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

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

Stoica and R.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Prentice Hall. 1997 Slide L1–6 . Moses.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

Moses.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. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD definitions. Prentice Hall. Stoica and R. 1997 Slide L1–11 .

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

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

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

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

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

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

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

WB 1=N .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Moses. Stoica and R. Prentice Hall. 1997 . 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 . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. (!) may differ quite a bit from (!).

Stoica and R. Prentice Hall. Moses. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. 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 .

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

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

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

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

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

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

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

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

Stoica and R. Moses. )d 2 . Prentice Hall. 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.Blackman-Tukey Method. con't ^BT (!) = 1 ^p( )W (! . 1997 .

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

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

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

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

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

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

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

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

θ) ^ θ Estimate PSD ^ ^ =φ(ω. Note. Prentice Hall.i! .θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.i!k (!) = P jkj n k e. 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) Estimate parameters in φ(ω. 1997 Slide L4–2 ( ) . ! can approximate arbitrarily well any continuous PSD. P By Weierstrass theorem. Moses.i!k (!) is a rational function in e. provided m and n are chosen sufficiently large.

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

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

. Lecture notes to accompany Introduction to Spectral Analysis by P.n) . . .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. .1) . 2 1 a1 = 0 . . Prentice Hall. Moses. . r(1) r(0) .1) : : : r(. r (. an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. Stoica and R. . 1997 Slide L4–5 .

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

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

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

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

Moses. Prentice Hall.Levinson-Durbin Alg. 1997 . Stoica and R. 2 kn = . Lecture notes to accompany Introduction to Spectral Analysis by P. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. 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.

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

i!k k=. Moses. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. 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. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.m ^BT (!) with a rectangular lag window of 2m + 1.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Stoica and R. 1997 Slide L4–12 . with AR model order n .

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

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

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

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

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

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

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

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

superimposed in white noise of k 2.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . 1997 . ] (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. uniformly distributed on . power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X | {z } Assumptions: A1: A2: k>0 !k 2 . Moses. Stoica and R. Prentice Hall. ] (prevents model ambiguities) f'k g = independent rv's.

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

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

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

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

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

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

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

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

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

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

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

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

Moses. Stoica and R. Prentice Hall. 1997 Slide L6–3 . n)) Thus..n] (m (m .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. 2 R = S G] 6 4 1 3 " .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm..

0 n 3 7 5 with C (since rank S .1) = AC S = A(PA S ( ) = rank(A) = n).. = = nonsingular 0 n. =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. .Eigendecomposition of R and Its Properties. Prentice Hall. 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 . 2 . Therefore. 1997 . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 .. Stoica and R. Moses.

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

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

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

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

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

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

1997 Slide L6–11 ..1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P. D= 0 e..i!n S1 = Im.1]A Then A2 Also. where e.1]S 2 6 4 | 3 7 5 Recall S = AC with jC j 6= 0.1DC {z } So has the same eigenvalues as D . let = A1D.1 0]A A2 = 0 Im.i!1 0 . Moses. Then S2 = A2C = A1DC = S1 C . Prentice Hall.1 0]S S2 = 0 Im. determined as is uniquely = (S1S1).ESPRIT Method Let A1 = Im. Stoica and R.

1997 Slide L6–12 . Prentice Hall.1S1S2 ^^ ^^ f!kgn=1 = . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). find S . then S1 and S2 . 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. Moses. Stoica and R.ESPRIT Implementation From the eigendecomposition of R.

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. Stoica and R. Moses. 1997 . Prentice Hall.

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

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

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

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

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

Possible Improvements to the Filter Bank Approach 1. Stoica and R. Each filter covers a small band centered on ! . This “multiwindow approach” is similar to the Daniell method. Lecture notes to accompany Introduction to Spectral Analysis by P. and bandpass filter each subsample. Both approaches compromise bias for variance. This approach leads to Bartlett and Welch methods. 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. ~ provides several samples for power calculation. Use several bandpass filters on the whole sample. Prentice Hall. 1997 Slide L7–6 . 2. Split the available sample. Moses.

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

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

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

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

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

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.

@ . @. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. .. Stoica and R. communications. Emitted energy: Acoustic.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ .. 1997 Slide L8–2 . seismology. . seismometers Applications: Radar. antennas. . electromagnetic. @.R . @. @. Sensor 1 @. mechanical Receiving sensors: Hydrophones. sonar. @. v Source n @.. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. .@ .

(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. 1997 Slide L8–3 .Simplifying Assumptions Far-field sources in the same plane as the array of sensors Non-dispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. The number of sources n is known. the array is calibrated.) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. AOA). Prentice Hall.

1997 Slide L8–4 . etc. () f kg with hk(t) This is a time-delay estimation problem in the unknown input case. Then the output of sensor k is yk (t) = hk (t) x(t . background noise.. thermal noise in sensor electronics.g. Moses. 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. Prentice Hall. Stoica and R.) hk (t) = ek (t) = Note: t 2 R (continuous-time signals).. k) + ek (t) ( = convolution operator). 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.g.

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

Lecture notes to accompany Introduction to Spectral Analysis by P.i!ct to obtain (t)ei (t) lowpass highpass Hence.Complex Signal Representation The noise-free output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e. 1997 Slide L8–6 or . Moses.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. Stoica and R. Prentice Hall.!ct = (t)f ei (t) + e.i! + ek (t) | s(t) {z } | Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. by low-pass filtering and sampling the signal yk (t)=2 = yk(t)e.i!ct ~ = yk(t) cos(!ct) .i 2!ct+ (t)] g n o | {z } | {z } Lowpass filter 2z(t)e.i!c k + ek (t) where s(t) is the complex envelope of x(t).

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

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

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

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

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

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

Stoica and R. Prentice Hall.i!c 2 : : : e.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. 1997 Slide L9–4 . 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.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. Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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. Stoica and R. by sweeping the filter through the DOA range of interest (“goniometer”). To locate an emitter in the field of view. 1997 Slide L9–7 . Moses. hence filtering out interferences located outside the filter's beam (but possibly having the same temporal characteristics as the signal). Prentice Hall.

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

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. Moses. 1997 Slide L9–9 .

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

1a( ) E jyF (t)j2 = 1=a ( )R. 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. 1997 Slide L9–11 . Both Beamforming and Capon are nonparametric approaches.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.1a( ): Performance: Slightly superior to Beamforming. Prentice Hall.1a( )=a ( )R.

Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. MUSIC. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. YW. almost without modification. Stoica and R. for DOA estimation. 1997 Slide L9–12 . Moses.Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular. MIN-NORM and ESPRIT methods of frequency estimation can be used.

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

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

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

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

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

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

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

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