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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
Moses. Prentice Hall.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.1 y(t)e.1 = t= If: discretetime deterministic data sequence X 1 t=.Deterministic Signals fy(t)g1 . 1997 Slide L1–4 .i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.i!k (k) = 1 t=. Moses.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .1 y(t)y (t . k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 .1 X (k)e. S (!)d! t=. Prentice Hall.
Moses. Prentice Hall.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. 1997 Slide L1–6 .1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
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 .1 r(k)e.First Deﬁnition of PSD (! ) = where r X 1 k=. (!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997 Slide L1–7 . Stoica and R. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 . k)g r(k) = r (.
Moses. Stoica and R. Prentice Hall.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g. 1997 Slide L1–8 . t=1 y(t)e.Second Deﬁnition of PSD 1 N y(t)e.
Moses. Then: (! ) = (.! ) Otherwise: (! ) 6= (. we can restrict attention to !2 .! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Thus.Properties of the PSD P1: (!) = (! + 2 ) for all !. Prentice Hall. 1997 Slide L1–9 . Stoica and R. P2: ] () f 2 .1=2 1=2] (!) 0 (t) is real.
Prentice Hall.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .1 H (q) = X 1 k=0 hk q.k = unit delay operator: q. k) hk e. 1997 Slide L1–10 .1y(t) = y(t . Moses.Transfer of PSD Through Linear Systems System Function: where q .
Prentice Hall. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Stoica and R. 1997 Slide L1–11 . ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Moses.
1997 Slide L2–1 . Moses. Stoica and R. Prentice Hall.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P.
i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e. 1997 Slide L2–2 . Stoica and R. Prentice Hall.
1 N .i!k ^c(!) = k=. Prentice Hall. 1997 Slide L2–3 .Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.i!k (k)” by “^(k)”: r r ^(k)e.1 X r(k)e. Stoica and R.1) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.(N .
k t=k+1 X Standard biased estimate: 1 N y(t)y (t . 1997 Slide L2–4 . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Stoica and R. Moses. k) k 0 ^ r(k) = N . Prentice Hall.
Moses.1) r ^(k)e.1 X = ^c(!) k=. N ^p(!) = 1 y(t)e.(N .i!t N t=1 X 2 = N . Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously. 1997 .Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Prentice Hall.
jk =0 there are “so many” that when summed in ! . r(k) may be large for large jkj ^ Even if the errors r k r k Nj. ^p(!) and ^c(!) have poor performance. Stoica and R. Intuitive explanation: r(k) . even for large N .1 are small.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. Thus. the PSD error is large. Prentice Hall. p! f^( ) . ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L2–6 . ( )g ^ ( ) .
Moses. n o 0 k 1 . ( )WB (! .(N .1 X wB (k) = 8 < : = Thus. or triangular.i!k k=.1 jkj r(k)e. 1 jkj N Bartlett.1) N .1 n o n o X ! X N .i!k = 1.i!k r k=.1) 1 = wB (k)r(k)e. ) d Z Ideally: WB (!) = Dirac impulse (!). jNj jkj N .Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. window E ^p(!) = 21 . 1997 . Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. N k=. Stoica and R. Prentice Hall.(N .
Stoica and R. Moses.Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Prentice Hall. WB 1=N . 1997 . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 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 . (!) may differ quite a bit from (!).
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. Moses. Prentice Hall. 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 . Stoica and R.
Moses.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. WB ! !. so ! is asymptotically unbiased. 1997 Slide L2–10 . severe bias As N . Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P. (!1) ^p(!2) . 1997 Slide L2–11 . dev = φ(ω) too  Resolvability properties depend on both bias and variance. Stoica and R. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. Moses.Periodogram Variance As N !1 E ^p(!1) . Prentice Hall.
Stoica and R.i 2 .i!t 2 k and W = e. 1997 Slide L2–12 . 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 . Prentice Hall. Moses. 1 Direct computation of O N 2 ﬂops ( ) .1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.
1997 .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 = . Moses.i2 =N . 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Prentice Hall. ~ 4 = 0 2 4 : : : N . Stoica and R. 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. Slide L2–13 t=1 ~ ~ f y(t) . y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Moses.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. Lecture notes to accompany Introduction to Spectral Analysis by P. 2k + 2c ck = 2 k. Stoica and R.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. 1997 Slide L2–14 .
