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
1997
Slide L1–4
. Moses. Stoica and R. Prentice Hall.i!t
exists and is called the DiscreteTime Fourier Transform (DTFT)
Lecture notes to accompany Introduction to Spectral Analysis by P.1 = t=
If:
discretetime deterministic data sequence
X
1
t=.Deterministic Signals
fy(t)g1 .1
y(t)e.1
jy(t)j2 < 1
X
Then:
Y (! ) =
1
t=.
1
X
(k)e.Energy Spectral Density
Parseval's Equality:
jy(t)j2 = 21 .i!k
(k) =
1
t=. Moses. k)
Slide L1–5
Lecture notes to accompany Introduction to Spectral Analysis by P.1
X Z
1
where
4 S (!) = jY (!)j2 = Energy Spectral Density
We can write
S (!) =
where
X
1
k=. 1997
. Prentice Hall. S (!)d! t=. Stoica and R.1
y(t)y (t .
Stoica and R. 1997
Slide L1–6
.1
n
jy(t)j2 = 1
o
But:
E jy(t)j2 < 1
E f g = Expectation over the ensemble of realizations E jy(t)j2
n o
= Average power in y
(t)
PSD = (Average) power spectral density
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Random Signals
Random Signal
random signal probabilistic statements about future variations t current observation time
Here:
X
1
t=. Prentice Hall.
Moses.i!k
(k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t .k) r(0) jr(k)j
Z
Note that
r(k) = 21 . Prentice Hall.1
r(k)e. k)g r(k) = r (. Stoica and R.First Deﬁnition of PSD
(! ) =
where r
X
1
k=. (!)ei!k d!
n o
(Inverse DTFT)
Interpretation:
so
r(0) = E jy(t)j2 = 21 . 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.
Moses. Prentice Hall.i!t
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
t=1
y(t)e.Second Deﬁnition of PSD
1 N y(t)e.i!t (!) = Nlim E N !1 t=1
X > :
8 > <
2
9 > = >
Note that
1 jY (!)j2 (!) = Nlim E N N !1
YN (!) =
X
where
N
is the ﬁnite DTFT of
fy(t)g. 1997
Slide L1–8
.
1=2 1=2]
(!) 0 (t) is real. 1997
Slide L1–9
.
P2:
] () f 2 . we can restrict attention to
!2 .Properties of the PSD
P1:
(!) = (! + 2 ) for all !. Then: (! ) = (. Moses. Stoica and R.! ) Otherwise: (! ) 6= (.! )
P3: If y
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Thus.
Stoica and R.k
= unit delay operator: q. Prentice Hall. 1997
Slide L1–10
.i!k
H (! ) =
X
1
y (!) = jH (!)j2 e(!)
k=0
Lecture notes to accompany Introduction to Spectral Analysis by P.Transfer of PSD Through Linear Systems
System Function: where q .1
H (q) =
X
1
k=0
hk q.1y(t) = y(t . k) hk e. 1)
H (q ) y (t) 2 y (! ) = jH (! )j
e(
e(t) e (! )
Then
!)
y(t) =
X
1
k=0
hk e(t . Moses.
Stoica and R. ]g
Find an estimate of
Two Main Approaches :
Nonparametric: – Derived from the PSD deﬁnitions.The Spectral Estimation Problem
The Problem: From a sample
fy(1) : : : y(N )g
(!): f ^(!) ! 2 . Moses. Prentice Hall. 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. Moses.Periodogram and Correlogram Methods
Lecture 2
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997
Slide L2–1
.
Stoica and R.Periodogram Recall 2nd deﬁnition of (! ):
1 N y(t)e. Prentice Hall.i!t N t=1
Natural estimator
N
2
Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L2–2
.i!t (!) = Nlim E N !1 t=1
X > :
8 > <
2
9 > = >
Given : Drop “
fy(t)gN t=1
lim
” and “E
N !1
f g” to get
X
^p(!) = 1 y(t)e.
1997
Slide L2–3
.1 N .Correlogram
Recall 1st deﬁnition of (! ):
(! ) =
P
X
1
Truncate the “ ” and replace “r
k=. Moses.1 X
r(k)e.(N . Prentice Hall.1)
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k
(k)” by “^(k)”: r
r ^(k)e.i!k
^c(!) =
k=. Stoica and R.
Covariance Estimators (or Sample Covariances)
Standard unbiased estimate:
1 N y(t)y (t . 1997
Slide L2–4
. Moses.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) = ^ (. Stoica and R. k t=k+1
X
Standard biased estimate:
1 N y(t)y (t . Prentice Hall. k) k 0 ^ r(k) = N .
1)
r ^(k)e. Prentice Hall.
N
^p(!) = 1 y(t)e.Relationship Between ^p (! ) and ^c(! )
If: the biased ACS estimator r Then:
^(k) is used in ^c(!).i!k
^p(!) = ^c(!)
Consequence: Both p ! and
^( )
^c(!) can be analyzed simultaneously.1 X
= ^c(!)
k=. Stoica and R.
Slide L2–5
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
. Moses.(N .i!t N t=1
X
2
=
N .
( )g
^ ( ) . ( )]
Lecture notes to accompany Introduction to Spectral Analysis by P. p!
f^( ) . Prentice Hall.
^p(!) and ^c(!) have poor performance. jk =0 there are “so many” that when summed in ! . 1997
Slide L2–6
. Stoica and R. Thus. the PSD error is large.1 are small. r(k) may be large for large jkj ^
Even if the errors r k r k Nj.
Intuitive explanation:
r(k) .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. Moses. even for large N .
