Basic Definitions and The Spectral Estimation Problem

Lecture 1

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

Slide L1–1

Informal Definition of Spectral Estimation

Given: A finite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density

! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)

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

Slide L1–2

Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity finding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar

Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3

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

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

Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. 1997 Slide L1–6 . Moses. Stoica and R. Prentice Hall.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.

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

i!t Lecture notes to accompany Introduction to Spectral Analysis by P.Second Definition of PSD 1 N y(t)e. 1997 Slide L1–8 . Stoica and R. 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. Moses. Prentice Hall.

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

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

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

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

Stoica and R. Prentice Hall. 1997 Slide L2–2 .i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e. Moses.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Recall 2nd definition of (! ): 1 N y(t)e.

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

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

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

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

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

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

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

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

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

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

~ 4 = 0 2 4 : : : N . 1997 .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 . Prentice Hall. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Radix–2 Fast Fourier Transform (FFT) N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = . 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2-point DFT computation. Moses.i2 =N . Slide L2–13 t=1 ~ ~ f y(t) .

Stoica and R.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 1997 Slide L2–14 . Moses.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. 2k + 2c ck = 2 k.

Prentice Hall.1 N k=0 sampled. Moses.Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g | N {z } Goals: Apply a radix-2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N . N=8 ω 2 k N .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L2–15 .

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

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

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

Prentice Hall.1) Ne = k=. 1997 Slide L3–4 . 0 Z | {z } If W (!) 0 (. )d 2 . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: Time-Bandwidth Product M . Moses. Stoica and R.1 X .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.(M (0) w Z w (k ) = equiv time width 1 2 .

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

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

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

k=;(M ;1) M ;1 X k=;(M ;1)

k=;(M ;1) 8 M ;1 < 1 X L X
:

r ^j (k)e;i!k
9 =

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

^B (!) ' ^BT (!)
Since B ! implicitly uses method has

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8

Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobe-sidelobe tradeoff capability

1

2 . . . subseq subseq #1 #2 subseq #S

N

Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)

=

])

Additional flexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to non-rectangular lag window.

^BT (!) with a
Slide L3–9

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

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

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

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

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

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

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

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

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

Moses. r ^(1) r(0) ^ ^.1) . Prentice Hall. .1 = 0 a .n) 1 r r ^2 . ^(. .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. . . Stoica and R. . . 1997 Slide L4–6 .AR Spectral Estimation: YW Method Yule-Walker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. r .

. . 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 ) . Stoica and R. . 1) y(N . . y(N . n) . .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . ^ = . n)]T . 3 7 5 Y =4 y(n) y(n . 1) : : : y (t .(Y Y ). 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 . Prentice Hall. Moses. 1) y(n + 1) y(n) . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. Find i=1 aiy(t .

Levinson–Durbin Algorithm Fast.. .n .. . Prentice Hall. n . 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k). Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . . order-recursive solution to YW equations 2 6 6 6 4 | 0 .. {z . Moses. Stoica and R.. 0 2 n 3 7 7 7 5 O(n3) flops = 1 : : : n: O(n4) flops Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 flops! =1 ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–8 . . .. .1 .1 1 .0 .

Levinson-Durbin Alg. Prentice Hall. 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. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Moses. con't Relevant Properties of R: Rx = y $ Rx = y. . where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus.

n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 .Levinson-Durbin Alg. 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. Stoica and R. 2 kn = . 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. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 .

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

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

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

Prentice Hall. ^(!) 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 Yule-Walker method). Estimate fai r(k)g in (!) = P m .ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. can use an approximate linear two-stage least squares method ^(!) is guaranteed to be 0 2.i!k k=. Stoica and R. Estimate fai bj A(!) nonlinear estimation problem. 1997 Slide L4–14 . Moses.

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

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

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

Stoica and R. Moses. 1997 Slide L4–18 . Prentice Hall.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low low-medium medium-high medium-high medium low-medium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2-Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P.

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

Moses. Prentice Hall.Line Spectra Many applications have signals with (near) sinusoidal components. Examples: communications radar. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 . !1 !2 !3 - An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . Stoica and R.

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

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

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

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

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

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

Unwindowed Periodogram as an Approximate NLS Method

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

n=1
X

B B=N
N t=1

BY=

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

(finite DTFT)

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

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

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

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

Slide L5–10

High-Order Yule-Walker Method Recall:

y(t) = x(t) + e(t) =

k ei(!k t+'k ) +e(t) | {z } k=1 xk (t)
X

n

“Degenerate” ARMA equation for y (t):
n

(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o

Let

B (q) = 1 +

4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X

L

Then B

(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11

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

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

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

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). Moses. (U V )b = . y = . if the Minimum-Norm solution b is used. 1997 Slide L5–14 . diagonal and nonsingular Thus. Stoica and R. Prentice Hall. The Minimum-Norm solution is b = .V . Lecture notes to accompany Introduction to Spectral Analysis by P.High-Order and Overdetermined YW Equations. n) spurious zeros of B (q ) are located strictly inside the unit circle.1U Important property: The additional (L .