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 . 1997 Slide L2–15 . Moses.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1 N k=0 sampled. N=8 ω 2 k N . Prentice Hall.
Stoica and R. Moses. Prentice Hall. 1997 Slide L3–1 .Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
(M .BlackmanTukey Method Basic Idea: Weighted correlogram. ^( ) jj ^BT (!) = M . with small weight applied to covariances r k with “large” k . Prentice Hall.1) w(k)^(k)e. Moses. 1997 Slide L3–2 .1 X k=. Stoica and R.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. )d 2 .BlackmanTukey Method. Moses. Stoica and R. con't ^BT (!) = 1 ^p( )W (! . 1997 . 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.
Moses. 0 Z  {z } If W (!) 0 (.1) Ne = k=. )d 2 . 1997 Slide L3–4 .(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. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . Stoica and R.1 X . Prentice Hall.
As M increases. Lecture notes to accompany Introduction to Spectral Analysis by P. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). bias decreases and variance increases. Moses. Prentice Hall.Window Design. 1997 Slide L3–5 . Stoica and R. once M is given. Once M is given. ) Choose M as a tradeoff between variance and bias. Ne (and hence ﬁxed. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously.
Stoica and R. 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. Moses. 1997 Slide L3–6 . 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 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
Prentice Hall. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . for N 1.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J . Stoica and R.J X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–10 . Moses. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.Daniell Method By a previous result.
^D(!) ' 1 ^p(!)d! 2 .Daniell Method. Prentice Hall. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Moses. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Lecture notes to accompany Introduction to Spectral Analysis by P. Then. 1997 Slide L3–11 . Stoica and R. for N 1.
Stoica and R. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. Daniell Periodogram – Approximate interpretation: spectral window. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 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. ^ () – Implemented by averaging subsample periodograms. BT periodogram – Local smoothing/averaging of spectral window. Prentice Hall. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. 1997 . more general for Welch).
1997 Slide L4–1 . Stoica and R.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
! can approximate arbitrarily well any continuous PSD. Moses. 1997 Slide L4–2 ( ) . provided m and n are chosen sufﬁciently large.i! . Note.θ) ^ θ Estimate PSD ^ ^ =φ(ω. Stoica and R.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.i!k (!) = P jkj n k e. Prentice Hall.i!k (!) is a rational function in e. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.θ) Estimate parameters in φ(ω. P By Weierstrass theorem.
e.g. and ARMA Models By Spectral Factorization theorem.1 + + bmz.. 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.1 + + anz. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. 1997 .m and. Stoica and R.AR. MA.n B (z) = 1 + b1z. Moses. Prentice Hall.
1997 Slide L4–4 . i) = m j =0 bj E fe(t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. i) = X m j =0 bj e(t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . j ) (b0 = 1) Multiply by y (t .k = j =0 = 0 for k > m B (q) = 1 h q. k) and take E f g to give: X r (k ) + X 2 m bj hj .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . Stoica and R. Prentice Hall. j )y (t . Moses.
. Prentice Hall.AR Signals: YuleWalker Equations AR: m = 0. Stoica and R. . 2 1 a1 = 0 . . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. .1) . r(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. 1997 Slide L4–5 . . r (.n) . r(1) r(0) .1) : : : r(. . Lecture notes to accompany Introduction to Spectral Analysis by P. . Moses.
1 = 0 a . . r ^(1) r(0) ^ ^. .1) : : : ^(.n) 1 r r ^2 . 1997 Slide L4–6 . . Prentice Hall. Stoica and R. .AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. r ^(n) : : : 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 .1) . . Moses. ^(. .
Moses. Stoica and R.(Y Y ). . n)]T . . 1) y(n + 1) y(n) . . 1) : : : y (t . y(N . Find i=1 aiy(t . 1997 Slide L4–7 .AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . 1) y(N . ^ = . .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) 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 ) . n) . . 3 7 5 Y =4 y(n) y(n . Prentice Hall.