1) N .1
n o n o X ! X
N . ) d
Z
Ideally:
WB (!) = Dirac impulse (!). N k=.(N . window
E ^p(!) = 21 .1 jkj r(k)e.i!k = 1. Moses. 1 jkj N
Bartlett.
Slide L2–7
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k=.
n o
0
k 1 . ( )WB (! . Stoica and R.(N .1) 1 = wB (k)r(k)e.i!k r k=. or triangular.Bias Analysis of the Periodogram
E ^p(!) = E ^c(!) = E f^(k)g e. 1997
. Prentice Hall.1 X
wB (k) =
8 < :
=
Thus. jNj
jkj N .
Moses. Stoica and R. WB
1=N . Prentice Hall.Bartlett Window WB (! )
1 sin(!N=2) 2 WB (!) = N sin(!=2)
" #
0
WB (!)=WB (0). for N = 25
−10
−20
dB
−30
−40
−50
−60
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Main lobe 3dB width For “small” N . 1997
.
(!) may differ quite a bit from (!).
Slide L2–8
Lecture notes to accompany Introduction to Spectral Analysis by P.
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 . Prentice Hall.Smearing and Leakage
Main Lobe Width: smearing or smoothing Details in resolvable. Moses. Stoica and R.
^ 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. 1997
Slide L2–9
.
Periodogram Bias Properties
Summary of Periodogram Bias Properties: For “small” N . severe bias As N . Stoica and R. 1997
Slide L2–10
. WB ! !. Moses.
!1 ^( )
( )! ( )
Lecture notes to accompany Introduction to Spectral Analysis by P. so ! is asymptotically unbiased. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Periodogram Variance As N
!1 E ^p(!1) . 1997
Slide L2–11
. (!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. Prentice Hall. (!1) ^p(!2) . Moses. dev = φ(ω) too 
Resolvability properties depend on both bias and variance.
1997
Slide L2–12
. 1
Direct computation of O N 2 ﬂops
( )
.Discrete Fourier Transform (DFT)
Finite DTFT: YN
(!) =
X
N
t=1
y(t)e. Prentice Hall. Moses.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 fY (k)gN=0 from fy(t)gN : t=1 k
Lecture notes to accompany Introduction to Spectral Analysis by P.i!t
2 k and W = e.
1997
. y(t + N )]W tgW tp
Lecture notes to accompany Introduction to Spectral Analysis by P.i2 =N . Prentice Hall.1 for odd k
Assume:
X X X
Let N For k
~ ~ = N=2 and W = W 2 = e. Moses.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 = . 2 = 2p:
Y (2p) =
For k
X
~ N
= 1 3 5 : : : N . 1 = 2p + 1:
X
t=1
~ ~ y(t) + y(t + N )]W tp
Y (2p + 1) =
Each is a N
~ N
~ = N=2point DFT computation. Stoica and R. ~
4 = 0 2 4 : : : N .
Slide L2–13
t=1
~ ~ f y(t) .
Lecture notes to accompany Introduction to Spectral Analysis by P.1 k2k ) ck = 2
ck = 1 N log2 N 2
Thus. Moses.FFT Computation Count
Let ck Then
= number of ﬂops for N = 2k point FFT. Stoica and R. 1997
Slide L2–14
. 2k + 2c ck = 2 k. Prentice Hall.
Zero Padding Append the given data by zeros prior to computing DFT (or FFT):
fy(1) : : : y(N ) 0 : : : 0g

N
{z
}
Goals: Apply a radix2 FFT (so N Finer sampling of
= power of 2)
^(!): 2 k N . Stoica and R.1 N k=0
sampled. Prentice Hall. Moses. N=8 ω
2 k N .1 ! N k=0
^ φ(ω)
continuous curve
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L2–15
.
1997
Slide L3–1
. Prentice Hall. Stoica and R. Moses.Improved PeriodogramBased Methods
Lecture 3
Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. with small weight applied to covariances r k with “large” k .1)
w(k)^(k)e.(M . 1997
Slide L3–2
. Prentice Hall.
^( )
jj
^BT (!) =
M .i!k r
fw(k)g =
Lag Window
w(k)
1
M
M
k
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.BlackmanTukey Method
Basic Idea: Weighted correlogram.1 X k=.
1997
. con't
^BT (!) = 1 ^p( )W (! .BlackmanTukey Method. )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. Moses. Stoica and R.
w(k) is a psd sequence) ^BT (!) 0
(which is desirable)
Then:
TimeBandwidth Product
M . 1997 Slide L3–4
.1) Ne = k=. Moses. Stoica and R. 0
Z  {z }
If W
(!) 0 (.Window Design Considerations Nonnegativeness:
^BT (!) = 1 ^p( ) W (! .1 X
.(M (0) w
Z
w (k )
= equiv time width
1 2 . )d 2 . Prentice Hall. W (!)d! = equiv bandwidth e= W (0)
Ne e = 1
Lecture notes to accompany Introduction to Spectral Analysis by P.
e) is essentially
)
Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). Stoica and R. 1997
Slide L3–5
. con't
e = 1=Ne = 0(1=M )
is the BT resolution threshold.
The energy in the main lobe and in the sidelobes cannot be reduced simultaneously.
Once M is given. Moses. As M increases. once M is given.Window Design. Ne (and hence ﬁxed. Prentice Hall.
)
Choose M as a tradeoff between variance and bias.
Lecture notes to accompany Introduction to Spectral Analysis by P. bias decreases and variance increases.
