Basic Definitions and The Spectral Estimation Problem

Lecture 1

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

Slide L1–1

Informal Definition of Spectral Estimation

Given: A finite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density

! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)

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

Slide L1–2

Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity finding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar

Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3

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

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

Moses.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L1–6 . Prentice Hall.

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

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

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

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

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

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

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

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

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

Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Stoica and R.(N .1 X = ^c(!) k=. 1997 .i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.1) r ^(k)e. Prentice Hall. Moses.i!t N t=1 X 2 = N . N ^p(!) = 1 y(t)e.

jk =0 there are “so many” that when summed in ! . Stoica and R. even for large N . 1997 Slide L2–6 . Thus.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. ^p(!) and ^c(!) have poor performance. the PSD error is large. Intuitive explanation: r(k) . p! f^( ) . ( )] 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. Moses.1 are small. ( )g ^ ( ) .

Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.1 X wB (k) = 8 < : = Thus.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.i!k = 1.1) 1 = wB (k)r(k)e. jNj jkj N . Prentice Hall. ) d Z Ideally: WB (!) = Dirac impulse (!). Moses. 1997 . 1 jkj N Bartlett. n o 0 k 1 .1) N .(N .1 n o n o X ! X N . window E ^p(!) = 21 .i!k k=. N k=. or triangular. ( )WB (! .i!k r k=.(N .1 jkj r(k)e. 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). Moses. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. 1997 . WB 1=N . 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 .

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

!1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . so ! is asymptotically unbiased. 1997 Slide L2–10 . severe bias As N . Stoica and R. Prentice Hall. WB ! !. 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. (!1) ^p(!2) . dev = φ(ω) too - Resolvability properties depend on both bias and variance. Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Variance As N !1 E ^p(!1) . Stoica and R. Prentice Hall. Moses. 1997 Slide L2–11 .

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.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Moses.i!t 2 k and W = e. 1 Direct computation of O N 2 flops ( ) . Prentice Hall. 1997 Slide L2–12 .

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

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

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

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

^( ) jj ^BT (!) = M .1) w(k)^(k)e. Prentice Hall.1 X k=.(M . Moses. Stoica and R.Blackman-Tukey Method Basic Idea: Weighted correlogram.i!k r fw(k)g = Lag Window w(k) 1 -M M k Lecture notes to accompany Introduction to Spectral Analysis by P. with small weight applied to covariances r k with “large” k . 1997 Slide L3–2 .

Prentice Hall. Moses. 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. con't ^BT (!) = 1 ^p( )W (! . 1997 . )d 2 .Blackman-Tukey Method. Stoica and R.

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

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

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

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

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

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

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

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

θ) Estimate parameters in φ(ω. ! can approximate arbitrarily well any continuous PSD. P By Weierstrass theorem.i!k (!) is a rational function in e. Prentice Hall.θ) ^ θ Estimate PSD ^ ^ =φ(ω. Stoica and R. 1997 Slide L4–2 ( ) . provided m and n are chosen sufficiently large.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.i!k (!) = P jkj n k e.i! . however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Note.

and ARMA Models By Spectral Factorization theorem.AR.n B (z) = 1 + b1z. 1997 .. Moses. e. MA. Prentice Hall.m and.1 + + bmz. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. Stoica and R.g.1 + + anz. 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.

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

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

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

Stoica and R. . n)]T . 1) y(n + 1) y(n) . . 1) y(N . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . Prentice Hall. 1) : : : y (t . . .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . Find i=1 aiy(t . Moses. 3 7 5 Y =4 y(n) y(n . 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 ) . .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . ^ = . 1997 Slide L4–7 .(Y Y ). 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..Levinson–Durbin Algorithm Fast. . . . n . order-recursive solution to YW equations 2 6 6 6 4 | 0 .. Prentice Hall.0 ..n .1 1 . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . . 1997 Slide L4–8 ..1 . {z . 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). Stoica and R. .

2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Prentice Hall. Stoica and R. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. con't Relevant Properties of R: Rx = y $ Rx = y. . Moses. 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.Levinson-Durbin Alg. 1997 Slide L4–9 .

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

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

with AR model order n .MA Spectrum Estimation Two main ways to Estimate (! ): 1. Stoica and R.i!k k=. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. Moses. 1997 Slide L4–12 .m ^BT (!) with a rectangular lag window of 2m + 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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.

