delays known but x t unknown.g. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. Moses.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.
!c k ] hk (t) x(t . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. 1997 . k) ' (t) '(t . Stoica and R. Moses. k ) ' jHk (!c)j (t)cos !ct + '(t) . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. k ) ' (t) cos !ct + '(t) . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c .
i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. 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.i!c k + ek (t) where s(t) is the complex envelope of x(t).i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. 1997 Slide L8–6 or .i!ct ~ = yk(t) cos(!ct) . Prentice Hall.!ct = (t)f ei (t) + e.i!ct to obtain (t)ei (t) lowpass highpass Hence. Moses.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. Stoica and R.
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. Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.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 . 1997 Slide L8–10 . Moses.
Moses. !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. 1997 .1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.i!s : : : e. Prentice Hall. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Stoica and R.i(m.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 1997 Slide L9–1 . Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Prentice Hall. Moses. 1997 Slide L9–2 .
1] y(t) = u(t) : : : u(t .1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .i(m. Prentice Hall. k) = h y(t) k=0 h = ho : : : hm.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. 1997 Slide L9–3 . Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. m + 1)]T If u m.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .i! : : : e.
Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.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. 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. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–4 . Moses.i!c 2 : : : e. Stoica and R. Prentice Hall.
B B @ .1 q .i! Be 2 B !! B B B B . Moses.1 ?  1 . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.i m. s qq h  ? 1 ?  m. ! hm. Cu(t) C B .@ 0 B 1 C h @@ C B B e.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.  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. 1997 Slide L9–5 .. B . Prentice Hall.? B P C B C B B B .i! C @ h a(!)]u(t) R @ C ..B . Stoica and R. C C B C B C B C B C B A @ .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.
Spatial Filtering. Prentice Hall. where 0 j ( )j = ( ) = 25 0 30 −30 Th et a (d eg ) 60 −60 90 0 2 4 6 Magnitude 8 10 −90 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. h a 0 . Here. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Moses. 1997 Slide L9–6 .
To locate an emitter in the ﬁeld of view. Prentice Hall. by sweeping the ﬁlter through the DOA range of interest (“goniometer”).Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–7 . Stoica and R. Moses. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal).
Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Moses. ( )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. 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. 1997 . 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. Prentice Hall.
Prentice Hall. y t can be considered as impinging on the array from all DOAs.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. 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. Moses. 1997 Slide L9–9 .
Moses. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram.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. 1 = 1. 1997 . Resolution Threshold: inf j k . pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Stoica and R. Prentice Hall.
Prentice Hall. Moses.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). Lecture notes to accompany Introduction to Spectral Analysis by P.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.1a( )=a ( )R. Both Beamforming and Capon are nonparametric approaches. 1997 Slide L9–11 .1a( ) E jyF (t)j2 = 1=a ( )R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Stoica and R.
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. Moses. almost without modiﬁcation. Prentice Hall. Stoica and R. MINNORM and ESPRIT methods of frequency estimation can be used. Lecture notes to accompany Introduction to Spectral Analysis by P. for DOA estimation. MUSIC. 1997 Slide L9–12 . YW.
Lecture notes to accompany Introduction to Spectral Analysis by P. this is precisely the form of the NLS method of frequency estimation. 1997 Slide L9–13 =1 . A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]Rg X f kg For N .1A y(t) t = 1 : : : N s X Then 1 N k I . Prentice Hall.1A ]y(t) = N t=1 ^ = trf I . A(A A).Nonlinear Least Squares Method 1 N ky(t) . f ^k g = arg max trf A(A A). Moses. A(A A).1A ]Rg ^ Thus. 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). Stoica and R.
1997 Slide L9–14 . Stoica and R. Prentice Hall. 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.
is . Prentice Hall. Moses.n 0 V2 g L n M .) = n.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 .= 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 . 1997 Slide L9–15 . Stoica and R.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. using 1 N y(t)~ (t) ^ . Moses. (L 1). 1997 Slide L9–16 . is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ).=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. 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. that is. Moses. 1997 Slide L9–17 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.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... Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. D= 0 e. 1997 Slide L9–18 ( ) = d sin( )=c .ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.i!c ( 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. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D.i!c ( 1) 0 .
ESPRIT Method.1 0]A = .1 A2 = 0 Im. Prentice Hall. the two subarrays are often the ﬁrst m and last m array elements. Stoica and R. 1997 Slide L9–19 . con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA. so m m and .1 .1 A1 = Im.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
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