M
0
= 25
−10
−20
dB
−30
−40
−50
−60
−3
−2
−1 0 1 ANGULAR FREQUENCY
2
3
Rectangular 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.Window Examples Triangular Window. 1997
Slide L3–6
. Stoica and R. Prentice Hall. Moses.
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. Prentice Hall.1 ! =
N j =0 Idea: “Local averaging” of (2J + 1) samples in the
j
(2 + 1)
frequency domain should reduce the variance by about J . 1997
Slide L3–10
.
f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N .
k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. for N
1. Moses. Stoica and R.J
X
Lecture notes to accompany Introduction to Spectral Analysis by P.
Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral
Let
Z
window. 1997
Slide L3–11
. ^D(!) ' 1 ^p(!)d! 2 . Stoica and R. Moses. Prentice Hall. con't
As J increases: Bias increases (more smoothing) Variance decreases (more averaging)
= 2J=N .
Lecture notes to accompany Introduction to Spectral Analysis by P.Daniell Method. Then. for N 1.
1997
. Moses. Welch periodograms
– Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett.
^p(!) by a suitably selected ^(k) using a lag
– Implemented by truncating and weighting r window in c !
^( )
Bartlett.
BT periodogram
– Local smoothing/averaging of spectral window. more general for Welch).
^BT (!) with a rectangular
Slide L3–12
– Implemented by local averaging of periodogram values. Prentice Hall.
^ ()
– Implemented by averaging subsample periodograms.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.
Daniell Periodogram
– Approximate interpretation: spectral window. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Stoica and R. Moses.Parametric Methods for Rational Spectra
Lecture 4
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L4–1
.
i!k (!) is a rational function in e.i!k (!) = P jkj n k e. Prentice Hall. 1997 Slide L4–2
( )
.
P
By Weierstrass theorem.i! .Basic Idea of Parametric Spectral Estimation
Observed Data Assumed functional form of φ(ω. Moses.θ) Estimate parameters in φ(ω. Note. however: choice of m and n is not simple some PSDs are not continuous
Lecture notes to accompany Introduction to Spectral Analysis by P.θ) φ(ω)
possibly revise assumption on φ(ω)
Rational Spectra
jkj m k e. provided m and n are chosen sufﬁciently large. ! can approximate arbitrarily well any continuous PSD. Stoica and R.θ)
^ θ
Estimate PSD
^ ^ =φ(ω.
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.AR.. e.n B (z) = 1 + b1z.1 + + bmz. Prentice Hall. MA. Moses.1 + + anz. and ARMA Models
By Spectral Factorization theorem.m and. Stoica and R. 1997
.g. a rational factored as
(!) can be
B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.
k)g
Lecture notes to accompany Introduction to Spectral Analysis by P.ARMA Covariance Structure
ARMA signal model:
y(t)+
X
n
i=1 n
aiy(t . i) =
X
m
j =0
bj e(t . j )
(b0 = 1)
Multiply by y
(t . Stoica and R. i) =
m
j =0
bj E fe(t . Prentice Hall. k) and take E f g to give:
X
r (k ) +
X
2 m bj hj . 1997
Slide L4–4
. Moses.k = j =0 = 0 for k > m B (q) = 1 h q.k (h = 1) where H (q ) = A(q ) 0 k k=0
X X
i=1
air(k . j )y (t .
1) : : : r(. r(1) r(0) . Moses. .1) . . an 0
3 7 7 7 5 2 6 6 6 4
Writing covariance equation in matrix form for k : : : n:
=1 r(0) r(. r(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
. Stoica and R. .
Lecture notes to accompany Introduction to Spectral Analysis by P.n) . Prentice Hall. r (. .
2 1 a1 = 0 .AR Signals: YuleWalker Equations
AR: m
= 0. . .
r ^(1) r(0) ^ ^.1 = 0 a .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. . r . Prentice Hall.1) : : : ^(. . ^(. Moses. . 1997
Slide L4–6
.1) . Stoica and R. . . .AR Spectral Estimation: YW Method
YuleWalker Method: Replace r
2 6 6 6 4
(k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(.
1(Y y) where
3 7 5 2 6
t=n+1
je(t)j2
y(1) y(2) y(N .
y(N . . .
3 7 5
Y
=4
y(n) y(n . Moses.AR Spectral Estimation: LS Method
Least Squares Method:
e(t) = y(t) +
X
n
4 = y(t) + y(t) ^ where '(t) = y (t . 1) : : : y (t . n)
.
Find
i=1
aiy(t . . 1) y(n + 1) y(n)
.(Y Y ). 1) y(N . 1997
Slide L4–7
. n)]T . Prentice Hall. . . Stoica and R. . 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 )
.
^ = .
. ..
.
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)... Stoica and R.
.
Direct Solution: For one given value of n: For k
Rn+1
1
0
= 0 .. . orderrecursive solution to YW equations
2 6 6 6 4 
0 .1
. Moses.1 1 .
n
.
{z
. 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.0 .Levinson–Durbin Algorithm
Fast. Prentice Hall.. 1997
Slide L4–8
.n . .
Prentice Hall.
2
4
Rn+1
n+1
r ~n
n+1 r ~n
0
3 5
2
r ~n =
6 4
. Stoica and R. . con't
Relevant Properties of R:
Rx = y $ Rx = y.LevinsonDurbin Alg. Moses.
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. where x = xn : : : x1]T ~ ~ ~
Nested structure
2
Rn+2 =
Thus. 1997
Slide L4–9
.
