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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
Stoica and R.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.1 y(t)e.Deterministic Signals fy(t)g1 . Prentice Hall. 1997 Slide L1–4 .i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.1 = t= If: discretetime deterministic data sequence X 1 t=. Moses.
k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses.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 .i!k (k) = 1 t=.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . Prentice Hall.1 X (k)e. S (!)d! t=. 1997 .
1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–6 . Prentice Hall. Stoica and R. Moses.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.
1997 Slide L1–7 .i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Prentice Hall. Moses. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . Stoica and R.k) r(0) jr(k)j Z Note that r(k) = 21 .1 r(k)e.First Deﬁnition of PSD (! ) = where r X 1 k=. 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.
t=1 y(t)e. Prentice Hall.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.Second Deﬁnition of PSD 1 N y(t)e. Stoica and R. 1997 Slide L1–8 .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.
! ) Otherwise: (! ) 6= (.1=2 1=2] (!) 0 (t) is real.Properties of the PSD P1: (!) = (! + 2 ) for all !. Then: (! ) = (. P2: ] () f 2 . 1997 Slide L1–9 . Thus. Prentice Hall. we can restrict attention to !2 . Moses. Stoica and R.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. 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 .Transfer of PSD Through Linear Systems System Function: where q . 1997 Slide L1–10 . k) hk e. Prentice Hall.1 H (q) = X 1 k=0 hk q.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P.k = unit delay operator: q. Stoica and R.
1997 Slide L1–11 . Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Prentice Hall. Stoica and R. Moses.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 .
Stoica and R.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–1 . Prentice Hall.
Moses.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.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. Prentice Hall.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. 1997 Slide L2–2 .
1 N .i!k ^c(!) = k=.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. 1997 Slide L2–3 . Prentice Hall.i!k (k)” by “^(k)”: r r ^(k)e.1 X r(k)e.(N . Stoica and R. Moses.1) Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L2–4 . Moses. k t=k+1 X Standard biased estimate: 1 N y(t)y (t . k) k 0 ^ r(k) = N .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. 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 .
N ^p(!) = 1 y(t)e. Moses.1 X = ^c(!) k=. Stoica and R.(N . 1997 .i!t N t=1 X 2 = N . Prentice Hall.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.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!).
Prentice Hall. Moses. Intuitive explanation: r(k) . the PSD error is large. 1997 Slide L2–6 . ^p(!) and ^c(!) have poor performance. p! f^( ) .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. jk =0 there are “so many” that when summed in ! . ( )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. Thus. Stoica and R.1 are small. even for large N .
Moses.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.1 X wB (k) = 8 < : = Thus. 1 jkj N Bartlett.(N . window E ^p(!) = 21 . n o 0 k 1 . ) d Z Ideally: WB (!) = Dirac impulse (!).i!k = 1. jNj jkj N . ( )WB (! .i!k k=.i!k r k=.(N . Stoica and R.1 jkj r(k)e. N k=.1) N . 1997 . Prentice Hall. or triangular.1 n o n o X ! X N . Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.1) 1 = wB (k)r(k)e.
Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Prentice Hall. (!) may differ quite a bit from (!). Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 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 . WB 1=N . Stoica and R.
Prentice Hall. 1997 Slide L2–9 .Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. 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.
!1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. severe bias As N . Prentice Hall. so ! is asymptotically unbiased. WB ! !. Stoica and R.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Moses. 1997 Slide L2–10 .
Prentice Hall. dev = φ(ω) too  Resolvability properties depend on both bias and variance. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. (!1) ^p(!2) . 1997 Slide L2–11 . (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st.Periodogram Variance As N !1 E ^p(!1) . Moses.
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 . 1 Direct computation of O N 2 ﬂops ( ) . Moses.i 2 . Stoica and R. Prentice Hall. 1997 Slide L2–12 .1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P.i!t 2 k and W = e.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.
Stoica and R. ~ 4 = 0 2 4 : : : N . 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : 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 = . 1997 . 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. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P.1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Slide L2–13 t=1 ~ ~ f y(t) . Moses.i2 =N . Prentice Hall.
Stoica and R. Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–14 .FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 2k + 2c ck = 2 k.
