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

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

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

Moses. Stoica and R. Prentice Hall.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. 1997 Slide L1–6 .

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

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

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

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

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

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

Prentice Hall. Stoica and R.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. Moses. 1997 Slide L2–2 .i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Recall 2nd definition of (! ): 1 N y(t)e.

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

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

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

r(k) may be large for large jkj ^ Even if the errors r k r k Nj.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. 1997 Slide L2–6 . p! f^( ) . Stoica and R. even for large N . jk =0 there are “so many” that when summed in ! . Prentice Hall. ^p(!) and ^c(!) have poor performance. Intuitive explanation: r(k) .1 are small. Moses. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. Thus. the PSD error is large. ( )g ^ ( ) .

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

(!) may differ quite a bit from (!).Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). 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 . Prentice Hall. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. WB 1=N . Stoica and R.

1997 Slide L2–9 . Prentice Hall. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . Stoica and R. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable.

!1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. severe bias As N . WB ! !. Moses. Prentice Hall. so ! is asymptotically unbiased.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . 1997 Slide L2–10 .

Lecture notes to accompany Introduction to Spectral Analysis by P. dev = φ(ω) too - Resolvability properties depend on both bias and variance. (!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. Moses. (!1) ^p(!2) .Periodogram Variance As N !1 E ^p(!1) . Prentice Hall. 1997 Slide L2–11 . Stoica and R.

Stoica and R. Prentice Hall.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.i!t 2 k and W = e. 1 Direct computation of O N 2 flops ( ) .1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. 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 .i 2 . 1997 Slide L2–12 .

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

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

Stoica and R. N=8 ω 2 k N . Moses. 1997 Slide L2–15 . Prentice Hall.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P.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 .

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

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

Stoica and R. Prentice Hall.Blackman-Tukey Method. 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 (! . )d 2 . 1997 . Moses.

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

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

Stoica and R. 1997 Slide L3–6 . Moses.Window Examples Triangular Window. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. 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. Prentice Hall.

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and 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

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

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

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

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

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

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

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

. . 2 1 a1 = 0 . Prentice Hall. r (.AR Signals: Yule-Walker Equations AR: m = 0. .n) . 1997 Slide L4–5 .1) .1) : : : 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(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. . Moses. . Lecture notes to accompany Introduction to Spectral Analysis by P. . Stoica and R. r(1) r(0) .

r ^(1) r(0) ^ ^.n) 1 r r ^2 . .1 = 0 a . Prentice Hall. Moses.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) ^(. r . . Stoica and R. . . . 1997 Slide L4–6 . ^(. .1) . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P.1) : : : ^(.

1) y(N . Stoica and R. 3 7 5 Y =4 y(n) y(n . . n) .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 . Prentice Hall. 1) y(n + 1) 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 .(Y Y ). n)]T . 1) : : : y (t . . y(N . Moses. . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–7 . 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 ) . . ^ = .

. 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 . .0 . . Moses. 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...1 . 1997 Slide L4–8 . . Prentice Hall. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 ..1 1 . . {z . Stoica and R.Levinson–Durbin Algorithm Fast. order-recursive solution to YW equations 2 6 6 6 4 | 0 ...n . .

Prentice Hall.Levinson-Durbin Alg. 1997 Slide L4–9 . n 3 7 5 1 Rn+2 4 1 n = 0 3 5 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 32 54 1 n n = 0 0 n 3 5 2 4 2 3 5 where r n = n+1 + ~n n Lecture notes to accompany Introduction to Spectral Analysis by P. . Stoica and R. con't Relevant Properties of R: Rx = y $ Rx = y. Moses. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 .

Moses.Levinson-Durbin Alg. Stoica and R. jknj2) 2 2 n " n # " ~n 1 # Computation count: k flops for the step k 2 ) n2 flops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 1997 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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. 2 kn = .

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

Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=. with AR model order n . Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. Prentice Hall.m ^BT (!) with a rectangular lag window of 2m + 1. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Stoica and R.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. 1997 Slide L4–12 . Moses.

Moses. Stoica and R. 1997 Slide L4–13 . k)] g = E f A(q)y(t)] A(q)y(t .i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . A(q)y(t) = B (q)e(t) B (!) 2 = m=. j ) Lecture notes to accompany Introduction to Spectral Analysis by P.m k e. Prentice Hall.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). k)] g = X n X n j =0 p=0 aj ap r(k + p .

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

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

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

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

Moses. Prentice Hall. 1997 Slide L4–18 .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. Stoica and R.

Stoica and R. 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. Moses.

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

uniformly distributed on . ] (prevents model ambiguities) f'k g = independent rv's. Stoica and R. Moses. 1997 . superimposed in white noise of k 2. 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 .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . ] (realistic and mathematically convenient) A3: e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0 (can be achieved by “slow” sampling) Slide L5–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

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

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 . Stoica and R. 1997 Slide L5–5 . Prentice Hall. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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

con't Fact: SVD of rank : ( )=n =U V U = (M n) with U U = In V = (n L) with V V = In = (n n).1U Important property: The additional (L . Lecture notes to accompany Introduction to Spectral Analysis by P. The Minimum-Norm solution is b = . Stoica and R. n) spurious zeros of B (q ) are located strictly inside the unit circle.High-Order and Overdetermined YW Equations. Moses. diagonal and nonsingular Thus.V . 1997 Slide L5–14 . y = . if the Minimum-Norm solution b is used. Prentice Hall. (U V )b = .