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

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

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

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.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Moses.. Stoica and R.n] (m (m . m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.. n)) Thus. 2 R = S G] 6 4 1 3 " .

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

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

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

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. 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. 1997 Slide L6–7 . Moses. Stoica and R.

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

Stoica and R.Min-Norm Method. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–9 .1) 1 ^ g " # that are closest to the unit circle. con't Spectral Min-Norm f!gn=1 = ^k the locations of the n highest peaks in the “pseudo-spectrum” 2 1 = a (!) 1 ^ g " # Root Min-Norm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. Moses.

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

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

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

Prentice Hall. Stoica and R. 1997 .Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS Yule-Walker Pisarenko MUSIC Min-Norm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small medium-high medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for medium-resolution applications Use ESPRIT for high-resolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.

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

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

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

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

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

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

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

1a=a R.1a(!) which should be the power of y (t) in a passband centered on ! . n The Bandwidth 1 ' m+1 = (filter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.Capon Method.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . Moses.1a o The power at the filter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. Prentice Hall. Stoica and R.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. 1997 Slide L7–8 .

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

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

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

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

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

Simplifying Assumptions Far-field sources in the same plane as the array of sensors Non-dispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. Prentice Hall.) Lecture notes to accompany Introduction to Spectral Analysis by P. AOA). The number of sources n is known. 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. the array is calibrated. Moses.

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

1997 . !c k ] hk (t) x(t . k ) ' jHk (!c)j (t)cos !ct + '(t) . !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. Stoica and R. k ) ' (t) cos !ct + '(t) . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k) ' (t) '(t . Prentice Hall. Moses.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 . !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 noise-free output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i!ct ~ = yk(t) cos(!ct) . Prentice Hall. Stoica and R.i 2!ct+ (t)] g n o | {z } | {z } Lowpass filter 2z(t)e.!ct = (t)f ei (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. Moses.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. 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. by low-pass filtering and sampling the signal yk (t)=2 = yk(t)e.i!ct to obtain (t)ei (t) lowpass highpass Hence.

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

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

1

3 7 5

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

3 7 5

Then

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

()

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

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

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

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

-

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

Slide L8–8

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

fsk(t)gn=1 k

k

Linear sensors

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

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

Let

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

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

1997 Slide L8–10 . Stoica and R. Prentice Hall. Moses. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.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)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. !s = spatial frequency The function !s 7! a( ) is one-to-one for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. Stoica and R.i!s : : : e. 1997 .i(m. Prentice Hall. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.

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

Stoica and R.Spatial Filtering Spatial filtering useful for DOA discrimination (similar to frequency discrimination of time-series filtering) Nonparametric DOA estimation There is a strong analogy between temporal filtering and spatial filtering. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997 Slide L9–2 .

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

Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Moses. Stoica and R. 1997 Slide L9–4 .i!c m ]T yF (t) = h a( )] s(t) | {z } The corresponding filter output is filter transfer function We can select h to enhance or attenuate signals coming from different DOAs.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.i!c 2 : : : e. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

Moses. Stoica and R.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for filter bank methods. Prentice Hall. () 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. y t can be considered as impinging on the array from all DOAs. 1997 Slide L9–9 .

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

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

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

Lecture notes to accompany Introduction to Spectral Analysis by P. As(t)k2 min(t)g N f k g fs t=1 X | Minimizing f over s gives f ( s) {z } ^(t) = (A A).Nonlinear Least Squares Method 1 N ky(t) . A(A A). Moses. 1997 Slide L9–13 =1 . f ^k g = arg max trf A(A A). Stoica and R. this is precisely the form of the NLS method of frequency estimation. A(A A).1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]y(t) = N t=1 ^ = trf I .1A ]Rg X f kg For N . A(A A). Prentice Hall.1A ]Rg ^ Thus.1A y(t) t = 1 : : : N s X Then 1 N k I .

Prentice Hall. 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. 1997 Slide L9–14 . Stoica and R.

Yule-Walker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ . is .) = n.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (.n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank |{z} |{z} Lecture notes to accompany Introduction to Spectral Analysis by P. and the SVD of . Stoica and R. Prentice Hall.n 0 V2 g L n M . Moses. = U1 U2 ] 0 n n 0 V1 g n . 1997 Slide L9–15 .

using 1 N y(t)~ (t) ^ .YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. Stoica and R. Prentice Hall. Moses. (L 1). 1997 Slide L9–16 .=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 L9–17 . that is. Prentice Hall.MUSIC and Min-Norm Methods Both MUSIC and Min-Norm methods for frequency estimation apply with only minor modifications to the DOA estimation problem. Moses. if rank (P ) = rank(E fs(t)s (t)g) < n Modifications that apply in the coherent case exist. Spectral forms of MUSIC and Min-Norm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and Min-Norm break down if the source signals are coherent. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.

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.. Stoica and R.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Prentice Hall.i!c ( 1) 0 . where 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. D= 0 e.. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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