.1 .. .n .. . orderrecursive solution to YW equations 2 6 6 6 4  0 .Levinson–Durbin Algorithm Fast. Moses. Stoica and R. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 .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. n . {z .. 1997 Slide L4–8 . . . Prentice Hall.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).
Prentice Hall. con't Relevant Properties of R: Rx = y $ Rx = y. 1997 Slide L4–9 . Stoica and R. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 .LevinsonDurbin Alg. 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. Moses. .
Lecture notes to accompany Introduction to Spectral Analysis by P. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . Stoica and R. 2 kn = . Prentice Hall. jknj2) 2 2 n " n # " ~n 1 # Computation count: k ﬂops for the step k 2 ) n2 ﬂops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. Moses. 1997 . 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.LevinsonDurbin Alg.
i!k (!) = jB(!)j k=. 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 L4–11 . Stoica and R. m) Thus. 1) + + bme(t . Prentice Hall.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . Moses.
m ^BT (!) with a rectangular lag window of 2m + 1. Stoica and R. Moses. 1997 Slide L4–12 . 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. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. with AR model order n .i!k k=. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. Moses.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). k)] g = X n X n j =0 p=0 aj ap r(k + p . k)] g = E f A(q)y(t)] A(q)y(t .m k e. Prentice Hall. 1997 Slide L4–13 .i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . A(q)y(t) = B (q)e(t) B (!) 2 = m=. j ) Lecture notes to accompany Introduction to Spectral Analysis by P.
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).ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. 1997 Slide L4–14 . Prentice Hall. Moses. Estimate fai r(k)g in (!) = P m . can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Estimate fai bj A(!) nonlinear estimation problem. Stoica and R.
TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . Stoica and R. Moses. 1) + e and its variance + ^K y(t . 1) + 2y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. for some large K e(t) ' y(t) + 1y(t . K ) ^2 = N 1 j^(t)j2 e N . 1) + + K y(t . 1997 Slide L4–15 . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate.
Stoica and R. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . ^(t) ' .y(t . con't fe(t)g by ^(t) in the ARMA equation. Prentice Hall.TwoStage LeastSquares Method. 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. 1997 Slide L4–16 . Moses. 1) : : : ^(t . y(t . 1) : : : . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P.
r f^ g . . n + M ) . . fast Levinsontype algorithms exist for obtaining ai . Moses. = f^ g Y W system of equations. 5 . n + 1) r(m . n + 2) . . .6 4 Replace fr(k)g by f^(k)g and solve for faig. least f^ g Note: For narrowband ARMA signals. Stoica and R. . If M > n overdetermined squares solution for ai . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . : : : r(m .. Prentice Hall. . . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P.Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . # 2 = r(m + M . = m + 1 ::: m + M a1 an . 1) : : : r(m . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. . 1997 Slide L4–17 ..
Moses.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. Stoica and R. Prentice Hall. 1997 Slide L4–18 .
Stoica and R. Moses. 1997 Slide L5–1 . Prentice Hall.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Line Spectra Many applications have signals with (near) sinusoidal components. 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 . Moses. 1997 . Prentice Hall. !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Examples: communications radar. Stoica and R.
superimposed in white noise of k 2. ] (prevents model ambiguities) f'k g = independent rv's. 1997 . Prentice Hall. Stoica and R.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 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. 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 . Moses.
k) = 2 ei!pk p j p n o Hence.i'j o = E nei'p o E ne.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 (! .i'j o e Z n 1 i' d' 2 = 0. Moses. r(k) = E fy(t)y (t . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P.i'j o = 1. for p = j e i'p e. Stoica and R. Prentice Hall. e E xp(t)xj (t . 1997 . for p 6= j =2 .
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 . Stoica and R. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–5 .
Prentice Hall. . Stoica and R. 1997 Slide L5–6 . Moses. X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . . B = eiN!1 eiN!n k 2 6 4 3 7 5 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) . .
