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Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
1 = t= If: discretetime deterministic data sequence X 1 t=. Stoica and R. Prentice Hall.1 y(t)e. Moses. 1997 Slide L1–4 .1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.Deterministic Signals fy(t)g1 .i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.
k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 . S (!)d! t=.1 X (k)e.i!k (k) = 1 t=. Stoica and R. 1997 . Prentice Hall.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.1 y(t)y (t . 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. Moses. 1997 Slide L1–6 .
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 . k)g r(k) = r (.First Deﬁnition of PSD (! ) = where r X 1 k=. Prentice Hall.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . 1997 Slide L1–7 .1 r(k)e. Stoica and R. Moses. (!)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 . Moses. Prentice Hall. Stoica and R.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. t=1 y(t)e.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g.Second Deﬁnition of PSD 1 N y(t)e.
P2: ] () f 2 . we can restrict attention to !2 . Thus. 1997 Slide L1–9 .! ) Otherwise: (! ) 6= (. Then: (! ) = (. Stoica and R. Moses. Prentice Hall.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P.Properties of the PSD P1: (!) = (! + 2 ) for all !.1=2 1=2] (!) 0 (t) is real.
k = unit delay operator: q. k) hk e. Prentice Hall.Transfer of PSD Through Linear Systems System Function: where q .1 H (q) = X 1 k=0 hk q. 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.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L1–10 .1y(t) = y(t . Moses.
Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . 1997 Slide L1–11 . Prentice Hall. Stoica and R. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions.
Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. Prentice Hall. 1997 Slide L2–1 .
i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. Moses. 1997 Slide L2–2 . Prentice Hall.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Stoica and R.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.1 N .i!k ^c(!) = k=. 1997 Slide L2–3 . Moses.(N . Prentice Hall.1) Lecture notes to accompany Introduction to Spectral Analysis by P.1 X r(k)e.i!k (k)” by “^(k)”: r r ^(k)e.
1997 Slide L2–4 .Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. k t=k+1 X Standard biased estimate: 1 N y(t)y (t . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. Moses. Stoica and R. k) k 0 ^ r(k) = N . Prentice Hall.
(N .i!t N t=1 X 2 = N . Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. N ^p(!) = 1 y(t)e.1 X = ^c(!) k=.1) r ^(k)e. Stoica and R.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Prentice Hall. Moses.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. 1997 .
1997 Slide L2–6 . ( )] Lecture notes to accompany Introduction to Spectral Analysis by P.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. the PSD error is large. Prentice Hall.1 are small. jk =0 there are “so many” that when summed in ! . ( )g ^ ( ) . Moses. Intuitive explanation: r(k) . p! f^( ) . ^p(!) and ^c(!) have poor performance. Thus. Stoica and R. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. even for large N .
(N . 1 jkj N Bartlett. ) d Z Ideally: WB (!) = Dirac impulse (!).i!k k=. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. or triangular. window E ^p(!) = 21 . n o 0 k 1 .1 n o n o X ! X N . Stoica and R.1 jkj r(k)e. N k=. Prentice Hall.1) N . Moses. ( )WB (! .Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.i!k r k=.(N .1) 1 = wB (k)r(k)e. 1997 .i!k = 1. jNj jkj N .1 X wB (k) = 8 < : = Thus.
Stoica and R. (!) may differ quite a bit from (!). Prentice Hall. 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 . WB 1=N . 1997 .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Moses. Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P.
^ 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.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. 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. Moses. 1997 Slide L2–9 .
Stoica and R. WB ! !. 1997 Slide L2–10 . !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Prentice Hall. severe bias As N . Moses. so ! is asymptotically unbiased.
(!1) ^p(!2) . Stoica and R. Prentice Hall. 1997 Slide L2–11 . 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. Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Variance As N !1 E ^p(!1) . Moses.
Moses.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P.i 2 . 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 .Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.i!t 2 k and W = e. Stoica and R. Prentice Hall. 1 Direct computation of O N 2 ﬂops ( ) . 1997 Slide L2–12 .
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 = . Slide L2–13 t=1 ~ ~ f y(t) . 1997 . Prentice Hall. Stoica and R. Moses.1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N .i2 =N . ~ 4 = 0 2 4 : : : N . 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P.
FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–14 .1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 2k + 2c ck = 2 k. Stoica and R. Moses.