2 kn = . 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. 1997
.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. n = n )
n+1 =
0 + kn 2+1 = n + kn n = n(1 . Moses.LevinsonDurbin Alg. 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.
m
X
Lecture notes to accompany Introduction to Spectral Analysis by P.i!k (!) = jB(!)j k=.
r(k) = 0 for jkj > m
and
2 2 = m r(k)e. m)
Thus. Moses.MA Signals
MA: n
=0 y(t) = B (q)e(t) = e(t) + b1e(t . Prentice Hall. Stoica and R. 1997
Slide L4–11
. 1) +
+ bme(t .
Insert sample covariances
(! ) =
This is length
X
m
f^(k)g in: r
r(k)e.i!k
k=. Moses.m
^BT (!) with a rectangular lag window of 2m + 1. Prentice Hall. 1997 Slide L4–12
. with AR model order n .MA Spectrum Estimation Two main ways to Estimate (! ): 1. Estimate
fbkg and 2 and insert them in (!) = jB(!)j2 2
nonlinear estimation problem
^(!) is guaranteed to be 0
2.
Lecture notes to accompany Introduction to Spectral Analysis by P. ^(!) is not guaranteed to be 0 =0
Both methods are special cases of ARMA methods described below. Stoica and R.
k)] g = E f A(q)y(t)] A(q)y(t . Moses. 1997
Slide L4–13
.i!k k (!) = 2 A(!) jA(!)j2
P
where
k
= E f B(q)e(t)] B(q)e(t . Prentice Hall.
A(q)y(t) = B (q)e(t) B (!) 2 = m=. j )
Lecture notes to accompany Introduction to Spectral Analysis by P. k)] g =
X
n
X
n
j =0 p=0
aj ap r(k + p . Stoica and R.ARMA Signals
ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).m k e.
ARMA Spectrum Estimation
Two Methods:
2g in (!) = 2 B(!) 2 1. Estimate
fai r(k)g in (!) =
P
m . Moses. 1997 Slide L4–14
.m k e
jA(!)j2
linear estimation problem (the Modiﬁed YuleWalker method). Estimate fai bj A(!)
nonlinear estimation problem. Stoica and R.
^(!) is not guaranteed to be 0
Lecture notes to accompany Introduction to Spectral Analysis by P. can use an approximate linear twostage least squares method
^(!) is guaranteed to be 0
2.i!k k=. Prentice Hall.
K )
1a) Estimate the coefﬁcients modelling techniques. K t=K +1
X
Lecture notes to accompany Introduction to Spectral Analysis by P. K )
^2 =
N 1 j^(t)j2 e N . 1) + + K y(t . Stoica and R.
f kgK=1 by using AR k
1b) Estimate the noise sequence
^(t) = y(t) + ^1y(t . 1) + 2y(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 . Prentice Hall. 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. 1997
Slide L4–15
. for some large K e(t) ' y(t) + 1y(t . Moses.
e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares
Step 2: Replace techniques. Moses. 1997
Slide L4–16
. ^(t) ' . Stoica and R. Note that the ai and bj coefﬁcients enter linearly in the above equation:
y(t) . y(t .TwoStage LeastSquares Method. 1) : : : ^(t . m)] e e = a1 : : : an b1 : : : bm]T
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. con't
fe(t)g by ^(t) in the ARMA equation. n) e ^(t . 1) : : : .y(t .
least
f^ g
Note: For narrowband ARMA signals. .
: : : r(m . the accuracy of ai is often better for M > n
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. n + M )
. ..
#
2
=
r(m + M . fast Levinsontype algorithms exist for obtaining ai . Moses.6 4
Replace
fr(k)g by f^(k)g and solve for faig. Prentice Hall. . 1) : : : r(m . i) = 0 k > m
3 7 5 "
r(m) r(m + 1)
.. . . r f^ g
. n + 2)
. n + 1) r(m . .
= m + 1 ::: m + M
a1 an
. 5 . . If M > n overdetermined squares solution for ai . 1997
Slide L4–17
.Modiﬁed YuleWalker Method
ARMA Covariance Equation:
r(k) +
2 6 4
X
n
In matrix form for k
i=1
air(k .
=
f^ g
Y W system of equations. r(m + M )
r(m + 1) r(m + 2)
3 7
If M n. .
Stoica and R.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.
Stoica and R. 1997
Slide L5–1
.Parametric Methods for Line Spectra — Part 1
Lecture 5
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
!1
!2
!3

An “Ideal” line spectrum
Lecture notes to accompany Introduction to Spectral Analysis by P. Examples: communications radar. Prentice Hall. 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
.Line Spectra Many applications have signals with (near) sinusoidal components. 1997
. Moses. Stoica and R.
Prentice Hall. Stoica and R.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . ]
(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.
]
(prevents model ambiguities)
f'k g = independent rv's. superimposed in white noise of k 2. 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. uniformly distributed on . 1997
.
for p 6= j =2 .
r(k) = E fy(t)y (t .i'j o = 1. e
E xp(t)xj (t . Moses.i'j o e
Z
n
1 i' d' 2 = 0. k) = 2 ei!pk p j p
n o
Hence. 1997
.Covariance Function and PSD
Note that:
E E
n
i'p e. k)g = n=1 2ei!pk + 2 k 0 p p
P
and
(! ) = 2
X
n
p=1
2 (! . for p = j e i'p e. Stoica and R.i'j o = E nei'p o E ne. Prentice Hall. !p) + 2 p
Slide L5–4
Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R.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 . 1997
Slide L5–5
. Prentice Hall.
^ ei!k t + residuals k
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Nonlinear Least Squares (NLS) Method
min' g f!
Let:
X
N
k k k t=1 
y(t) . Moses. . . 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 . 1997
Slide L5–6
. Stoica and R.
