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Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L1–4 .1 = t= If: discretetime deterministic data sequence X 1 t=.Deterministic Signals fy(t)g1 .1 y(t)e. Prentice Hall. Moses.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.
Prentice Hall. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. S (!)d! t=. 1997 .1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=. Stoica and R.1 X (k)e.i!k (k) = 1 t=.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .1 y(t)y (t . Moses.
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. Prentice Hall.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Stoica and R. 1997 Slide L1–6 .
(!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .First Deﬁnition of PSD (! ) = where r X 1 k=.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Moses.1 r(k)e. 1997 Slide L1–7 . k)g r(k) = r (. Stoica and R.k) r(0) jr(k)j Z Note that r(k) = 21 . Prentice Hall.
Moses. Stoica and R.i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Note that 1 jY (!)j2 (!) = Nlim E N N !1 YN (!) = X where N is the ﬁnite DTFT of fy(t)g. 1997 Slide L1–8 . t=1 y(t)e. Prentice Hall.Second Deﬁnition of PSD 1 N y(t)e.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. Then: (! ) = (. P2: ] () f 2 .! ) Otherwise: (! ) 6= (. Stoica and R.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. we can restrict attention to !2 .Properties of the PSD P1: (!) = (! + 2 ) for all !.1=2 1=2] (!) 0 (t) is real. Prentice Hall. Thus. 1997 Slide L1–9 .
1y(t) = y(t .Transfer of PSD Through Linear Systems System Function: where q .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. Moses. Stoica and R. k) hk e. 1997 Slide L1–10 . 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. Prentice Hall.
Prentice Hall. Moses. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. 1997 Slide L1–11 . Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 .
Prentice Hall. 1997 Slide L2–1 . Moses. Stoica and R.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L2–2 . Prentice Hall.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. Moses.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. Stoica and R.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e.
i!k ^c(!) = k=.i!k (k)” by “^(k)”: r r ^(k)e. 1997 Slide L2–3 .(N .1 N .1 X r(k)e. Prentice Hall. Stoica and R. Moses.1) Lecture notes to accompany Introduction to Spectral Analysis by P.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.
k t=k+1 X Standard biased estimate: 1 N y(t)y (t .Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . 1997 Slide L2–4 . Prentice Hall. k) k 0 ^ r(k) = N . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. Moses.k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Moses.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.(N . Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.i!t N t=1 X 2 = N . Prentice Hall.1) r ^(k)e. N ^p(!) = 1 y(t)e.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). 1997 . Stoica and R.1 X = ^c(!) k=.
even for large N . Intuitive explanation: r(k) . 1997 Slide L2–6 . Stoica and R. the PSD error is large. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. jk =0 there are “so many” that when summed in ! . Moses. Prentice Hall.1 are small.Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance. ^p(!) and ^c(!) have poor performance. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. p! f^( ) . ( )g ^ ( ) . Thus.
n o 0 k 1 .1) 1 = wB (k)r(k)e. Moses. N k=.i!k r k=.(N .1 X wB (k) = 8 < : = Thus.(N .i!k = 1. Prentice Hall.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.1) N . ) d Z Ideally: WB (!) = Dirac impulse (!). 1 jkj N Bartlett.1 n o n o X ! X N . or triangular. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=. ( )WB (! . window E ^p(!) = 21 . Stoica and R. jNj jkj N .1 jkj r(k)e. 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.Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). 1997 . Moses. WB 1=N . Prentice Hall.
^ 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. Stoica and R. Prentice Hall.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Moses. 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 .
so ! is asymptotically unbiased. severe bias As N .Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . Stoica and R. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–10 . Prentice Hall. Moses. WB ! !.
Prentice Hall. Stoica and R.Periodogram Variance As N !1 E ^p(!1) . (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. 1997 Slide L2–11 . (!1) ^p(!2) . Lecture notes to accompany Introduction to Spectral Analysis by P. dev = φ(ω) too  Resolvability properties depend on both bias and variance. Moses.
1997 Slide L2–12 . Prentice Hall.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P.i 2 . N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N . Stoica and R. 1 Direct computation of O N 2 ﬂops ( ) .i!t 2 k and W = e. Moses.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.