1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P.1 N k=0 sampled. Stoica and R. 1997 Slide L2–15 . N=8 ω 2 k N . Prentice Hall.Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . Moses.
1997 Slide L3–1 . Prentice Hall. Moses. Stoica and R.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
with small weight applied to covariances r k with “large” k . ^( ) jj ^BT (!) = M .1) w(k)^(k)e. Stoica and R.(M .1 X k=.BlackmanTukey 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. 1997 Slide L3–2 . Prentice Hall. Moses.
Prentice Hall. con't ^BT (!) = 1 ^p( )W (! . )d 2 . 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. 1997 .BlackmanTukey Method. Stoica and R. Moses.
Prentice Hall. W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.1) Ne = k=. )d 2 . 1997 Slide L3–4 .(M (0) w Z w (k ) = equiv time width 1 2 . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . Stoica and R.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . 0 Z  {z } If W (!) 0 (.1 X . Moses.
1997 Slide L3–5 . Once M is given. ) Choose M as a tradeoff between variance and bias. bias decreases and variance increases. Lecture notes to accompany Introduction to Spectral Analysis by P. once M is given. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Stoica and R. Prentice Hall.Window Design. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. Moses. As M increases. Ne (and hence ﬁxed.
Window Examples Triangular Window. Moses. Stoica and R. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Prentice Hall. 1997 Slide L3–6 . 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.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Stoica and R. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N .1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J . 1997 Slide L3–10 .Daniell Method By a previous result.J X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. for N 1.
for N 1.Daniell Method. Moses. Stoica and R. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. ^D(!) ' 1 ^p(!)d! 2 . Prentice Hall. Then. 1997 Slide L3–11 . Lecture notes to accompany Introduction to Spectral Analysis by P.
more general for Welch). Prentice Hall. BT periodogram – Local smoothing/averaging of spectral window. ^ () – Implemented by averaging subsample periodograms. Lecture notes to accompany Introduction to Spectral Analysis by P. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Stoica and R. Daniell Periodogram – Approximate interpretation: spectral window. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett.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 . Moses.
Stoica and R.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L4–1 . Moses.
P By Weierstrass theorem. provided m and n are chosen sufﬁciently large.i!k (!) = P jkj n k e.θ) Estimate parameters in φ(ω.θ) ^ θ Estimate PSD ^ ^ =φ(ω.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. 1997 Slide L4–2 ( ) . Stoica and R. Moses.i! .i!k (!) is a rational function in e. Note. Prentice Hall.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. ! can approximate arbitrarily well any continuous PSD. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.
MA. 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. Moses.m and. Stoica and R. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.1 + + bmz.AR. 1997 . Prentice Hall.n B (z) = 1 + b1z. and ARMA Models By Spectral Factorization theorem.1 + + anz..g. e.
i) = X m j =0 bj e(t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. j ) (b0 = 1) Multiply by y (t . Stoica and R.ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . 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. j )y (t . 1997 Slide L4–4 . Prentice Hall.k = j =0 = 0 for k > m B (q) = 1 h q.
1) : : : r(. Prentice Hall. r(1) r(0) . . . 1997 Slide L4–5 . . 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) .n) . . 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. . . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 2 1 a1 = 0 .AR Signals: YuleWalker Equations AR: m = 0.
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. r . Stoica and R. .1) : : : ^(.n) 1 r r ^2 . Prentice Hall. . . . Moses. 1997 Slide L4–6 .1 = 0 a . .AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. ^(. r ^(1) r(0) ^ ^.
Moses. n) . . n)]T .(Y Y ). ^ = . y(N . 1) y(n + 1) y(n) .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . Stoica and R. . . . 1997 Slide L4–7 . Find i=1 aiy(t . Prentice Hall. 3 7 5 Y =4 y(n) y(n . i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . 1) : : : y (t .
. n .. orderrecursive solution to YW equations 2 6 6 6 4  0 . 1997 Slide L4–8 .0 .. .n . {z .. 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).. .. Prentice Hall. Moses. .Levinson–Durbin Algorithm Fast. . Stoica and R.1 .1 1 . 0 2 n 3 7 7 7 5 O(n3) ﬂops = 1 : : : n: O(n4) ﬂops Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 ﬂops! =1 ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. . Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 .
con't Relevant Properties of R: Rx = y $ Rx = y. Moses. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. n 3 7 5 1 Rn+2 4 1 n = 0 3 5 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 32 54 1 n n = 0 0 n 3 5 2 4 2 3 5 where r n = n+1 + ~n n Lecture notes to accompany Introduction to Spectral Analysis by P. . 1997 Slide L4–9 . Stoica and R. Prentice Hall.LevinsonDurbin Alg.