B ) = kY .Nonlinear Least Squares (NLS) Method. Moses.1B Y !=^ !
and
! = arg max Y B (B B ). Stoica and R.1B Y ] B B] . Y B(B B). 1997
Slide L5–7
. Prentice Hall. B ) (Y .1B Y ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. (B B).1B Y ] +Y Y . con't
Then:
F = (Y . (B B). B k2 = .1B Y
This gives:
^ = (B B).
5.NLS Properties
Excellent Accuracy:
6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k
q
1)
Then
var
(^k ) 10. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. it is difﬁcult to avoid convergence to local minima. !
Difﬁcult Implementation: The NLS cost function F is multimodal. 1997
Slide L5–8
. Moses.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
con't
Estimation Procedure: Estimate
f^igL=1 using an ARMA MYW technique b i
^( )
Roots of B q give “spurious” roots.HighOrder YuleWalker Method. Moses.
f!kgn=1. Prentice Hall. 1997
Slide L5–12
. n ^ k
Lecture notes to accompany Introduction to Spectral Analysis by P. along with L . Stoica and R.
1997
Slide L5–13
. r(L + 2) . . Moses. Stoica and R. Prentice Hall. r(L + M .
Lecture notes to accompany Introduction to Spectral Analysis by P. . . . .HighOrder and Overdetermined YW Equations
ARMA covariance:
r (k ) +
X
L
i=1
bir(k . 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. 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 = .
The MinimumNorm solution is
b = . y = . 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. n) spurious zeros of B (q ) are located strictly inside the unit circle.1U Important property: The additional (L . Prentice Hall.V . if the MinimumNorm solution b is used.
(U V )b = .HighOrder and Overdetermined YW Equations. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. diagonal and nonsingular
Thus. 1997 Slide L5–14
.
HOYW Equations. Prentice Hall. Moses.
f^ g
When the SNR is low. 1997
Slide L5–15
. V be deﬁned similarly to U .
Lecture notes to accompany Introduction to Spectral Analysis by P. Practical Solution
Let
^= ^ ^ ^ ^
but made from
f^(k)g instead of fr(k)g.1U ^ ^ ^ b ^(q) that
Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. this approach may give spurious frequency estimates when L > n. r
. SVD of . this is the price paid for increased accuracy when L > n. Compute
^ = . V from the
Let U . .V ^ . Stoica and R.
Stoica and R.Parametric Methods for Line Spectra — Part 2
Lecture 6
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997
Slide L6–1
.
Moses. . Stoica and R. 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 .
= Ax(t) + ~(t) ~ e
where
x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . m + 1)
..i! : : : e.i(m.
0
2 n
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P.1)! ]T A = a(!1) : : : a(!n)] (m n)
rank
Note: Deﬁne
(A) = n
y(t) y(t . Prentice Hall.The Covariance Matrix Equation Let:
a(!) = 1 e.
1997
Slide L6–3
.
2
R = S G]
6 4
1
3
"
. Stoica and R.n] (m (m .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm.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. Moses.
m
7 5
S G
#
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.. n))
Thus..
Therefore. = = nonsingular 0 n.1) = AC S = A(PA S
( ) = rank(A) = n). Moses. 2
2 6 4 3 7 5 2 6 4
Note:
RS = APA S + 2S = S
1
0
. Stoica and R. since S G
j j 6= 0
4 . con't As rank
(APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.
0
n
3 7 5
with C (since rank S .Eigendecomposition of R and Its Properties. 2 .. .. 1997
. =0 A G=0
Slide L6–4
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall..
f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. Moses. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k
2 6 4 3 7 5
Thus. Prentice Hall. Stoica and R. . 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.MUSIC Method
a (!1) .
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. a (!)G ^
Root MUSIC Method:
]
f!kgn=1 = the angular positions of the n roots of: ^ k
^^ aT (z.1)GG a(z) = 0
that are closest to the unit circle.1 : : : z. 1997 Slide L6–6
. Stoica and R. Here.
a(z) = 1 z.(m.1)]T
Note: Both variants of MUSIC may produce spurious frequency estimates.Spectral and Root MUSIC Methods Spectral MUSIC Method:
f!kgn=1 = the locations of the n highest peaks of the ^ k
“pseudospectrum” function:
1 ^G a(!) ! 2 .
1997
Slide L6–7
.Pisarenko Method
Pisarenko is a special case of MUSIC with m (the minimum possible value). Stoica and R. ) f!kgn=1 can be found from the roots of ^ k aT (z. Moses. Prentice Hall.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. If:
=n+1
m=n+1
Then:
^ g G = ^1.
that has minimum Euclidean norm.
R( )
Let
"
1 = the vector in R(G). 1997
Slide L6–8
. g
#
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Uses m n (as in MUSIC). Stoica and R. but only one vector in G (as in Pisarenko). and reduce risk of false frequency estimates.MinNorm Method
Goals: Reduce computational burden. with ﬁrst element equal ^ ^ to one. Prentice Hall.
Moses. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P.MinNorm Method. Stoica and R. con't
Spectral MinNorm
f!gn=1 = ^k
the locations of the n highest peaks in the “pseudospectrum”
2 1 = a (!) 1 ^ g
" #
Root MinNorm
f!gn=1 = ^k
the angular positions of the n roots of the polynomial
aT (z.1) 1 ^ g
"
#
that are closest to the unit circle. 1997
Slide L6–9
.
