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

Deterministic Signals fy(t)g1 .1 = t= If: discrete-time deterministic data sequence X 1 t=.1 y(t)e.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 .1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=. Prentice Hall. Moses. Stoica and R.

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

Moses.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Prentice Hall. Stoica and R.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 .

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

1997 Slide L1–8 .i!t Lecture notes to accompany Introduction to Spectral Analysis by P.Second Definition of PSD 1 N y(t)e. Moses. Stoica and R. t=1 y(t)e. Prentice Hall.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.Properties of the PSD P1: (!) = (! + 2 ) for all !. P2: ] () f 2 .! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–9 . Thus.! ) Otherwise: (! ) 6= (. Prentice Hall. we can restrict attention to !2 .1=2 1=2] (!) 0 (t) is real. Moses. Then: (! ) = (.

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

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

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

Prentice Hall.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. Moses. 1997 Slide L2–2 .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.Periodogram Recall 2nd definition of (! ): 1 N y(t)e.

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

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

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

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

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

Stoica and R. Prentice Hall. (!) may differ quite a bit from (!). Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P.Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). WB 1=N . for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . Moses. 1997 .

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

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

dev = φ(ω) too - Resolvability properties depend on both bias and variance. Moses. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. (!1) ^p(!2) .Periodogram Variance As N !1 E ^p(!1) . (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. 1997 Slide L2–11 .

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

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

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

Moses.1 N k=0 sampled.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. N=8 ω 2 k N . 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 radix-2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Prentice Hall.

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

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

Prentice Hall.Blackman-Tukey Method. con't ^BT (!) = 1 ^p( )W (! . Moses. Z W (!) = = Conclusion: Effect: DTFT fw(k)g Spectral Window ^BT (!) = “locally” smoothed periodogram Variance decreases substantially Bias increases slightly By proper choice of M : MSE = var + bias2 ! 0 as N ! 1 Slide L3–3 Lecture notes to accompany Introduction to Spectral Analysis by P. )d 2 . 1997 . Stoica and R.

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

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

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

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

Prentice Hall. Stoica and R. Moses.J X Lecture notes to accompany Introduction to Spectral Analysis by P.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J .Daniell Method By a previous result. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . for N 1. 1997 Slide L3–10 . k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.

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

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

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

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

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

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

. . Lecture notes to accompany Introduction to Spectral Analysis by P. . 1997 Slide L4–5 . r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. Prentice Hall.1) .AR Signals: Yule-Walker Equations AR: m = 0.n) . r (. . 2 1 a1 = 0 . .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(1) r(0) . . Moses. Stoica and R.

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

1997 Slide L4–7 . Stoica and R. n)]T .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . . ^ = . Moses. . 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 ) . . 1) : : : y (t . n) . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . Find i=1 aiy(t . . . Prentice Hall.1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . y(N . 3 7 5 Y =4 y(n) y(n .(Y Y ). 1) y(N . 1) y(n + 1) y(n) .

Prentice Hall. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 ..Levinson–Durbin Algorithm Fast. order-recursive solution to YW equations 2 6 6 6 4 | 0 . . 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).0 . .1 ... {z .. 1997 Slide L4–8 . . .. Moses. n . 0 2 n 3 7 7 7 5 O(n3) flops = 1 : : : n: O(n4) flops Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 flops! =1 ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. . Stoica and R.1 1 . .n .

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

Moses. 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 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Levinson-Durbin Alg. 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 = . 1997 . Stoica and R.

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

m ^BT (!) with a rectangular lag window of 2m + 1. with AR model order n .i!k k=. 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. 1997 Slide L4–12 .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. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

Prentice Hall. 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. Stoica and R. Moses. 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 .m k e. A(q)y(t) = B (q)e(t) B (!) 2 = m=.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).

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

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

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

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

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. Prentice Hall. Moses. 1997 Slide L4–18 .

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

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

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

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

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

Stoica and R.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. 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 . . Prentice Hall. Moses. . .

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

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

Unwindowed Periodogram as an Approximate NLS Method

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

n=1
X

B B=N
N t=1

BY=

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

(finite DTFT)

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

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

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

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

Slide L5–10

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

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

Stoica and R. r(L + 2) . . . Moses. . 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. . r(L + M .High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . 1997 Slide L5–13 . 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. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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

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

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

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

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. 1997 Slide L6–7 . Prentice Hall. Moses. ) f!kgn=1 can be found from the roots of ^ k aT (z. If: =n+1 m=n+1 Then: ^ g G = ^1.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value).

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

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

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

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

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

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

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

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

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

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

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

Moses. y(t .im! ]T hk e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. k) 2 6 4 | . = h0 h1 : : : hm] .Capon Method Idea: Data-dependent bandpass filter design. Stoica and R. 1997 Slide L7–7 . 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. yF (t) = X m k=0 | hk y(t .i! : : : e.

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

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

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

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

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

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

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

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

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

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

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

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

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

Moses. 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. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.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 (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.i!c 2 : : : e. Stoica and R.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. Moses. 1997 Slide L9–4 .

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

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

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). Lecture notes to accompany Introduction to Spectral Analysis by P. To locate an emitter in the field of view. by sweeping the filter through the DOA range of interest (“goniometer”). 1997 Slide L9–7 . Stoica and R. Prentice Hall.

Stoica and R. 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. n o n o The (dominant) peaks of h DOAs of the sources.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Prentice Hall. and evaluate the powers of the filtered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. 1997 . Moses. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P.

Moses. Prentice Hall. y t can be considered as impinging on the array from all DOAs. 1997 Slide L9–9 . () 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.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.

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

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

almost without modification.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. MUSIC. Stoica and R. Moses. YW. Lecture notes to accompany Introduction to Spectral Analysis by P. for DOA estimation. Prentice Hall. 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 .

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

1997 Slide L9–14 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Moses. 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.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 ~ . Moses. and the SVD of .n 0 V2 g L n M .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. Prentice Hall.) = n. = U1 U2 ] 0 n n 0 V1 g n . 1997 Slide L9–15 . Stoica and R. is .

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

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. Moses. Stoica and R.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. 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. that is. 1997 Slide L9–17 .

. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. 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.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.. where e.i!c ( 1) 0 . Prentice Hall. Moses. 1997 Slide L9–18 ( ) = d sin( )=c . D= 0 e.

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

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