~ 4 = 0 2 4 : : : N .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 . y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . Prentice Hall. Stoica and R.Radix–2 Fast Fourier Transform (FFT) N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = . Slide L2–13 t=1 ~ ~ f y(t) .i2 =N . Moses. 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation.
Moses.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Prentice Hall.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–14 . Stoica and R. 2k + 2c ck = 2 k.
1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L2–15 . Stoica and R. Moses.1 N k=0 sampled. N=8 ω 2 k N .Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N .
Prentice Hall. Stoica and R. Moses.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–1 .
1997 Slide L3–2 .(M . Stoica and R.i!k r fw(k)g = Lag Window w(k) 1 M M k Lecture notes to accompany Introduction to Spectral Analysis by P. with small weight applied to covariances r k with “large” k . Moses.BlackmanTukey Method Basic Idea: Weighted correlogram.1) w(k)^(k)e. ^( ) jj ^BT (!) = M .1 X k=. Prentice Hall.
Prentice Hall. )d 2 . 1997 . Stoica and R. con't ^BT (!) = 1 ^p( )W (! . Moses.BlackmanTukey 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.
0 Z  {z } If W (!) 0 (.1) Ne = k=.1 X .(M (0) w Z w (k ) = equiv time width 1 2 . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . Prentice Hall. 1997 Slide L3–4 . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. )d 2 . Stoica and R.Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . Moses.
The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Prentice Hall. Ne (and hence ﬁxed. 1997 Slide L3–5 .Window Design. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). bias decreases and variance increases. Once M is given. ) Choose M as a tradeoff between variance and bias. As M increases. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. once M is given. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P.
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. 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. Prentice Hall. Stoica and R. Moses. 1997 Slide L3–6 .
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Daniell Method By a previous result. Moses. 1997 Slide L3–10 . k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . for N 1. Stoica and R.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. Prentice Hall.
Then.Daniell Method. 1997 Slide L3–11 . Moses. for N 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. ^D(!) ' 1 ^p(!)d! 2 . Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Stoica and R. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N .
Moses. Daniell Periodogram – Approximate interpretation: spectral window. Prentice Hall. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values.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. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. more general for Welch). Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. ^ () – Implemented by averaging subsample periodograms. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. 1997 . BT periodogram – Local smoothing/averaging of spectral window.
Moses.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L4–1 .
! can approximate arbitrarily well any continuous PSD. Stoica and R. P By Weierstrass theorem. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω.θ) ^ θ Estimate PSD ^ ^ =φ(ω.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e. provided m and n are chosen sufﬁciently large.i!k (!) = P jkj n k e.i! . Note.i!k (!) is a rational function in e. Prentice Hall. 1997 Slide L4–2 ( ) . Moses.θ) Estimate parameters in φ(ω.
Stoica and R.g. MA.1 + + bmz. Prentice Hall.. 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.m and. Moses. and ARMA Models By Spectral Factorization theorem. 1997 . e. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.n B (z) = 1 + b1z.1 + + anz.AR.
k) and take E f g to give: X r (k ) + X 2 m bj hj . k)g Lecture notes to accompany Introduction to Spectral Analysis by P. i) = X m j =0 bj e(t .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . i) = m j =0 bj E fe(t . Stoica and R. Prentice Hall.k = j =0 = 0 for k > m B (q) = 1 h q. 1997 Slide L4–4 . Moses. j )y (t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . j ) (b0 = 1) Multiply by y (t .
1) : : : r(. . . Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 2 1 a1 = 0 . .1) . . r (. . r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. 1997 Slide L4–5 . . Moses. r(1) r(0) . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(.n) . Stoica and R. .AR Signals: YuleWalker Equations AR: m = 0.
r ^(1) r(0) ^ ^. .n) 1 r r ^2 . Prentice Hall. r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. r .1) . . .1) : : : ^(.1 = 0 a . .AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. . ^(. Stoica and R. Moses. 1997 Slide L4–6 . .