1 g
+ S S . at least. g
" #
MinNorm solution: As:
^ = . 1997 Slide L6–10
.) ^^ I=S S=
Multiplying the above equation by gives:
(1 . k k2) = (S S ) ) (S S ). Prentice Hall. Stoica and R. k k2) g
Lecture notes to accompany Introduction to Spectral Analysis by P. (S S ).Let S
^= S g1 .S(S S ). k k2) ) ^ = .1 = =(1 .1 exists iff = k k2 6= 1 (This holds.S =(1 . for N 1.1 gm
" # " #
MinNorm Method: Determining g ^
Then:
1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . Moses.
Stoica and R.1 0]S S2 = 0 Im. D= 0 e. Then S2 = A2C = A1DC = S1 C .1S1S2
Lecture notes to accompany Introduction to Spectral Analysis by P.ESPRIT Method
Let
A1 = Im.1 0]A A2 = 0 Im.i!n S1 = Im. Moses.1DC
{z
}
So has the same eigenvalues as D . Prentice Hall.. let
= A1D.. 1997 Slide L6–11
.i!1 0 .1]S
2 6 4 
3 7 5
Recall S
= AC with jC j 6= 0.1]A
Then A2
Also. determined as
is uniquely
= (S1S1). where e.
then S1 and S2 .ESPRIT Implementation From the eigendecomposition of R. Stoica and R.
^
^
^
^
The frequency estimates are found by:
where
f^kgn=1 are the eigenvalues of k ^ = (S1S1). ﬁnd S . 1997
Slide L6–12
. Prentice Hall. arg(^k ) ^ k
ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or Min–Norm) accurate frequency estimates
Lecture notes to accompany Introduction to Spectral Analysis by P.1S1S2 ^^ ^^
f!kgn=1 = . Moses.
Moses. Prentice Hall. 1997
. Stoica and R.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.
Prentice Hall. Moses. Stoica and R.Filter Bank Methods
Lecture 7
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
Slide L7–1
.
Nonparametric Approach: Implicitly smooth ! !=. (
=2 2 =1
N > 1 leads to the variability / resolution compromise
associated with all nonparametric methods. but 2 requires
to ensure that the number of estimated values = = ) is < N . 1997 Slide L7–2
. Moses.Basic Ideas
Two main PSD estimation approaches: 1.
Lecture notes to accompany Introduction to Spectral Analysis by P.
!+ ] N >1
1
2 is more general than 1. Prentice Hall. Stoica and R. Parametric Approach: Parameterize ﬁnitedimensional model.
(!) by a
2. by assuming that ! is nearly constant over the bands
f ( )g
( )
!.
1997
. Stoica and R.
Z
6 ~ (! ) @ !
(b)
Z
!c
^FB (!) ' 1 2
(a)
. 2 ! + 2 ]
Note that assumptions (a) and (b). as well as (b) and (c).Filter Bank Approach to Spectral Estimation
H 6 (!)
1
!c
!
Filtered Signal
y (t)
.
!c
@Q Q !
. are conﬂicting.with varying !
Power Calculation
Bandpass Filter c and xed bandwidth

Power in the band

Division by lter bandwidth
^(!c )

6
y
y
(! )
.
c ( )d = (') (!)
(a) consistent power calculation
(b) Ideal passband ﬁlter with bandwidth
(c)
( ) constant on 2 ! . Prentice Hall.
Slide L7–3
Lecture notes to accompany Introduction to Spectral Analysis by P.
jH ( )j2 ( )d = ' 21
!+ !. Moses.
k)
2
! . 1 k=0
X
1 ei!k k = 0 : : : N .t) t=1
X X
= N
where
(
X
1
k=0
hk y(N .!) . 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. Stoica and R.!) . Prentice Hall.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N .Filter Bank Interpretation of the Periodogram
1 N y(t)e. Moses.i!k = 1 eiN (~. 1 H (!) = hk e ! N ei(~.
Stoica and R. Moses. con't
jH (!)j as a function of (~ . for N = 50.
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P. !
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. 1997
Slide L7–5
. and: narrow ﬁlter passband.Filter Bank Interpretation of the Periodogram. power calculation from only 1 sample of ﬁlter output. !). Prentice Hall.
2. Stoica and R. Prentice Hall.
Both approaches compromise bias for variance. This approach leads to Bartlett and Welch methods. 1997
Slide L7–6
. This “multiwindow approach” is similar to the Daniell method.Possible Improvements to the Filter Bank Approach 1. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. Split the available sample.
~
provides several samples for power calculation. and bandpass ﬁlter each subsample. and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ﬁltering. Use several bandpass ﬁlters on the whole sample. more data points for the power calculation stage. Each ﬁlter covers a small band centered on ! .
Stoica and R. Moses. = h0 h1 : : : hm] .im! ]T
hk e. k)
2 6 4 
. y(t .Capon Method
Idea: Datadependent bandpass ﬁlter design.i! : : : e. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y
{z } 7 5 {z } n o
y(t)
3
H (! ) =
where a
X
m
(! ) = 1
k=0 e.i!k = h a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P.
yF (t) =
X
m
k=0

hk y(t . 1997
Slide L7–7
. Prentice Hall.
n
The Bandwidth
1 ' m+1 = (ﬁlter 1 length)
Conclusion Estimate PSD as:
+1 ^(!) = m^.1a=a R. Prentice Hall.1a(!) which should be the power of y (t) in a passband centered on ! . con't Capon Filter Design Problem:
min(h Rh) h
Solution:
subject to h
a(!) = 1
h0 = R.1a
o
The power at the ﬁlter output is:
E jyF (t)j2 = h0Rh0 = 1=a (!)R.Capon Method.1 a (!)R a(!)
with
N 1 ^ y(t)~ (t) ~ y R = N . Moses. 1997
Slide L7–8
.m t=m+1
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
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. 1997
Slide L7–9
.