Prentice Hall. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 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. 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. 2 kn = .LevinsonDurbin Alg. Stoica and R. 1997 . Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Prentice Hall. m) Thus.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . 1997 Slide L4–11 . Stoica and R.i!k (!) = jB(!)j k=. 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.
1997 Slide L4–12 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.m ^BT (!) with a rectangular lag window of 2m + 1. with AR model order n . Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.i!k k=. Prentice Hall. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Stoica and R.
m k e. Moses. Prentice Hall. A(q)y(t) = B (q)e(t) B (!) 2 = m=. 1997 Slide L4–13 .i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). Stoica and R. j ) Lecture notes to accompany Introduction to Spectral Analysis by P. k)] g = X n X n j =0 p=0 aj ap r(k + p . k)] g = E f A(q)y(t)] A(q)y(t .
Moses.i!k k=. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). 1997 Slide L4–14 . Stoica and R.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. Prentice Hall. Estimate fai bj A(!) nonlinear estimation problem. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Estimate fai r(k)g in (!) = P m .
1997 Slide L4–15 . Prentice Hall. 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 . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . K ) 1a) Estimate the coefﬁcients modelling techniques.TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 1) + 2y(t . Stoica and R. for some large K e(t) ' y(t) + 1y(t . Moses. K ) ^2 = N 1 j^(t)j2 e N . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate.
con't fe(t)g by ^(t) in the ARMA equation. Prentice Hall. e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. Stoica and R. 1) : : : ^(t .TwoStage LeastSquares Method. 1) : : : . ^(t) ' . n) e ^(t .y(t . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . y(t . 1997 Slide L4–16 .
. . .6 4 Replace fr(k)g by f^(k)g and solve for faig. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . least f^ g Note: For narrowband ARMA signals. If M > n overdetermined squares solution for ai . 1) : : : r(m . Moses. Stoica and R. 5 . . : : : r(m . n + 2) . . . 1997 Slide L4–17 . . fast Levinsontype algorithms exist for obtaining ai . r f^ g . Prentice Hall. the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. = m + 1 ::: m + M a1 an . # 2 = r(m + M .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. n + M ) . .. n + 1) r(m . = f^ g Y W system of equations. .
Prentice Hall. 1997 Slide L4–18 .Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.
Prentice Hall. 1997 Slide L5–1 . Moses. Stoica and R.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
!1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . 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. Examples: communications radar.
1997 . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . uniformly distributed on . ] (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. Stoica and R. superimposed in white noise of k 2.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . ] (prevents model ambiguities) f'k g = independent rv's. Prentice Hall. Moses.
i'j o = E nei'p o E ne.i'j o = 1.i'j o e Z n 1 i' d' 2 = 0.Covariance Function and PSD Note that: E E n i'p e. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. r(k) = E fy(t)y (t . for p 6= j =2 . Moses. e E xp(t)xj (t . 1997 . Prentice Hall. for p = j e i'p e. k) = 2 ei!pk p j p n o Hence. Stoica and R.
Prentice Hall. 1997 Slide L5–5 . Stoica and R. Moses.Parameter Estimation Estimate either: f!k k 'k gn=1 k 2 (Signal Model) f!k 2gn=1 2 k k Once (PSD Model) ^ Major Estimation Problem: f!k g f!kg are determined: ^ X f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p p=1 OR: Both k and 'k can be derived by a least squares method from f^ g f^ g X y(t) = with n k= k=1 k ei'k . ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P.
Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . Moses. Prentice Hall. 1997 Slide L5–6 . . . . 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 . B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Y B(B B). Prentice Hall. con't Then: F = (Y .1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P.1B Y ] B B] . Stoica and R. B ) = kY .1B Y This gives: ^ = (B B).1B Y ] +Y Y .1B Y !=^ ! and ! = arg max Y B (B B ). (B B). Moses.Nonlinear Least Squares (NLS) Method. (B B). B ) (Y . 1997 Slide L5–7 . B k2 = .