1997 Slide L5–7 .1B Y This gives: ^ = (B B). (B B). B ) (Y . con't Then: F = (Y . Stoica and R.Nonlinear Least Squares (NLS) Method. Y B(B B).1B Y ] B B] . Prentice Hall. B ) = kY .1B Y !=^ ! and ! = arg max Y B (B B ). B k2 = . Moses.1B Y ] +Y Y . (B B).1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L5–8 .5.NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10. Stoica and R. Prentice Hall. it is difﬁcult to avoid convergence to local minima. ! Difﬁcult Implementation: The NLS cost function F is multimodal. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
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
HighOrder YuleWalker Method. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. f!kgn=1. Moses. 1997 Slide L5–12 . 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. Prentice Hall. Stoica and R.
r(L + M . 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.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . . 1997 Slide L5–13 . . r(L + 2) . Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Stoica and R. . Moses.
HighOrder and Overdetermined YW Equations. 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 . Stoica and R. Prentice Hall.1U Important property: The additional (L . (U V )b = . y = .V . n) spurious zeros of B (q ) are located strictly inside the unit circle. Moses. if the MinimumNorm solution b is used. diagonal and nonsingular Thus. Lecture notes to accompany Introduction to Spectral Analysis by P. The MinimumNorm solution is b = .
f^ g When the SNR is low. Moses. Stoica and R. Prentice Hall. Compute ^ = . r . V from the Let U . V be deﬁned similarly to U .V ^ . Lecture notes to accompany Introduction to Spectral Analysis by P. SVD of . . this approach may give spurious frequency estimates when L > n. this is the price paid for increased accuracy when L > n.HOYW Equations. 1997 Slide L5–15 .1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.
Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–1 . Prentice Hall. Stoica and R. Moses.
Stoica and R. Moses.The Covariance Matrix Equation Let: a(!) = 1 e. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . m + 1) . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L6–2 .i! : : : e. 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 ..i(m. .
Prentice Hall.n] (m (m .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. 1997 Slide L6–3 . Moses. n)) Thus.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.. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.. 2 R = S G] 6 4 1 3 " .
.. 1997 . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . 2 . =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P.1) = AC S = A(PA S ( ) = rank(A) = n). since S G j j 6= 0 4 . 0 n 3 7 5 with C (since rank S . Moses.Eigendecomposition of R and Its Properties.. Prentice Hall. = = nonsingular 0 n. Therefore.. Stoica and R. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.
f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. 1997 Slide L6–5 . 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.MUSIC Method a (!1) . Prentice Hall. . Moses. Stoica and R.
1)GG a(z) = 0 that are closest to the unit circle. Here. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Prentice Hall.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.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(z) = 1 z.(m. Stoica and R. 1997 Slide L6–6 .
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. ) f!kgn=1 can be found from the roots of ^ k aT (z. Stoica and R. Prentice Hall.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). If: =n+1 m=n+1 Then: ^ g G = ^1. Moses.
1997 Slide L6–8 . Prentice Hall. Stoica and R.MinNorm Method Goals: Reduce computational burden. and reduce risk of false frequency estimates. g # Lecture notes to accompany Introduction to Spectral Analysis by P. R( ) Let " 1 = the vector in R(G). that has minimum Euclidean norm. with ﬁrst element equal ^ ^ to one. but only one vector in G (as in Pisarenko). Moses. Uses m n (as in MUSIC).
Stoica and R. 1997 Slide L6–9 . Prentice Hall. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.MinNorm Method. 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.1) 1 ^ g " # that are closest to the unit circle.
k k2) ) ^ = .S(S S ).) ^^ I=S S= Multiplying the above equation by gives: (1 . (S S ).Let S ^= S g1 . for N 1.1 g + S S .1 exists iff = k k2 6= 1 (This holds.S =(1 . Stoica and R. Moses. Prentice Hall. g " # MinNorm solution: As: ^ = . k k2) = (S S ) ) (S S ).1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. at least. 1997 Slide L6–10 .1 = =(1 .
i!n S1 = Im. 1997 Slide L6–11 . determined as is uniquely = (S1S1).1]A Then A2 Also...1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. let = A1D.1 0]S S2 = 0 Im. Moses.1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. D= 0 e. Prentice Hall.i!1 0 .1 0]A A2 = 0 Im. where e.1DC {z } So has the same eigenvalues as D .ESPRIT Method Let A1 = Im. Stoica and R. Then S2 = A2C = A1DC = S1 C .
Stoica and R. then S1 and S2 . ﬁnd S . Prentice Hall. arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P.1S1S2 ^^ ^^ f!kgn=1 = .ESPRIT Implementation From the eigendecomposition of R. 1997 Slide L6–12 . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Moses.