N=8 ω 2 k N .1 N k=0 sampled. Stoica and R. 1997 Slide L2–15 .Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Moses.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Moses. Stoica and R. Prentice Hall.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–1 .
with small weight applied to covariances r k with “large” k . Stoica and R. 1997 Slide L3–2 . ^( ) jj ^BT (!) = M .i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P.BlackmanTukey Method Basic Idea: Weighted correlogram.1 X k=.1) w(k)^(k)e. Moses.(M . Prentice Hall.
Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. con't ^BT (!) = 1 ^p( )W (! .BlackmanTukey Method. Prentice Hall. )d 2 . 1997 .
(M (0) w Z w (k ) = equiv time width 1 2 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . 0 Z  {z } If W (!) 0 (.1 X . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L3–4 . )d 2 . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . Stoica and R.1) Ne = k=. Moses.
Moses. bias decreases and variance increases. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously.Window Design. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). As M increases. Lecture notes to accompany Introduction to Spectral Analysis by P. once M is given. 1997 Slide L3–5 . Prentice Hall. Stoica and R. Ne (and hence ﬁxed. Once M is given. ) Choose M as a tradeoff between variance and bias.
Window Examples Triangular Window. 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. Stoica and R. Prentice Hall. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. 1997 Slide L3–6 . Moses.
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
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 . Moses. 1997 Slide L3–10 . k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.J X Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N .Daniell Method By a previous result. for N 1.
Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. for N 1. Moses. 1997 Slide L3–11 . Lecture notes to accompany Introduction to Spectral Analysis by P. Then. Stoica and R. ^D(!) ' 1 ^p(!)d! 2 . Prentice Hall.Daniell Method. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N .
Prentice Hall.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. Stoica and R. more general for Welch). 1997 . Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Lecture notes to accompany Introduction to Spectral Analysis by P. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. BT periodogram – Local smoothing/averaging of spectral window. ^ () – Implemented by averaging subsample periodograms.
Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–1 . Moses. Stoica and R. Prentice Hall.
! can approximate arbitrarily well any continuous PSD. 1997 Slide L4–2 ( ) .i!k (!) is a rational function in e. provided m and n are chosen sufﬁciently large.i! . Stoica and R.θ) ^ θ Estimate PSD ^ ^ =φ(ω.i!k (!) = P jkj n k e. Moses. P By Weierstrass theorem.θ) Estimate parameters in φ(ω. Note. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. Prentice Hall.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.
n B (z) = 1 + b1z.m and.1 + + anz. MA.1 + + bmz. e. 1997 . and ARMA Models By Spectral Factorization theorem.. Moses.g. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. Stoica and R. 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.AR.
Prentice Hall. Moses. i) = m j =0 bj E fe(t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P.k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . 1997 Slide L4–4 .k = j =0 = 0 for k > m B (q) = 1 h q. i) = X m j =0 bj e(t . j ) (b0 = 1) Multiply by y (t . j )y (t . k) and take E f g to give: X r (k ) + X 2 m bj hj .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. . Moses.1) : : : r(. 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. .n) . 1997 Slide L4–5 .AR Signals: YuleWalker Equations AR: m = 0. . . . . Prentice Hall. 2 1 a1 = 0 . .1) . Stoica and R. r (. an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. r(1) r(0) .
1997 Slide L4–6 . Moses. Prentice Hall. . . . . . . r ^(1) r(0) ^ ^.1 = 0 a . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. r . ^(.n) 1 r r ^2 .1) : : : ^(.1) .
. Prentice Hall. Stoica and R.1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . . 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 . 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 ) . . . 3 7 5 Y =4 y(n) y(n . n)]T . Find i=1 aiy(t . ^ = . . 1) y(n + 1) y(n) . 1997 Slide L4–7 . . Moses.(Y Y ). 1) : : : y (t . 1) y(N . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. n) .
. 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k). . n . Moses.1 ..1 1 .0 . . Stoica and R.. . 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. Prentice Hall. .n .. .. {z . orderrecursive solution to YW equations 2 6 6 6 4  0 . 1997 Slide L4–8 . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . .Levinson–Durbin Algorithm Fast.