. . 1) : : : y (t . ^ = . . Find i=1 aiy(t . 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. n) . Moses. .(Y Y ).1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . 1) y(N . y(N . 1) y(n + 1) y(n) . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. n)]T . 1997 Slide L4–7 . 3 7 5 Y =4 y(n) 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 .
Stoica and R. .1 . .. . .1 1 .. 0 2 n 3 7 7 7 5 O(n3) ﬂops = 1 : : : n: O(n4) ﬂops Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 ﬂops! =1 ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 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). n . . .n . {z .. orderrecursive solution to YW equations 2 6 6 6 4  0 . 1997 Slide L4–8 .Levinson–Durbin Algorithm Fast. Moses. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 ..0 . Prentice Hall..
Moses. 1997 Slide L4–9 . where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. Stoica and R. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . . n 3 7 5 1 Rn+2 4 1 n = 0 3 5 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 32 54 1 n n = 0 0 n 3 5 2 4 2 3 5 where r n = n+1 + ~n n Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. con't Relevant Properties of R: Rx = y $ Rx = y.LevinsonDurbin Alg.
Prentice Hall. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. Stoica and R. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 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.LevinsonDurbin Alg. 2 kn = . 1997 .
1997 Slide L4–11 . Stoica and R.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . m) Thus.i!k (!) = jB(!)j k=. r(k) = 0 for jkj > m and 2 2 = m r(k)e.m X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1) + + bme(t .
MA Spectrum Estimation Two main ways to Estimate (! ): 1. with AR model order n . Stoica and R.m ^BT (!) with a rectangular lag window of 2m + 1. Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=. Moses. 1997 Slide L4–12 . Prentice Hall. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.
j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.m k e.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).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 . A(q)y(t) = B (q)e(t) B (!) 2 = m=. 1997 Slide L4–13 . k)] g = X n X n j =0 p=0 aj ap r(k + p . Stoica and R.
Moses. Estimate fai bj A(!) nonlinear estimation problem. Prentice Hall. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Estimate fai r(k)g in (!) = P m . 1997 Slide L4–14 .ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1.i!k k=.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method).
1997 Slide L4–15 . K ) ^2 = N 1 j^(t)j2 e N . Moses. 1) + 2y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. 1) + + K y(t . for some large K e(t) ' y(t) + 1y(t .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 1) + e and its variance + ^K y(t . K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t .
Note that the ai and bj coefﬁcients enter linearly in the above equation: 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.y(t . 1) : : : .TwoStage LeastSquares Method. ^(t) ' . n) e ^(t . 1997 Slide L4–16 . Prentice Hall. con't fe(t)g by ^(t) in the ARMA equation. y(t . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1) : : : ^(t . Stoica and R.
. # 2 = r(m + M .6 4 Replace fr(k)g by f^(k)g and solve for faig. 1997 Slide L4–17 . . n + M ) . 5 . Stoica and R.. . the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. = f^ g Y W system of equations. = m + 1 ::: m + M a1 an . If M > n overdetermined squares solution for ai . . . n + 2) . Prentice Hall. : : : r(m . . Moses. . r f^ g . . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. 1) : : : r(m . . n + 1) r(m .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . fast Levinsontype algorithms exist for obtaining ai . least f^ g Note: For narrowband ARMA signals. i) = 0 k > m 3 7 5 " r(m) r(m + 1) .
Stoica and R. Prentice Hall.Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–18 . Moses.
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. Moses.
Line Spectra Many applications have signals with (near) sinusoidal components. Prentice Hall. Stoica and R. 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 . Examples: communications radar. Moses. 1997 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P.
Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . 1997 . Stoica and R. ] (realistic and mathematically convenient) A3: e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0 (can be achieved by “slow” sampling) Slide L5–3 Lecture notes to accompany Introduction to Spectral Analysis by P. power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . Prentice Hall. superimposed in white noise of k 2. ] (prevents model ambiguities) f'k g = independent rv's. Moses. uniformly distributed on .
for p = j e i'p e.i'j o = E nei'p o E ne.Covariance Function and PSD Note that: E E n i'p e. Prentice Hall. k) = 2 ei!pk p j p n o Hence. Stoica and R. Moses. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! .i'j o e Z n 1 i' d' 2 = 0. 1997 . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. e E xp(t)xj (t .i'j o = 1. for p 6= j =2 . r(k) = E fy(t)y (t .