Stoica and R. Moses.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. A(q)y(t) = B (q)e(t) B (!) 2 = m=. k)] g = E f A(q)y(t)] A(q)y(t .m k e. Prentice Hall. 1997 Slide L4–13 . k)] g = X n X n j =0 p=0 aj ap r(k + p .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).

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

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

e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. Note that the ai and bj coefficients enter linearly in the above equation: y(t) . 1) : : : ^(t . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. con't fe(t)g by ^(t) in the ARMA equation. 1997 Slide L4–16 . n) e ^(t . Moses. y(t .Two-Stage Least-Squares Method. Stoica and R. Prentice Hall.y(t . 1) : : : . ^(t) ' .

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

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

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

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

uniformly distributed on . Stoica and R. Moses. power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X | {z } Assumptions: A1: A2: k>0 !k 2 . Prentice Hall. 1997 . superimposed in white noise of k 2.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . ] (prevents model ambiguities) f'k g = independent rv's. ] (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.

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

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

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

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

Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–8 .5. it is difficult to avoid convergence to local minima.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. Prentice Hall. ! Difficult Implementation: The NLS cost function F is multimodal. Moses.

Unwindowed Periodogram as an Approximate NLS Method

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

n=1
X

B B=N
N t=1

BY=

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

(finite DTFT)

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

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

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

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

Slide L5–10

High-Order Yule-Walker Method Recall:

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

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

n

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

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

Let

B (q) = 1 +

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

L

Then B

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

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

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

High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . r(L + M . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. r(L + 2) . 1) : : : r(M ) r(L + M ) 4 4 = = {z } | {z r(L) r(L + 1) This is a high-order (if L > n) and overdetermined (if M > L) system of YW equations. i) = 0 k > L In matrix form for k 2 6 6 6 4 | = L + 1 ::: L + M 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 } : : : r(1) r(L + 1) : : : r(2) b = . . . . Prentice Hall. 1997 Slide L5–13 . . .

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

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

Prentice Hall.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L6–1 . Moses.

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

2 R = S G] 6 4 1 3 " .Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm.. Prentice Hall.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Moses.. 1997 Slide L6–3 . m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. n)) Thus.n] (m (m . Stoica and R.

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

MUSIC Method a (!1) . Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–5 . 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. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0.

(m.1 : : : z. Prentice Hall. a(z) = 1 z. Stoica and R. 1997 Slide L6–6 .1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Moses. Here. Lecture notes to accompany Introduction to Spectral Analysis by P.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudo-spectrum” function: 1 ^G a(!) ! 2 .1)GG a(z) = 0 that are closest to the unit circle. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.

If: =n+1 m=n+1 Then: ^ g G = ^1. 1997 Slide L6–7 .Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Prentice Hall. ) f!kgn=1 can be found from the roots of ^ k aT (z. Moses. Stoica and R.1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

) ^^ I=S S= Multiplying the above equation by gives: (1 .Let S ^= S g1 .S(S S ).1 g + S S . k k2) ) ^ = .S =(1 . k k2) = (S S ) ) (S S ). k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. g " # Min-Norm solution: As: ^ = . for N 1.1 gm " # " # Min-Norm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . at least. Prentice Hall.1 = =(1 . (S S ). 1997 Slide L6–10 .1 exists iff = k k2 6= 1 (This holds. Moses. Stoica and R.

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

Prentice Hall. Stoica and R. then S1 and S2 . Moses.ESPRIT Implementation From the eigendecomposition of R.1S1S2 ^^ ^^ f!kgn=1 = . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P. find S . 1997 Slide L6–12 .

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

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

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

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

1 k=0 X 1 ei!k k = 0 : : : N .Filter Bank Interpretation of the Periodogram 1 N y(t)e.!) . 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(~. k) 2 ! .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .!) . Stoica and R.i!k = 1 eiN (~. Prentice Hall. 1997 .t) t=1 X X = N where ( X 1 k=0 hk y(N .

for N = 50. 1997 Slide L7–5 . Stoica and R. con't jH (!)j as a function of (~ . and: narrow filter passband. power calculation from only 1 sample of filter output. Prentice Hall. !). ! 0 −5 −10 −15 dB −20 −25 −30 −35 −40 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Conclusion: The periodogram p ! is a filter bank PSD estimator with bandpass filter as given above.Filter Bank Interpretation of the Periodogram. Moses. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.