Stoica and R. Prentice Hall. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus.LevinsonDurbin Alg. 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. 1997 Slide L4–9 . con't Relevant Properties of R: Rx = y $ Rx = y. Moses. .
n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Stoica and R.LevinsonDurbin Alg. Lecture notes to accompany Introduction to Spectral Analysis by P. con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. Prentice Hall. Moses. 2 kn = . jknj2) 2 2 n " n # " ~n 1 # Computation count: k ﬂops for the step k 2 ) n2 ﬂops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. 1997 .
i!k (!) = jB(!)j k=. 1) + + bme(t .MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . 1997 Slide L4–11 . Prentice Hall. r(k) = 0 for jkj > m and 2 2 = m r(k)e. Moses. m) Thus.m X Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
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. with AR model order n . Prentice Hall. 1997 Slide L4–12 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.m ^BT (!) with a rectangular lag window of 2m + 1.i!k k=. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Stoica and R.
k)] g = X n X n j =0 p=0 aj ap r(k + p . j ) Lecture notes to accompany Introduction to Spectral Analysis by P.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). A(q)y(t) = B (q)e(t) B (!) 2 = m=. 1997 Slide L4–13 . Prentice Hall.m k e. k)] g = E f A(q)y(t)] A(q)y(t . Stoica and R.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Moses.
m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Stoica and R. Moses. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. Estimate fai bj A(!) nonlinear estimation problem.i!k k=. Prentice Hall. 1997 Slide L4–14 . Estimate fai r(k)g in (!) = P m .
Moses. Stoica and R. 1) + + K y(t . 1) + 2y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. K ) 1a) Estimate the coefﬁcients modelling techniques. for some large K e(t) ' y(t) + 1y(t . K ) ^2 = N 1 j^(t)j2 e N . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . Prentice Hall. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 1) + e and its variance + ^K y(t . 1997 Slide L4–15 .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t .
Stoica and R. m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.y(t . n) e ^(t . 1) : : : . Prentice Hall. ^(t) ' . 1) : : : ^(t . 1997 Slide L4–16 . con't fe(t)g by ^(t) in the ARMA equation.TwoStage LeastSquares Method. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . y(t . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques.
1997 Slide L4–17 .. = f^ g Y W system of equations. 1) : : : r(m . n + 1) r(m . . Prentice Hall. 5 .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . Moses. . Stoica and R. n + 2) . . . . = m + 1 ::: m + M a1 an . fast Levinsontype algorithms exist for obtaining ai . .6 4 Replace fr(k)g by f^(k)g and solve for faig. : : : r(m .. the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. If M > n overdetermined squares solution for ai . least f^ g Note: For narrowband ARMA signals. r f^ g . n + M ) . # 2 = r(m + M . . .
Moses. Prentice Hall.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–18 . Stoica and R.
1997 Slide L5–1 . Prentice Hall. Stoica and R.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Moses. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 .Line Spectra Many applications have signals with (near) sinusoidal components. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Examples: communications radar. Prentice Hall. 1997 . Stoica and R.
Moses. ] (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. 1997 . 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. Stoica and R. ] (prevents model ambiguities) f'k g = independent rv's. uniformly distributed on .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . superimposed in white noise of k 2.
Moses.i'j o e Z n 1 i' d' 2 = 0.i'j o = 1. for p 6= j =2 . r(k) = E fy(t)y (t . 1997 .Covariance Function and PSD Note that: E E n i'p e. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . Prentice Hall. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. e E xp(t)xj (t . k) = 2 ei!pk p j p n o Hence.i'j o = E nei'p o E ne. for p = j e i'p e.
Prentice Hall. 1997 Slide L5–5 . Moses. Stoica and R.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.
. Stoica and R. Prentice Hall.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . . B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . 1997 Slide L5–6 . .
1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. (B B). B ) = kY .1B Y This gives: ^ = (B B). con't Then: F = (Y . 1997 Slide L5–7 . B ) (Y .1B Y ] B B] . Stoica and R.1B Y ] +Y Y .1B Y !=^ ! and ! = arg max Y B (B B ).Nonlinear Least Squares (NLS) Method. Prentice Hall. Moses. Y B(B B). B k2 = . (B B).
1997 Slide L5–8 . ! Difﬁcult Implementation: The NLS cost function F is multimodal. Stoica and R. it is difﬁcult to avoid convergence to local minima. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10.5.
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
Stoica and R.HighOrder YuleWalker Method. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. along with L . Prentice Hall. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. 1997 Slide L5–12 . 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 = . Prentice Hall. . 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. r(L + 2) . Stoica and R. . Moses. 1997 Slide L5–13 . Lecture notes to accompany Introduction to Spectral Analysis by P. . r(L + M . . .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k .