Lecture notes to accompany Introduction to Spectral Analysis by P. bias decreases and variance increases. Moses.
Capon uses one bandpass ﬁlter only. Stoica and R.
. Prentice Hall.
s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i . Stoica and R. j )] ^ r = m+1
X X X
Then we have
^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. 1997
Slide L7–10
.Relation between Capon and BlackmanTukey Methods
Consider
^BT (!) with Bartlett window: m m + 1 .m m + 1 1 m m ^(t .i!k ^ k=.1a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. s)e.i!(t. Moses. jkj ^BT (!) = r(k)e.
C ! generally has less statistical variability than the AR PSD estimator.
AR Then
^C (!) =
1 1 m 1= ^AR(!) m + 1 k=0 k
X
Consequences: Due to the average over k. 1997
Slide L7–11
. Moses. Due to the loworder AR terms in the average.
^( )
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. C ! generally has worse resolution and bias properties than the AR method. Prentice Hall.Relation between Capon and AR Methods Let
2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t).
Spatial Methods — Part 1
Lecture 8
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. 1997
Slide L8–1
. Stoica and R.
. .@ . seismology. electromagnetic. . 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.R . @.
Sensor 1
@. @. communications. Emitted energy: Acoustic.@ . Stoica and R. sonar.
Sensor 2 Sensor
m
Problem: Detect and locate n radiating sources by using an array of m passive sensors.
v Source n
@. . seismometers Applications: Radar. @. Prentice Hall.The Spatial Spectral Estimation Problem
Source 1
vSource 2
B B B B N B cccc ccc c c c c c
v
@ . mechanical Receiving sensors: Hydrophones.. 1997 Slide L8–2
. .. @. @. antennas. Moses.
(We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. 1997
Slide L8–3
. the array is calibrated. AOA).)
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. The number of sources n is known. Stoica and R.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.
Prentice Hall..
()
f kg with hk(t)
This is a timedelay estimation problem in the unknown input case. Moses. etc. 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.. thermal noise in sensor electronics.g. background noise.
Basic Problem: Estimate the time delays known but x t unknown. Then the output of sensor k is yk (t) = hk (t) x(t .)
hk (t) = ek (t) =
Note:
t 2 R (continuoustime signals). 1997 Slide L8–4
.Array Model — Single Emitter Case
x(t) =
k=
the signal waveform as measured at a reference point (e. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.g. k) + ek (t) ( = convolution operator).
k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . !c k + arg Hk (!c)] + ek(t)
Slide L8–5
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. !c k + argfHk (!c)g]
where Hk function
(!) = Ffhk(t)g is the kth sensor's transfer
Hence. the kth sensor output is
yk (t) = jHk (!c)j (t) cos !ct + '(t) . Then:
x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k ) ' jHk (!c)j (t)cos !ct + '(t) . k ) ' (t) cos !ct + '(t) .Narrowband Assumption
Assume: The emitted signals are narrowband with known carrier frequency !c . k) ' (t) '(t . 1997
. Stoica and R. !c k ] hk (t) x(t .
i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i!ct ~ = yk(t) cos(!ct) . Moses.i! + ek (t)

s(t)
{z
} 
Hk (!c)
{z
k
c
}
c k
yk (t) = s(t)Hk (!c) e.i 2!ct+ (t)] g
n o  {z }  {z }
Lowpass ﬁlter
2z(t)e.Complex Signal Representation The noisefree output has the form:
z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. Stoica and R. by lowpass ﬁltering and sampling the signal
yk (t)=2 = yk(t)e.i!ct to obtain (t)ei (t)
lowpass
highpass
Hence.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L8–6
or
.i!c k + ek (t) where s(t) is the complex envelope of x(t).!ct = (t)f ei (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.
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
1) c
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.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
. Stoica and R.
Moses.
!s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2
As
=2
d
=2 is a spatial Shannon sampling theorem.1)!s ]T By direct analogy with the vector a(! ) made from
uniform samples of a sinusoidal time series. 1997
.i!s : : : e. Prentice Hall. Stoica and R.
Slide L8–11
d = spatial sampling period
Lecture notes to accompany Introduction to Spectral Analysis by P.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(m.
Stoica and R. 1997
Slide L9–1
. Prentice Hall.Spatial Methods — Part 2
Lecture 9
Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.
Prentice Hall.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. 1997
Slide L9–2
. Moses. Stoica and R.
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997
Slide L9–3
. Moses.i(m.1] y(t) = u(t) : : : u(t .1 X
(t) = ei!t then yF (t) = h a(!)] u(t)
 {z }
ﬁlter transfer function
a(!) = 1 e. k) = h y(t) k=0 h = ho : : : hm. Prentice Hall. Stoica and R.Analogy between Temporal and Spatial Filtering
Temporal FIR Filter:
yF (t) = hk u(t .
Lecture notes to accompany Introduction to Spectral Analysis by P.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! . m + 1)]T
If u
m.i! : : : e.
Prentice Hall.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.
Spatial FIR Filter output:
yF (t) =
X
m
k=1
hk yk (t) = h y(t)
Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is:
() y(t) = a( )s(t) a( ) = 1 e.i!c 2 : : : e. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L9–4
.Analogy between Temporal and Spatial Filtering Spatial Filter:
fyk(t)gm=1 = k
the “spatial samples” obtained with a sensor array.