1997 Slide L5–5 . Stoica and R. Moses. Prentice Hall. ^ 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 .
Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . . Stoica and R. 1997 Slide L5–6 . Prentice Hall. 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 . Moses. .
1B Y This gives: ^ = (B B). 1997 Slide L5–7 .Nonlinear Least Squares (NLS) Method. Prentice Hall. B ) = kY .1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. B k2 = . con't Then: F = (Y .1B Y ] +Y Y . (B B).1B Y ] B B] .1B Y !=^ ! and ! = arg max Y B (B B ). (B B). B ) (Y . Stoica and R. Y B(B B). Moses.
Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–8 . it is difﬁcult to avoid convergence to local minima.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. Prentice Hall. ! Difﬁcult Implementation: The NLS cost function F is multimodal. Stoica and R.5.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Prentice Hall. f!kgn=1. Moses. 1997 Slide L5–12 . n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P.HighOrder YuleWalker Method. Stoica and R. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. along with L .
. . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. r(L + M . . 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. Stoica and R. Prentice Hall. 1997 Slide L5–13 . r(L + 2) .HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . i) = 0 k > L In matrix form for k 2 6 6 6 4  = L + 1 ::: L + M 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 } : : : r(1) r(L + 1) : : : r(2) b = . . .
diagonal and nonsingular Thus. 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).HighOrder and Overdetermined YW Equations. n) spurious zeros of B (q ) are located strictly inside the unit circle. Lecture notes to accompany Introduction to Spectral Analysis by P.V . Moses.1U Important property: The additional (L . y = . Prentice Hall. Stoica and R. (U V )b = . if the MinimumNorm solution b is used. 1997 Slide L5–14 . The MinimumNorm solution is b = .
. this is the price paid for increased accuracy when L > n. Moses. this approach may give spurious frequency estimates when L > n. Compute ^ = .1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.V ^ . V be deﬁned similarly to U . r . Stoica and R. Prentice Hall. f^ g When the SNR is low. 1997 Slide L5–15 . V from the Let U . Lecture notes to accompany Introduction to Spectral Analysis by P.HOYW Equations. SVD of .
Prentice Hall. Stoica and R.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–1 . Moses.
.i! : : : e..i(m. m + 1) . 1997 Slide L6–2 . 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . Stoica and R. Moses.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 . 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 . Prentice Hall.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t .. 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. 2 R = S G] 6 4 1 3 " . 1997 Slide L6–3 . Prentice Hall. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. n)) Thus. Stoica and R...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.
=0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P.. = = nonsingular 0 n.. 0 n 3 7 5 with C (since rank S . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. 2 . Stoica and R. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . since S G j j 6= 0 4 .Eigendecomposition of R and Its Properties. . Prentice Hall. 1997 . Moses.1) = AC S = A(PA S ( ) = rank(A) = n). Therefore..
A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. Moses.MUSIC Method a (!1) . 1997 Slide L6–5 . Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. . Stoica and R. Prentice Hall.
Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 .1 : : : z. Here.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. 1997 Slide L6–6 . Prentice Hall. Stoica and R.(m. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Moses.1)GG a(z) = 0 that are closest to the unit circle. 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.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. Stoica and R. ) f!kgn=1 can be found from the roots of ^ k aT (z. Moses. 1997 Slide L6–7 . Prentice Hall.
that has minimum Euclidean norm. but only one vector in G (as in Pisarenko). Moses. Uses m n (as in MUSIC). g # Lecture notes to accompany Introduction to Spectral Analysis by P. R( ) Let " 1 = the vector in R(G). Prentice Hall. 1997 Slide L6–8 . and reduce risk of false frequency estimates. with ﬁrst element equal ^ ^ to one.MinNorm Method Goals: Reduce computational burden. Stoica and R.