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

m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. k) 2 6 4 | . 1997 Slide L7–7 . yF (t) = X m k=0 | hk y(t . Moses. = h0 h1 : : : hm] .im! ]T hk e. y(t .Capon Method Idea: Data-dependent bandpass filter design.i! : : : e. Prentice Hall.

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

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

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

1997 Slide L7–11 . Due to the low-order AR terms in the average. C ! generally has worse resolution and bias properties than the AR method. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Stoica and R. C ! generally has less statistical variability than the AR PSD estimator. Moses. 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). ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.

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

v Source n @.@ . communications. Emitted energy: Acoustic. . . @. @.@ . Sensor 1 @.. electromagnetic. 1997 Slide L8–2 . Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. Prentice Hall. @. @. antennas. sonar. seismology. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P.R . @. mechanical Receiving sensors: Hydrophones. . .. Moses.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ .. Stoica and R. seismometers Applications: Radar.

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

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

k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. 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. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . 1997 . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . k ) ' (t) cos !ct + '(t) . Prentice Hall. k) ' (t) '(t . Stoica and R. Moses. !c k ] hk (t) x(t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c .

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

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

H1(!c) e;i!c
. .

1

3 7 5

Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4

3 7 5

Then

y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .

()

f kg and fHk(!c)g. fHk(!c)g do not depend

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

Internal Noise External Noise XXXXX ? XX ll z l - Cabling and , Filtering : ,, Incoming Transducer Signal x(t ; k )

Re yk (t)] Lowpass Re yk (t)] - !! ~ Filter A/D cos(!ct) 6 y k (t) Oscillator -sin(!ct) ? ~ - Im yk (t)] Lowpass Im yk (t)] - !! Filter A/D

-

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

Slide L8–8

Multiple Emitter Case Given n emitters with received signals: DOAs:

fsk(t)gn=1 k

k

Linear sensors

) y(t) = a( 1)s1(t) +

+ a( n)sn(t) + e(t)

Let

A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:

y(t) = As(t) + e(t)
Use the planar wave assumption to find the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9

Stoica and R. Moses. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d - v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . 1997 Slide L8–10 .

1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.i(m. Prentice Hall. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 . Stoica and R. !s = spatial frequency The function !s 7! a( ) is one-to-one for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem.i!s : : : e.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.

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

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

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

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

Stoica and R. B .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q..1 q . ! hm.i! Be 2 B !! B B B B . ? qq 1 ! (Spatial sampling) (b) Spatial filter Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1 ? - 1 .i! C @ h a(!)]u(t) R @ C .B . | e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal filter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2.? B -P C B C B B B .@ 0 B 1 C h @@ C B B e. s qq h - ? 1 ? - m. Moses.i! m | e {z a( ) aa m! point ( ) qq ( ) 1 C C C C C Cs(t) C C C C C A } - ? @ ? @ @ h - 1 @ R @ - P h a( )]s(t) - hm.. B B @ .i m. C C B C B C B C B C B A @ . Cu(t) C B . 1997 Slide L9–5 .

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

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

Prentice Hall. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 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. 1997 . 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.

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

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

1a( ) E jyF (t)j2 = 1=a ( )R.1a( )=a ( )R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.1a( ): Performance: Slightly superior to Beamforming. Both Beamforming and Capon are nonparametric approaches. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). 1997 Slide L9–11 . Moses. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.

Prentice Hall. YW.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. for DOA estimation. Moses. 1997 Slide L9–12 . almost without modification. Lecture notes to accompany Introduction to Spectral Analysis by P. MUSIC. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Stoica and R. MIN-NORM and ESPRIT methods of frequency estimation can be used.

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

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

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

using 1 N y(t)~ (t) ^ . Prentice Hall.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). (L 1). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. 1997 Slide L9–16 .

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

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

Stoica and R.1 .ESPRIT Method.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. so m m and .1 0]A = . 1997 Slide L9–19 . Prentice Hall. con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efficient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.1 A2 = 0 Im. Moses.1 A1 = Im. the two subarrays are often the first m and last m array elements.

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