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. Stoica and R. Prentice Hall. Moses. 1997 .
Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall. 1997 Slide L7–1 .
Lecture notes to accompany Introduction to Spectral Analysis by P. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. (!) by a 2.Basic Ideas Two main PSD estimation approaches: 1. but 2 requires to ensure that the number of estimated values = = ) is < N . Stoica and R. !+ ] N >1 1 2 is more general than 1. Prentice Hall. Moses. Parametric Approach: Parameterize ﬁnitedimensional model. Nonparametric Approach: Implicitly smooth ! !=. by assuming that ! is nearly constant over the bands f ( )g ( ) !. 1997 Slide L7–2 .
!c @Q Q ! . Prentice Hall.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . are conﬂicting. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Moses. as well as (b) and (c). Stoica and R.Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . 2 ! + 2 ] Note that assumptions (a) and (b). 1997 . jH ( )j2 ( )d = ' 21 !+ !.
1997 . k) 2 ! .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .i!k = 1 eiN (~.!) .!) . 1 k=0 X 1 ei!k k = 0 : : : N . Stoica and R.t) t=1 X X = N where ( X 1 k=0 hk y(N .Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1 H (!) = hk e ! N ei(~. Moses. Prentice Hall.
for N = 50. 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. !). Prentice Hall. power calculation from only 1 sample of ﬁlter output. and: narrow ﬁlter passband. 1997 Slide L7–5 . con't jH (!)j as a function of (~ . Stoica and R.Filter Bank Interpretation of the Periodogram.
This approach leads to Bartlett and Welch methods. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–6 . Prentice Hall. Moses.Possible Improvements to the Filter Bank Approach 1. Each ﬁlter covers a small band centered on ! . Stoica and R. Use several bandpass ﬁlters on the whole sample. more data points for the power calculation stage. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. 2. ~ provides several samples for power calculation. This “multiwindow approach” is similar to the Daniell method. Both approaches compromise bias for variance. and bandpass ﬁlter each subsample. Split the available sample.
k) 2 6 4  .i! : : : e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P.im! ]T hk e. yF (t) = X m k=0  hk y(t . Prentice Hall. y(t . = h0 h1 : : : hm] . Stoica and R.Capon Method Idea: Datadependent bandpass ﬁlter design. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e. Moses. 1997 Slide L7–7 .
Stoica and R.Capon Method.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.1a=a R. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. Prentice Hall. Moses.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .1a(!) which should be the power of y (t) in a passband centered on ! . 1997 Slide L7–8 .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. 1997 Slide L7–9 . Moses. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Prentice Hall. Capon uses one bandpass ﬁlter only. . bias decreases and variance increases.
s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . Prentice Hall. Moses.i!(t. jkj ^BT (!) = r(k)e. Stoica and R. s)e.m m + 1 1 m m ^(t .Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.i!k ^ k=.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–10 .
^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R. 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). C ! generally has worse resolution and bias properties than the AR method. C ! generally has less statistical variability than the AR PSD estimator. Due to the loworder AR terms in the average. 1997 Slide L7–11 .
Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–1 . Prentice Hall. Stoica and R. Moses.
R . @. Prentice Hall. . Emitted energy: Acoustic. Stoica and R. Moses. communications. . .@ . electromagnetic. seismometers Applications: Radar. antennas. 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. . @. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. seismology. 1997 Slide L8–2 . v Source n @... Sensor 1 @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . mechanical Receiving sensors: Hydrophones.. sonar.@ . @. @. @.
) Lecture notes to accompany Introduction to Spectral Analysis by P. AOA). 1997 Slide L8–3 . (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Stoica and R. Prentice Hall. Moses.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. The number of sources n is known. the array is calibrated.
g. Then the output of sensor k is yk (t) = hk (t) x(t . 1997 Slide L8–4 . Prentice Hall. background noise. 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. etc. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). thermal noise in sensor electronics. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. Moses..g.. Basic Problem: Estimate the time delays known but x t unknown.