MinNorm Method. 1997 Slide L6–9 . Stoica and R.1) 1 ^ g " # that are closest to the unit circle. Prentice Hall. Moses. con't Spectral MinNorm f!gn=1 = ^k the locations of the n highest peaks in the “pseudospectrum” 2 1 = a (!) 1 ^ g " # Root MinNorm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. for N 1.1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .1 exists iff = k k2 6= 1 (This holds. 1997 Slide L6–10 . Moses.) ^^ I=S S= Multiplying the above equation by gives: (1 .Let S ^= S g1 .1 g + S S .S(S S ). k k2) = (S S ) ) (S S ). Stoica and R.S =(1 .1 = =(1 . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. g " # MinNorm solution: As: ^ = . k k2) ) ^ = . (S S ). at least.
ESPRIT Method Let A1 = Im. where e.1 0]A A2 = 0 Im. Moses.. let = A1D.i!n S1 = Im. determined as is uniquely = (S1S1). Then S2 = A2C = A1DC = S1 C . Stoica and R. D= 0 e.1 0]S S2 = 0 Im.1DC {z } So has the same eigenvalues as D .1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.1]A Then A2 Also.i!1 0 . Prentice Hall. 1997 Slide L6–11 ..1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0.
ESPRIT Implementation From the eigendecomposition of R. ﬁnd S . Stoica and R. then S1 and S2 . 1997 Slide L6–12 . ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Prentice Hall. Moses. arg(^k ) ^ k ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates Lecture notes to accompany Introduction to Spectral Analysis by P.1S1S2 ^^ ^^ f!kgn=1 = .
Moses.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 .
Moses. 1997 Slide L7–1 .Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.
!+ ] N >1 1 2 is more general than 1. Parametric Approach: Parameterize ﬁnitedimensional model. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Basic Ideas Two main PSD estimation approaches: 1. Prentice Hall. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Nonparametric Approach: Implicitly smooth ! !=. but 2 requires to ensure that the number of estimated values = = ) is < N . 1997 Slide L7–2 . Stoica and R. (!) by a 2.
as well as (b) and (c).Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . 2 ! + 2 ] Note that assumptions (a) and (b). !c @Q Q ! . Stoica and R. Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . 1997 . Prentice Hall. c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . jH ( )j2 ( )d = ' 21 !+ !. are conﬂicting.
i!k = 1 eiN (~. 1 H (!) = hk e ! N ei(~.Filter Bank Interpretation of the Periodogram 1 N y(t)e.!) . 1997 . 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 . k) 2 ! .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .t) t=1 X X = N where ( X 1 k=0 hk y(N .!) . Prentice Hall. Moses. Stoica and R.
Moses. ! 0 −5 −10 −15 dB −20 −25 −30 −35 −40 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Conclusion: The periodogram p ! is a ﬁlter bank PSD estimator with bandpass ﬁlter as given above. !). power calculation from only 1 sample of ﬁlter output.Filter Bank Interpretation of the Periodogram. Stoica and R. and: narrow ﬁlter passband. for N = 50. Prentice Hall. 1997 Slide L7–5 . con't jH (!)j as a function of (~ . ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.
and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Moses. and bandpass ﬁlter each subsample. ~ provides several samples for power calculation. Stoica and R. Use several bandpass ﬁlters on the whole sample. Both approaches compromise bias for variance. more data points for the power calculation stage. Lecture notes to accompany Introduction to Spectral Analysis by P. Each ﬁlter covers a small band centered on ! . 1997 Slide L7–6 .Possible Improvements to the Filter Bank Approach 1. This “multiwindow approach” is similar to the Daniell method. This approach leads to Bartlett and Welch methods. Split the available sample. 2. Prentice Hall.
= h0 h1 : : : hm] .Capon Method Idea: Datadependent bandpass ﬁlter design. Moses.im! ]T hk e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. yF (t) = X m k=0  hk y(t . 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. y(t . k) 2 6 4  .i! : : : e. Prentice Hall. Stoica and R. 1997 Slide L7–7 .
1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R.1a=a R. Moses. Stoica and R. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P.1a(!) which should be the power of y (t) in a passband centered on ! .Capon Method. Prentice Hall. 1997 Slide L7–8 .
Stoica and R. Capon uses one bandpass ﬁlter only. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap.Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. . Moses. bias decreases and variance increases. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L7–9 . Prentice Hall.