HighOrder and Overdetermined YW Equations. n) spurious zeros of B (q ) are located strictly inside the unit circle. Moses. (U V )b = .1U Important property: The additional (L . The MinimumNorm solution is b = .V . 1997 Slide L5–14 . Prentice Hall. if the MinimumNorm solution b is used. diagonal and nonsingular Thus. y = . Lecture notes to accompany Introduction to Spectral Analysis by P. 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). Stoica and R.
SVD of .V ^ . Compute ^ = . . this approach may give spurious frequency estimates when L > n. this is the price paid for increased accuracy when L > n. V be deﬁned similarly to U . 1997 Slide L5–15 . V from the Let U . r . Stoica and R.HOYW Equations. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. f^ g When the SNR is low. Prentice Hall.
Prentice Hall.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 1997 Slide L6–1 .
The Covariance Matrix Equation Let: a(!) = 1 e. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . m + 1) .i(m.i! : : : e. Stoica and R. Moses. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . . Prentice Hall.. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . 1997 Slide L6–2 .. 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 .
Moses. Stoica and R.. n)) Thus. 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.n] (m (m .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. 1997 Slide L6–3 . m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.
. 2 . 1997 . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . since S G j j 6= 0 4 ..Eigendecomposition of R and Its Properties. 0 n 3 7 5 with C (since rank S . Prentice Hall. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. = = nonsingular 0 n.1) = AC S = A(PA S ( ) = rank(A) = n). . Therefore. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P.. Moses. Stoica and R.
1997 Slide L6–5 . Prentice Hall. . Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.MUSIC Method a (!1) . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. Moses. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0.
1 : : : z. Here.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Stoica and R. a(z) = 1 z.(m. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. 1997 Slide L6–6 . Prentice Hall.1)GG a(z) = 0 that are closest to the unit circle.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.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. Stoica and R.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). 1997 Slide L6–7 . Moses.
Prentice Hall. R( ) Let " 1 = the vector in R(G). but only one vector in G (as in Pisarenko). 1997 Slide L6–8 . with ﬁrst element equal ^ ^ to one. Stoica and R. Moses.MinNorm Method Goals: Reduce computational burden. g # Lecture notes to accompany Introduction to Spectral Analysis by P. that has minimum Euclidean norm. Uses m n (as in MUSIC). and reduce risk of false frequency estimates.
Moses. Prentice Hall. Stoica and R. 1997 Slide L6–9 .1) 1 ^ g " # that are closest to the unit circle. 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.MinNorm Method. Lecture notes to accompany Introduction to Spectral Analysis by P.
) ^^ I=S S= Multiplying the above equation by gives: (1 . Moses. Stoica and R.S =(1 . k k2) = (S S ) ) (S S ). 1997 Slide L6–10 . Prentice Hall. (S S ).Let S ^= S g1 .1 exists iff = k k2 6= 1 (This holds.S(S S ). for N 1. k k2) ) ^ = . g " # MinNorm solution: As: ^ = .1 g + S S .1 = =(1 . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. at least.1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .
determined as is uniquely = (S1S1).1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.. Prentice Hall.i!n S1 = Im. let = A1D. where e. Then S2 = A2C = A1DC = S1 C .1DC {z } So has the same eigenvalues as D .1]A Then A2 Also. 1997 Slide L6–11 .1 0]A A2 = 0 Im.1 0]S S2 = 0 Im. Stoica and R..i!1 0 .1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. D= 0 e.ESPRIT Method Let A1 = Im. Moses.
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. 1997 Slide L6–12 . Prentice Hall.ESPRIT Implementation From the eigendecomposition of R.1S1S2 ^^ ^^ f!kgn=1 = . Moses. ﬁnd S . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Stoica and R. then S1 and S2 .
Prentice Hall. 1997 .Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.
Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. 1997 Slide L7–1 . Stoica and R.