Moses. !c k ] hk (t) x(t . Stoica and R. k) ' (t) '(t . Prentice Hall. the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . 1997 . k ) ' jHk (!c)j (t)cos !ct + '(t) . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . k ) ' (t) cos !ct + '(t) . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P.
i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i!c k + ek (t) where s(t) is the complex envelope of x(t). Lecture notes to accompany Introduction to Spectral Analysis by P.i!ct ~ = yk(t) cos(!ct) . Stoica and R. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i!ct to obtain (t)ei (t) lowpass highpass Hence. Moses.!ct = (t)f ei (t) + e.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. Prentice Hall. 1997 Slide L8–6 or . 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.
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
Prentice Hall. Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L8–10 .Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k .
1997 .Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Prentice Hall. Stoica and R.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.i!s : : : e. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i(m. Moses. !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.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Moses. 1997 Slide L9–1 .
Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–2 . Prentice Hall.
Moses.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. Stoica and R. k) = h y(t) k=0 h = ho : : : hm. 1997 Slide L9–3 .Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .i(m.1] y(t) = u(t) : : : u(t . Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.i! : : : e. m + 1)]T If u m.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .
Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–4 .Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.i!c 2 : : : e.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs. Prentice Hall.
1 q .@ 0 B 1 C h @@ C B B e. Prentice Hall.i! Be 2 B !! B B B B .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q. Moses. Stoica and R.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.1 ?  1 .i m. B .B .. C C B C B C B C B C B A @ .i! C @ h a(!)]u(t) R @ C .? B P C B C B B B .  e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal ﬁlter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2. 1997 Slide L9–5 . s qq h  ? 1 ?  m. B B @ . ! hm. ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.. Cu(t) C B .
con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Moses. Prentice Hall.Spatial Filtering. Stoica and R. 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 . 1997 Slide L9–6 . Here.
Moses. Stoica and R. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). 1997 Slide L9–7 . Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. by sweeping the ﬁlter through the DOA range of interest (“goniometer”). Prentice Hall. To locate an emitter in the ﬁeld of view.
Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 1997 . 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. 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. Prentice Hall. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. n o n o The (dominant) peaks of h DOAs of the sources.
y t can be considered as impinging on the array from all DOAs. Prentice Hall. Stoica and R. 1997 Slide L9–9 .Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. () 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. Moses.
( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Prentice Hall. 1997 . 1 = 1. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. Resolution Threshold: inf j k .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 .
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).1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.1a( ): Performance: Slightly superior to Beamforming.1a( )=a ( )R. Moses.1a( ) E jyF (t)j2 = 1=a ( )R. Prentice Hall. Stoica and R. 1997 Slide L9–11 .Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS.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. Prentice Hall. Stoica and R. 1997 Slide L9–12 . MINNORM and ESPRIT methods of frequency estimation can be used. MUSIC. for DOA estimation. almost without modiﬁcation.
1997 Slide L9–13 =1 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.1A ]y(t) = N t=1 ^ = trf I . 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). Prentice Hall.Nonlinear Least Squares Method 1 N ky(t) . A(A A). f ^k g = arg max trf A(A A). A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A y(t) t = 1 : : : N s X Then 1 N k I . Moses. this is precisely the form of the NLS method of frequency estimation.1A ]Rg ^ Thus.1A ]Rg X f kg For N . A(A A).
Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. 1997 Slide L9–14 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.
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 ~ . 1997 Slide L9–15 . Moses. Stoica and R. Prentice Hall.n 0 V2 g L n M . and the SVD of .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 . = U1 U2 ] 0 n n 0 V1 g n .) = n.
=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.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). (L 1). Moses. Prentice Hall. 1997 Slide L9–16 . Stoica and R. is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. using 1 N y(t)~ (t) ^ .
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.MUSIC and MinNorm Methods Both MUSIC and MinNorm 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. 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. Stoica and R. that is. 1997 Slide L9–17 .
. 1997 Slide L9–18 ( ) = d sin( )=c ..i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Moses. Stoica and R.i!c ( 1) 0 .ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. where e. D= 0 e. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D.
Stoica and R. Prentice Hall.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.ESPRIT Method. so m m and . 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. the two subarrays are often the ﬁrst m and last m array elements. 1997 Slide L9–19 .1 A2 = 0 Im.1 A1 = Im.1 0]A = .1 . Moses.
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