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. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L5–8 . Prentice Hall. it is difﬁcult to avoid convergence to local minima. ! Difﬁcult Implementation: The NLS cost function F is multimodal.5.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
f!kgn=1. 1997 Slide L5–12 . Stoica and R. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. along with L . Prentice Hall.HighOrder YuleWalker Method. Moses. 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. Prentice Hall. . Moses. 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. Lecture notes to accompany Introduction to Spectral Analysis by P. .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . 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 = . . 1997 Slide L5–13 . r(L + 2) . r(L + M . . .
V . n) spurious zeros of B (q ) are located strictly inside the unit circle. Moses.HighOrder and Overdetermined YW Equations. if the MinimumNorm solution b is used. 1997 Slide L5–14 . 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). y = . The MinimumNorm solution is b = . Prentice Hall. Stoica and R.1U Important property: The additional (L . diagonal and nonsingular Thus. (U V )b = . Lecture notes to accompany Introduction to Spectral Analysis by P.
Compute ^ = . V from the Let U . r .V ^ . Stoica and R. Moses.HOYW Equations. V be deﬁned similarly to U . this approach may give spurious frequency estimates when L > n.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. SVD of . f^ g When the SNR is low. this is the price paid for increased accuracy when L > n. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–15 . Prentice Hall. .
Prentice Hall. 1997 Slide L6–1 . Moses. Stoica and R.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P.
m + 1) . 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 .i(m. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .. . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t . Prentice Hall. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .i! : : : e. Stoica and R. 1997 Slide L6–2 .The Covariance Matrix Equation Let: a(!) = 1 e.
Moses.n] (m (m . m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Stoica and R. 2 R = S G] 6 4 1 3 " .. Prentice Hall. 1997 Slide L6–3 .Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm. n)) Thus..
.. = = nonsingular 0 n.Eigendecomposition of R and Its Properties. .1) = AC S = A(PA S ( ) = rank(A) = n). Therefore. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.. Stoica and R. Prentice Hall. 2 . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . since S G j j 6= 0 4 . =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . Moses. 0 n 3 7 5 with C (since rank S .
1997 Slide L6–5 . Prentice Hall. .MUSIC Method a (!1) . Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. Stoica and R. Moses. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0.
Moses.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Here. 1997 Slide L6–6 .1)GG a(z) = 0 that are closest to the unit circle. Stoica and R.1 : : : z.Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 . a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.(m. a(z) = 1 z. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. If: =n+1 m=n+1 Then: ^ g G = ^1. Prentice Hall. ) f!kgn=1 can be found from the roots of ^ k aT (z. 1997 Slide L6–7 .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.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Stoica and R.
with ﬁrst element equal ^ ^ to one. 1997 Slide L6–8 . Prentice Hall. that has minimum Euclidean norm. and reduce risk of false frequency estimates. Stoica and R. g # Lecture notes to accompany Introduction to Spectral Analysis by P. R( ) Let " 1 = the vector in R(G). Moses. but only one vector in G (as in Pisarenko).MinNorm Method Goals: Reduce computational burden. Uses m n (as in MUSIC).
Stoica and R. 1997 Slide L6–9 . Prentice Hall. con't Spectral MinNorm f!gn=1 = ^k the locations of the n highest peaks in the “pseudospectrum” 2 1 = a (!) 1 ^ g " # Root MinNorm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. Moses.MinNorm Method. Lecture notes to accompany Introduction to Spectral Analysis by P.1) 1 ^ g " # that are closest to the unit circle.
Moses.1 g + S S .S(S S ). for N 1.1 exists iff = k k2 6= 1 (This holds. k k2) ) ^ = .1 = =(1 . Prentice Hall. 1997 Slide L6–10 . g " # MinNorm solution: As: ^ = . (S S ). at least. Stoica and R.Let S ^= S g1 . k k2) = (S S ) ) (S S ).1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .) ^^ I=S S= Multiplying the above equation by gives: (1 . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P.S =(1 .
i!1 0 . Moses.ESPRIT Method Let A1 = Im. Prentice Hall.i!n S1 = Im. let = A1D.. D= 0 e.. Then S2 = A2C = A1DC = S1 C . 1997 Slide L6–11 . where e.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. determined as is uniquely = (S1S1).1DC {z } So has the same eigenvalues as D .1]A Then A2 Also.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.1 0]S S2 = 0 Im. Stoica and R.1 0]A A2 = 0 Im.
Moses. Stoica and R. Prentice Hall. 1997 Slide L6–12 .1S1S2 ^^ ^^ f!kgn=1 = .ESPRIT Implementation From the eigendecomposition of R. then S1 and S2 . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). 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.