B . 1997 Slide L9–5
.? B P C B C B B B . Prentice Hall. B B @ .i! m  e {z a( ) aa m!
point
( )
qq
( )
1 C C C C C Cs(t) C C C C C A }

? @ ? @ @
h

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

?
1
?

m.
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
. con't
Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA.Spatial Filtering. Here. Stoica and R. h a 0 . Prentice Hall. Moses.
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. Prentice Hall. by sweeping the ﬁlter through the DOA range of interest (“goniometer”).Spatial Filtering Uses
Spatial Filters can be used To pass the signal of interest only. Moses. 1997
Slide L9–7
.
( )Rh( ) give the
Slide L9–8
Lecture notes to accompany Introduction to Spectral Analysis by P. 1997
.Nonparametric Spatial Methods
A Filter Bank Approach to DOA estimation. 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.
n o n
o
The (dominant) peaks of h DOAs of the sources. Moses. 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.Beamforming Method
Assume the array output is spatially white:
Then:
R = E fy(t)y (t)g = I E jyF (t)j2 = h h
n o
Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. Prentice Hall. 1997
Slide L9–9
. Stoica and R. y t can be considered as impinging on the array from all DOAs.
()
Filter Design:
min (h h) h
Solution:
subject to
h a( ) = 1
h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2
n o
Lecture notes to accompany Introduction to Spectral Analysis by P.
but
Slide L9–10
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. 1997
.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 BlackmanTukey periodogram.
1
= 1. Resolution Threshold:
inf j k . pj > =
wavelength array length array beamwidth
Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . Prentice Hall.
1a( ) E jyF (t)j2 = 1=a ( )R. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. Both Beamforming and Capon are nonparametric approaches. Moses.1a( ):
Performance: Slightly superior to Beamforming. Stoica and R.1a( )=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them). 1997 Slide L9–11
.Capon Method Filter design:
min(h Rh) subject to h a( ) = 1 h
Solution:
h = R.1a( )
n o
Implementation:
f^kg =
the locations of the n largest peaks of
^ 1=a ( )R.
Then:
R = E fy(t)y (t)g = APA + 2I
Thus: The NLS. YW.
Lecture notes to accompany Introduction to Spectral Analysis by P.Parametric Methods Assumptions: The array is described by the equation:
y(t) = As(t) + e(t)
The noise is spatially white and has the same power in all sensors:
E fe(t)e (t)g = 2I
The signal covariance matrix
P = E fs(t)s (t)g
is nonsingular. Moses. MINNORM and ESPRIT methods of frequency estimation can be used. MUSIC. Prentice Hall. for DOA estimation. 1997 Slide L9–12
. almost without modiﬁcation. Stoica and R.
A(A A). f ^k g = arg max trf A(A A).1A ]y(t) = N t=1 ^ = trf I . Prentice Hall.1A y(t) t = 1 : : : N s
X
Then
1 N k I . Stoica and R. 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).
Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares Method
1 N ky(t) . A(A A). Moses. this is precisely the form of the NLS method of frequency estimation. A(A A). 1997 Slide L9–13
=1
.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]Rg ^ Thus.1A ]Rg
X
f kg
For N .
Nonlinear Least Squares Method
Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. 1997
Slide L9–14
. Moses.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
= y
(M L)
Also assume:
M > n L > n ( ) m = M + L > 2n)
rank
~ (A) = rank(A) = n
" # " #
(. Moses. and the SVD of . is . = U1 U2 ] 0 n n 0 V1 g n .n 0 V2 g L n M . Prentice Hall. 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. 1997
Slide L9–15
.) = n.YuleWalker Method
e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A
" # " # "
#
Assume: Then:
E fe(t)~ (t)g = 0 e
4 E fy(t)~ (t)g = AP A ~ .
1997
Slide L9–16
. (L 1). using 1 N y(t)~ (t) ^ . Stoica and R. Moses.YWMUSIC DOA Estimator
f^kg =
where
the n largest peaks of
1=~ ( )V2V2 ~( ) a ^^a
~( ). is the “array transfer vector” for y(t) a ~
at DOA
^ V2 is deﬁned similarly to V2. Prentice Hall.=N y t=1
X
Properties: Computational complexity: medium Performance: satisfactory if m
2n
Main advantages: – weak assumption on e t – the subarray A need not be calibrated
f ( )g
Lecture notes to accompany Introduction to Spectral Analysis by P.
1997
Slide L9–17
. if rank
(P ) = rank(E fs(t)s (t)g) < n
Modiﬁcations that apply in the coherent case exist. Stoica and R. 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. Prentice Hall. Moses.MUSIC and MinNorm Methods
Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. that is.
Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R. 1997 Slide L9–18
( ) = d sin( )=c
..
Lecture notes to accompany Introduction to Spectral Analysis by P.. D= 0 e.i!c ( 1) 0 .i!c ( n) ( ) = the time delay from subarray 1 to
2 6 4
3 7 5
subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Prentice Hall. Moses. Let
m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2)
Then
A2 = A1D. where e.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.
Prentice Hall.1 0]A
= . 1997
Slide L9–19
. Stoica and R. the two subarrays are often the ﬁrst m and last m array elements. con't ESPRIT Scenario
source θ
known
subarray 1
displac ement v
ector
subarray 2
Properties: Requires special array geometry Computationally efﬁcient
No risk of spurious DOA estimates
Does not require array calibration Note: For a ULA.1]A
Lecture notes to accompany Introduction to Spectral Analysis by P.ESPRIT Method.1 A2 = 0 Im.1 A1 = Im.1
. so m m and
. Moses.