Moses. 1997 Slide L7–2 . Nonparametric Approach: Implicitly smooth ! !=. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Lecture notes to accompany Introduction to Spectral Analysis by P. ( =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 . Stoica and R. !+ ] N >1 1 2 is more general than 1. Prentice Hall. Parametric Approach: Parameterize ﬁnitedimensional model. (!) by a 2.
are conﬂicting. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . Moses.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . as well as (b) and (c). !c @Q Q ! . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . 1997 . Stoica and R. Prentice Hall.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . 2 ! + 2 ] Note that assumptions (a) and (b). jH ( )j2 ( )d = ' 21 !+ !.
1 H (!) = hk e ! N ei(~. Stoica and R.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.Filter Bank Interpretation of the Periodogram 1 N y(t)e. k) 2 ! .!) .i!k = 1 eiN (~.t) t=1 X X = N where ( X 1 k=0 hk y(N . 1 k=0 X 1 ei!k k = 0 : : : N .!) . Moses. 1997 . Prentice Hall.
power calculation from only 1 sample of ﬁlter output.Filter Bank Interpretation of the Periodogram. con't jH (!)j as a function of (~ . 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. !). 1997 Slide L7–5 . for N = 50. Moses. Stoica and R. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. and: narrow ﬁlter passband.
Each ﬁlter covers a small band centered on ! . Split the available sample. and bandpass ﬁlter each subsample. This “multiwindow approach” is similar to the Daniell method.Possible Improvements to the Filter Bank Approach 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Use several bandpass ﬁlters on the whole sample. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Prentice Hall. Stoica and R. Moses. 1997 Slide L7–6 . 2. more data points for the power calculation stage. ~ provides several samples for power calculation. Both approaches compromise bias for variance. This approach leads to Bartlett and Welch methods.
= h0 h1 : : : hm] .Capon Method Idea: Datadependent bandpass ﬁlter design.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.im! ]T hk e. Prentice Hall. Moses. 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. 1997 Slide L7–7 .i! : : : e. y(t . k) 2 6 4  . yF (t) = X m k=0  hk y(t . Stoica and R.
n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. Prentice Hall.1a=a R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. 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.1a(!) which should be the power of y (t) in a passband centered on ! .Capon Method. Moses. Stoica and R. 1997 Slide L7–8 .
Moses. bias decreases and variance increases. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Capon uses one bandpass ﬁlter only.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. . but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Stoica and R. 1997 Slide L7–9 .
i!(t. s)e. Stoica and R.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. jkj ^BT (!) = r(k)e.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .m m + 1 1 m m ^(t .i!k ^ k=. 1997 Slide L7–10 .1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. 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). Stoica and R. 1997 Slide L7–11 . Due to the loworder AR terms in the average. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. C ! generally has worse resolution and bias properties than the AR method. C ! generally has less statistical variability than the AR PSD estimator. Moses. Prentice Hall.
Prentice Hall. Stoica and R. Moses. 1997 Slide L8–1 .Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P.
mechanical Receiving sensors: Hydrophones. Moses. 1997 Slide L8–2 . @. .@ . @. Sensor 1 @.. Emitted energy: Acoustic.. Prentice Hall. . . @.R . antennas. communications.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . v Source n @. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors.@ . @. 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.. electromagnetic. seismometers Applications: Radar. sonar. seismology. @.
Moses. Prentice Hall. The number of sources n is known. Stoica and R.) Lecture notes to accompany Introduction to Spectral Analysis by P.Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. the array is calibrated. AOA). 1997 Slide L8–3 .
k) + ek (t) ( = convolution operator). Then the output of sensor k is yk (t) = hk (t) x(t . at the “ﬁrst” sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k “noise” at the kth sensor (e. etc. Basic Problem: Estimate the time delays known but x t unknown..) hk (t) = ek (t) = Note: t 2 R (continuoustime signals).g. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–4 . Stoica and R. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case.. Moses.g.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. background noise. thermal noise in sensor electronics.
!c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. 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 . k ) ' jHk (!c)j (t)cos !ct + '(t) . Moses. k) ' (t) '(t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. !c k ] hk (t) x(t . Prentice Hall. the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Stoica and R. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . 1997 .
Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.!ct = (t)f ei (t) + e.i!ct to obtain (t)ei (t) lowpass highpass Hence. 1997 Slide L8–6 or .i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e.i!c k + ek (t) where s(t) is the complex envelope of x(t). Lecture notes to accompany Introduction to Spectral Analysis by P.i!ct ~ = yk(t) cos(!ct) . Stoica and R. Moses.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. Prentice Hall.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
Stoica and R. Prentice Hall. Moses. 1997 Slide L8–10 .Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 .1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Prentice Hall. !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.i!s : : : e. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i(m. Moses. Stoica and R.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–1 . Stoica and R. Prentice Hall. Moses.
Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.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. Stoica and R. 1997 Slide L9–2 .
i! : : : e.1] y(t) = u(t) : : : u(t . 1997 Slide L9–3 .i(m. Prentice Hall.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . k) = h y(t) k=0 h = ho : : : hm. Moses.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. m + 1)]T If u m.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Stoica and R.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs. Prentice Hall.i!c 2 : : : e. 1997 Slide L9–4 . Lecture notes to accompany Introduction to Spectral Analysis by P.
i m. Stoica and R. Cu(t) C B . 1997 Slide L9–5 . Moses.. C C B C B C B C B C B A @ .i! m  e {z a( ) aa m! point ( ) qq ( ) 1 C C C C C Cs(t) C C C C C A }  ? @ ? @ @ h  1 @ R @  P h a( )]s(t)  hm. ! hm.? B P C B C B B B .B . B .i! C @ h a(!)]u(t) R @ C .i! Be 2 B !! B B B B .1 q .1 ?  1 . B B @ . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.@ 0 B 1 C h @@ C B B e. s qq h  ? 1 ?  m..  e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal ﬁlter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2.
Prentice Hall. Moses. Here. where 0 j ( )j = ( ) = 25 0 30 −30 Th et a (d eg ) 60 −60 90 0 2 4 6 Magnitude 8 10 −90 Lecture notes to accompany Introduction to Spectral Analysis by P. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. 1997 Slide L9–6 . Stoica and R. h a 0 .Spatial Filtering.
by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Lecture notes to accompany Introduction to Spectral Analysis by P. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). Prentice Hall. Stoica and R. To locate an emitter in the ﬁeld of view. 1997 Slide L9–7 .Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. Moses.
Moses. n o n o The (dominant) peaks of h DOAs of the sources. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 . and evaluate the powers of the ﬁltered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest. Stoica and R.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation.
Moses. Prentice Hall. 1997 Slide L9–9 .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. y t can be considered as impinging on the array from all DOAs. () 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.
Prentice Hall. 1 = 1. Moses. Resolution Threshold: inf j k . ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Stoica and R. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P.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 . 1997 .
Prentice Hall.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.1a( ): Performance: Slightly superior to Beamforming. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1a( )=a ( )R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). 1997 Slide L9–11 .1a( ) E jyF (t)j2 = 1=a ( )R. Moses. Both Beamforming and Capon are nonparametric approaches.
Moses. 1997 Slide L9–12 . for DOA estimation. 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. MINNORM and ESPRIT methods of frequency estimation can be used. almost without modiﬁcation. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. MUSIC. Prentice Hall.
A(A A). A(A A). f ^k g = arg max trf A(A A).1A y(t) t = 1 : : : N s X Then 1 N k I . Lecture notes to accompany Introduction to Spectral Analysis by P. 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) = N t=1 ^ = trf I . A(A A). Prentice Hall. 1997 Slide L9–13 =1 .1A ]Rg X f kg For N . Stoica and R. Moses.1A ]Rg ^ Thus.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . this is precisely the form of the NLS method of frequency estimation.Nonlinear Least Squares Method 1 N ky(t) .
1997 Slide L9–14 .Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Moses.n 0 V2 g L n M . is . = U1 U2 ] 0 n n 0 V1 g n . and the SVD of .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = 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 ~ . Stoica and R. 1997 Slide L9–15 .) = n.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 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. (L 1). 1997 Slide L9–16 . Moses. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. using 1 N y(t)~ (t) ^ . Prentice Hall.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ).
1997 Slide L9–17 .MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. Moses. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. that is.
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. Prentice Hall. where e. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c ( 1) 0 . D= 0 e. Moses. 1997 Slide L9–18 ( ) = d sin( )=c . Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D...
ESPRIT Method. the two subarrays are often the ﬁrst m and last m array elements. so m m and . Stoica and R.1 A2 = 0 Im.1 .1]A Lecture notes to accompany Introduction to Spectral Analysis by P. 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.1 A1 = Im. Prentice Hall.1 0]A = . Moses.
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