1997 .Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall. Stoica and R.
1997 Slide L7–1 . Stoica and R. Prentice Hall.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Stoica and R. (!) by a 2. Prentice Hall. Moses.Basic Ideas Two main PSD estimation approaches: 1. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–2 . but 2 requires to ensure that the number of estimated values = = ) is < N . Parametric Approach: Parameterize ﬁnitedimensional model. !+ ] N >1 1 2 is more general than 1. Nonparametric Approach: Implicitly smooth ! !=. by assuming that ! is nearly constant over the bands f ( )g ( ) !.
1997 . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . Stoica and R. 2 ! + 2 ] Note that assumptions (a) and (b). are conﬂicting. Moses. Prentice Hall. 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). !c @Q Q ! . jH ( )j2 ( )d = ' 21 !+ !. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! .Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) .
i!k = 1 eiN (~.t) t=1 X X = N where ( X 1 k=0 hk y(N .!) . k) 2 ! . 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.!) . Stoica and R. Prentice Hall.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . 1997 . Moses.Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1 k=0 X 1 ei!k k = 0 : : : N .
and: narrow ﬁlter passband.Filter Bank Interpretation of the Periodogram. Moses. ! 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. ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. power calculation from only 1 sample of ﬁlter output. for N = 50. Prentice Hall. !). con't jH (!)j as a function of (~ . 1997 Slide L7–5 . Stoica and R.
Prentice Hall. Both approaches compromise bias for variance. Split the available sample. 1997 Slide L7–6 . and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Moses. This approach leads to Bartlett and Welch methods. Lecture notes to accompany Introduction to Spectral Analysis by P. more data points for the power calculation stage. Stoica and R. This “multiwindow approach” is similar to the Daniell method.Possible Improvements to the Filter Bank Approach 1. Each ﬁlter covers a small band centered on ! . Use several bandpass ﬁlters on the whole sample. and bandpass ﬁlter each subsample. ~ provides several samples for power calculation. 2.
= h0 h1 : : : hm] . k) 2 6 4  .Capon Method Idea: Datadependent bandpass ﬁlter design. Prentice Hall. yF (t) = X m k=0  hk y(t . y(t . Moses. Stoica and R.im! ]T hk e. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–7 .i! : : : e.
1a=a R.Capon Method. Moses.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. 1997 Slide L7–8 .m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1a(!) which should be the power of y (t) in a passband centered on ! . Stoica and R. 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.
Prentice Hall. Capon uses one bandpass ﬁlter only. bias decreases and variance increases. Stoica and R. Moses. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. 1997 Slide L7–9 . .Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. 1997 Slide L7–10 .i!k ^ k=.m m + 1 1 m m ^(t .i!(t.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . jkj ^BT (!) = r(k)e.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. s)e.
C ! generally has less statistical variability than the AR PSD estimator. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). Due to the loworder AR terms in the average. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R. C ! generally has worse resolution and bias properties than the AR method. 1997 Slide L7–11 .
Prentice Hall. Moses.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L8–1 .
. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors.@ . .@ . @. @. @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . seismometers Applications: Radar. mechanical Receiving sensors: Hydrophones. 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. Emitted energy: Acoustic. . . electromagnetic. antennas. v Source n @. 1997 Slide L8–2 . . @. Stoica and R.R . Sensor 1 @. sonar.. communications. seismology.. Moses. Prentice Hall. @.
The number of sources n is known. the array is calibrated. Prentice Hall. AOA).Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. 1997 Slide L8–3 .) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.
thermal noise in sensor electronics.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). 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.. Prentice Hall.g.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.g.. Lecture notes to accompany Introduction to Spectral Analysis by P. Then the output of sensor k is yk (t) = hk (t) x(t . () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. Moses. k) + ek (t) ( = convolution operator). 1997 Slide L8–4 . Stoica and R. etc. background noise. Basic Problem: Estimate the time delays known but x t unknown.
Moses. Prentice Hall. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. k ) ' (t) cos !ct + '(t) . 1997 . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. Stoica and R. k) ' (t) '(t . k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k ] hk (t) x(t . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t .
Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.!ct = (t)f ei (t) + e.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.i!ct to obtain (t)ei (t) lowpass highpass Hence. 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. Prentice Hall. Stoica and R.i!c k + ek (t) where s(t) is the complex envelope of x(t).i!ct ~ = yk(t) cos(!ct) . 1997 Slide L8–6 or .i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(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
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 . Moses. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–10 . Prentice Hall.