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

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

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

Stoica and R. Prentice Hall.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.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 R = S G] 6 4 1 3 " . n)) Thus.. Moses.

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

Stoica and R. 1997 Slide L6–5 . Moses. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus.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. Prentice Hall.

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

Moses. 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).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. Stoica and R. ) f!kgn=1 can be found from the roots of ^ k aT (z. Prentice Hall.

Min-Norm Method Goals: Reduce computational burden. Stoica and R. Moses. Prentice Hall. R( ) Let " 1 = the vector in R(G). with first element equal ^ ^ to one. and reduce risk of false frequency estimates. that has minimum Euclidean norm. 1997 Slide L6–8 . 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).

1) 1 ^ g " # that are closest to the unit circle.Min-Norm Method. Moses. Prentice Hall. 1997 Slide L6–9 . Stoica and R. 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. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

Prentice Hall. 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. 1997 . Stoica and R.

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

1997 Slide L7–2 . Stoica and R. !+ ] N >1 1 2 is more general than 1. by assuming that ! is nearly constant over the bands f ( )g ( ) !.Basic Ideas Two main PSD estimation approaches: 1. (!) by a 2. Prentice Hall. Moses. Nonparametric Approach: Implicitly smooth ! !=. 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. but 2 requires to ensure that the number of estimated values = = ) is < N . Parametric Approach: Parameterize finite-dimensional model.

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

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

Moses.Filter Bank Interpretation of the Periodogram. and: narrow filter passband. !). 1997 Slide L7–5 . ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. power calculation from only 1 sample of filter output. for N = 50. Stoica and R. con't jH (!)j as a function of (~ . ! 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. Prentice Hall.

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

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

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

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

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=.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 . Moses. jkj ^BT (!) = r(k)e. 1997 Slide L7–10 . Prentice Hall.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!(t. s)e.

AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Moses. Due to the low-order AR terms in the average. Prentice Hall. Stoica and R. C ! generally has worse resolution and bias properties than the AR method. C ! generally has less statistical variability than the AR PSD estimator.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). 1997 Slide L7–11 . ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.

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

@. Sensor 1 @. 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. Prentice Hall.. antennas.. mechanical Receiving sensors: Hydrophones. @. @. seismometers Applications: Radar. @. . Moses.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . @. electromagnetic.@ . sonar. communications. . . seismology.R . Emitted energy: Acoustic. 1997 Slide L8–2 . .@ . Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors.. v Source n @.

AOA). Moses. Prentice Hall.) Lecture notes to accompany Introduction to Spectral Analysis by P. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.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. Stoica and R. The number of sources n is known. 1997 Slide L8–3 .

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

k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k ] hk (t) x(t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. k ) ' (t) cos !ct + '(t) . Prentice Hall. Moses. the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . k) ' (t) '(t . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . Stoica and R. 1997 .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c .

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

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

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

1

3 7 5

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

3 7 5

Then

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

()

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

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

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

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

-

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

Slide L8–8

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

fsk(t)gn=1 k

k

Linear sensors

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

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

Let

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

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

1997 Slide L8–10 . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R.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 .

Prentice Hall. !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. 1997 . Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i!s : : : e.i(m. Moses.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. Stoica and R.

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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L9–2 . Prentice Hall.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. Moses.

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

Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 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.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Stoica and R. 1997 Slide L9–4 .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.

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

1997 Slide L9–6 .Spatial Filtering. 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. Prentice Hall. h a 0 . Moses. con't Example: The response magnitude h a of a spatial filter (or beamformer) for a 10-element ULA. Stoica and R. Here.

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

1997 .Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Stoica and R. 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. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. n o n o The (dominant) peaks of h DOAs of the sources. Basic Ideas Design a filter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the filter through the DOA range of interest.

Moses. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–9 . Prentice Hall. y t can be considered as impinging on the array from all DOAs. Stoica and R.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for filter bank methods.

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

Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.1a( ) E jyF (t)j2 = 1=a ( )R. Stoica and R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. 1997 Slide L9–11 .1a( )=a ( )R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.1a( ): Performance: Slightly superior to Beamforming. Moses. 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).

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

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

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

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

Prentice Hall. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. Stoica and R.YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). using 1 N y(t)~ (t) ^ .=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. Moses. 1997 Slide L9–16 . (L 1).

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

. Lecture notes to accompany Introduction to Spectral Analysis by P.. where e. D= 0 e.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Prentice Hall. 1997 Slide L9–18 ( ) = d sin( )=c . Moses.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.i!c ( 1) 0 . Stoica and R. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D.

Prentice Hall. the two subarrays are often the first m and last m array elements.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 . Moses. 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. Stoica and R.1 0]A = . 1997 Slide L9–19 .1 A2 = 0 Im.1 A1 = Im.ESPRIT Method. so m m and .

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