1997 Slide L7–10 . s)e.s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .i!k ^ k=.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 . Moses. Stoica and R.i!(t.m m + 1 1 m m ^(t .1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. jkj ^BT (!) = r(k)e. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R.
Due to the loworder AR terms in the average. C ! generally has worse resolution and bias properties than the AR method. 1997 Slide L7–11 . ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.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. Prentice Hall. C ! generally has less statistical variability than the AR PSD estimator. Stoica and R. Moses.
Stoica and R. Moses.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L8–1 .
@. Prentice Hall. @. Moses. Emitted energy: Acoustic. sonar.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ ... antennas. .R . 1997 Slide L8–2 . @. electromagnetic. Stoica and R. mechanical Receiving sensors: Hydrophones. . communications. Sensor 1 @. seismology.@ . @. . v Source n @. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. .. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P. @.@ . seismometers Applications: Radar.
(We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Prentice Hall. 1997 Slide L8–3 .Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. The number of sources n is known. Stoica and R.) Lecture notes to accompany Introduction to Spectral Analysis by P. the array is calibrated. Moses. AOA).
g. k) + ek (t) ( = convolution operator). 1997 Slide L8–4 . Then the output of sensor k is yk (t) = hk (t) x(t . at the “ﬁrst” sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k “noise” at the kth sensor (e. etc. background noise.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Prentice Hall. thermal noise in sensor electronics. Moses..g. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. Lecture notes to accompany Introduction to Spectral Analysis by P. Basic Problem: Estimate the time delays known but x t unknown.. Stoica and R.
!c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. !c k ] hk (t) x(t . Moses. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . k) ' (t) '(t . Stoica and R. k ) ' (t) cos !ct + '(t) .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . Prentice Hall. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . 1997 . k ) ' jHk (!c)j (t)cos !ct + '(t) .
Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. Stoica and R.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e. 1997 Slide L8–6 or .i!ct to obtain (t)ei (t) lowpass highpass Hence. Moses. 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.!ct = (t)f ei (t) + e.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).i!ct ~ = yk(t) cos(!ct) .i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Vector Representation for a Narrowband Source
Let
= m =
a( ) =
2 6 4
the emitter DOA the number of sensors
2 6 4
H1(!c) e;i!c
. .
1
3 7 5
Hm(!c) e;i!c m y1(t) e1(t) . . y(t) = e(t) = . . ym(t) em(t)
3 7 5 2 6 4
3 7 5
Then
y(t) = a( )s(t) + e(t)
NOTE: enters a via both For omnidirectional sensors the on .
()
f kg and fHk(!c)g. fHk(!c)g do not depend
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–7
Analog Processing Block Diagram
Analog processing for each receiving array element
SENSOR DEMODULATION
A/D CONVERSION


Internal Noise External Noise XXXXX ? XX ll z l  Cabling and , Filtering : ,, Incoming Transducer Signal x(t ; k )
Re yk (t)] Lowpass Re yk (t)]  !! ~ Filter A/D cos(!ct) 6 y k (t) Oscillator sin(!ct) ? ~  Im yk (t)] Lowpass Im yk (t)]  !! Filter A/D

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L8–8
Multiple Emitter Case Given n emitters with received signals: DOAs:
fsk(t)gn=1 k
k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
A = a( 1) : : : a( n)] (m n) s(t) = s1(t) : : : sn(t)]T (n 1)
Then, the array equation is:
y(t) = As(t) + e(t)
Use the planar wave assumption to ﬁnd the dependence of k on .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L8–9
Prentice Hall. 1997 Slide L8–10 . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R.Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k .
Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Prentice Hall. !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem.i(m. Moses.i!s : : : e. Stoica and R.
Prentice Hall. Moses. 1997 Slide L9–1 .Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
Stoica and R.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. Prentice Hall. 1997 Slide L9–2 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
i! : : : e. k) = h y(t) k=0 h = ho : : : hm.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t .1] y(t) = u(t) : : : u(t . Lecture notes to accompany Introduction to Spectral Analysis by P. m + 1)]T If u m. Stoica and R. Moses. 1997 Slide L9–3 .i(m.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e. Prentice Hall.
Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Stoica and R. 1997 Slide L9–4 .i!c 2 : : : e. Lecture notes to accompany Introduction to Spectral Analysis by P.i!c m ]T yF (t) = h a( )] s(t)  {z } The corresponding ﬁlter output is ﬁlter transfer function We can select h to enhance or attenuate signals coming from different DOAs. Prentice Hall.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Moses.
 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.@ 0 B 1 C h @@ C B B e. s qq h  ? 1 ?  m.i! C @ h a(!)]u(t) R @ C .Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q. Cu(t) C B . Prentice Hall. Stoica and R. B .. ! hm.1 q . C C B C B C B C B C B A @ . Moses..i! Be 2 B !! B B B B . 1997 Slide L9–5 . B B @ .B . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.i m.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.? B P C B C B B B .1 ?  1 .
h a 0 . con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Here. Moses. 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. 1997 Slide L9–6 .Spatial Filtering. Prentice Hall. Stoica and R.
1997 Slide L9–7 . Stoica and R. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal). Lecture notes to accompany Introduction to Spectral Analysis by P. To locate an emitter in the ﬁeld of view.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. Moses. Prentice Hall. by sweeping the ﬁlter through the DOA range of interest (“goniometer”).
1997 . Prentice Hall. Stoica and R. Basic Ideas Design a ﬁlter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the ﬁlter through the DOA range of interest. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. n o n o The (dominant) peaks of h DOAs of the sources.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 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.
Moses. y t can be considered as impinging on the array from all DOAs. Stoica and R. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. 1997 Slide L9–9 . Prentice Hall.
pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . 1 = 1.Implementation of Beamforming 1 N y(t)y (t) ^ R=N t=1 X The beamforming DOA estimates are: f^kg = the locations of the n largest peaks of a Ra . Moses. Prentice Hall. Stoica and R. 1997 . ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Resolution Threshold: inf j k .
1a( ): Performance: Slightly superior to Beamforming.1a( )=a ( )R.Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. 1997 Slide L9–11 . Stoica and R. Both Beamforming and Capon are nonparametric approaches. Moses. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( ) E jyF (t)j2 = 1=a ( )R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.
Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Moses. almost without modiﬁcation. Stoica and R. for DOA estimation. YW. Lecture notes to accompany Introduction to Spectral Analysis by P. MUSIC. Prentice Hall.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. 1997 Slide L9–12 . MINNORM and ESPRIT methods of frequency estimation can be used.
Stoica and R. this is precisely the form of the NLS method of frequency estimation.1A ]Rg X f kg For N . As(t)k2 min(t)g N f k g fs t=1 X  Minimizing f over s gives f ( s) {z } ^(t) = (A A). Prentice Hall. A(A A).1A ]y(t) = N t=1 ^ = trf I .1A y(t) t = 1 : : : N s X Then 1 N k I . Moses.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I . A(A A).1A ]Rg ^ Thus. A(A A). 1997 Slide L9–13 =1 . Lecture notes to accompany Introduction to Spectral Analysis by P. f ^k g = arg max trf A(A A).Nonlinear Least Squares Method 1 N ky(t) .
Prentice Hall. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–14 .Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search.
n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P.YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ .n 0 V2 g L n M . = U1 U2 ] 0 n n 0 V1 g n . Stoica and R. Prentice Hall.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (.) = n. is . Moses. and the SVD of . 1997 Slide L9–15 .
using 1 N y(t)~ (t) ^ . Moses.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. (L 1). Stoica and R.YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). Prentice Hall. 1997 Slide L9–16 . is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2.
MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–17 . if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. that is. Stoica and R. Prentice Hall.
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. Moses.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Lecture notes to accompany Introduction to Spectral Analysis by P.. 1997 Slide L9–18 ( ) = d sin( )=c . where e. Prentice Hall. Stoica and R.i!c ( 1) 0 . D= 0 e..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 L9–19 .1 A2 = 0 Im.1 . so m m and .1 0]A = .1]A Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.ESPRIT Method. the two subarrays are often the ﬁrst m and last m array elements. 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. Moses.1 A1 = Im.
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