1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. 1997 . Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem.i(m.i!s : : : e.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Moses. Stoica and R.
Moses. Stoica and R.Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–1 . Prentice Hall.
Moses. Prentice Hall. 1997 Slide L9–2 . Stoica and R.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses.i! : : : e.Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . Lecture notes to accompany Introduction to Spectral Analysis by P.1] y(t) = u(t) : : : u(t . 1997 Slide L9–3 .1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . m + 1)]T If u m. Prentice Hall. k) = h y(t) k=0 h = ho : : : hm. Stoica and R.i(m.
i!c 2 : : : e.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Stoica and R. 1997 Slide L9–4 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs. Prentice Hall.
Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.i! C @ h a(!)]u(t) R @ C . Moses.i m.. Stoica and R. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.B .i! Be 2 B !! B B 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.  e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal ﬁlter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2. 1997 Slide L9–5 . B . C C B C B C B C B C B A @ . B B @ . Cu(t) C B . s qq h  ? 1 ?  m.1 q ..? B P C B C B B B .1 ?  1 .@ 0 B 1 C h @@ C B B e. ! hm.
Spatial Filtering. Moses. Here. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. 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. h a 0 . Prentice Hall. 1997 Slide L9–6 . Stoica and R.
by sweeping the ﬁlter through the DOA range of interest (“goniometer”). 1997 Slide L9–7 . Moses. Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. To locate an emitter in the ﬁeld of view.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal).
1997 . Stoica and R. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. and evaluate the powers of the ﬁltered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest. Prentice Hall. n o n o The (dominant) peaks of h DOAs of the sources. Moses.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation.
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. Prentice Hall. 1997 Slide L9–9 . Stoica and R. Moses. y t can be considered as impinging on the array from all DOAs. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . 1 = 1. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. 1997 . Prentice Hall. Resolution Threshold: inf j k . Moses. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P.Implementation of Beamforming 1 N y(t)y (t) ^ R=N t=1 X The beamforming DOA estimates are: f^kg = the locations of the n largest peaks of a Ra .
Lecture notes to accompany Introduction to Spectral Analysis by P.1a( ) E jyF (t)j2 = 1=a ( )R. Moses. Prentice Hall.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R.1a( ): Performance: Slightly superior to Beamforming. 1997 Slide L9–11 . Stoica and R.1a( )=a ( )R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. 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).
for DOA estimation.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. YW. MUSIC. Lecture notes to accompany Introduction to Spectral Analysis by P. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Prentice Hall. MINNORM and ESPRIT methods of frequency estimation can be used. Moses. 1997 Slide L9–12 . Stoica and R. almost without modiﬁcation.
Prentice Hall. f ^k g = arg max trf A(A A).1A ]Rg X f kg For N .1A y(t) t = 1 : : : N s X Then 1 N k I .1A ]y(t) = N t=1 ^ = trf I . Moses. A(A A). A(A A). this is precisely the form of the NLS method of frequency estimation. As(t)k2 min(t)g N f k g fs t=1 X  Minimizing f over s gives f ( s) {z } ^(t) = (A A). A(A A).Nonlinear Least Squares Method 1 N ky(t) . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1A ]Rg ^ Thus. 1997 Slide L9–13 =1 .1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .
Prentice Hall. 1997 Slide L9–14 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. Stoica and R.
= U1 U2 ] 0 n n 0 V1 g n .n 0 V2 g L n M . 1997 Slide L9–15 .YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ .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 " # " # (. is . Stoica and R. Prentice Hall.) = n. Moses. and the SVD of .
Stoica and R. Moses. using 1 N y(t)~ (t) ^ . (L 1). Prentice Hall. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ).=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–16 .
MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. that is. Prentice Hall. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. 1997 Slide L9–17 . Stoica and R.
where e.i!c ( 1) 0 .i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Prentice Hall.. Stoica and R.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.. 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. D= 0 e. 1997 Slide L9–18 ( ) = d sin( )=c .
1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 0]A = .1 A1 = Im. the two subarrays are often the ﬁrst m and last m array elements.1 . Stoica and R. 1997 Slide L9–19 .ESPRIT Method. Moses.1 A2 = 0 Im. con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efﬁcient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA. so m m and . Prentice Hall.
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