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

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

1 X (k)e. Stoica and R. 1997 .Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .i!k (k) = 1 t=. 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=. Moses.1 y(t)y (t . S (!)d! t=. Prentice Hall.

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

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

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

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

k) hk e.k = unit delay operator: q. Moses.Transfer of PSD Through Linear Systems System Function: where q . Prentice Hall. 1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t . Stoica and R.1 H (q) = X 1 k=0 hk q.1y(t) = y(t . 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.

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

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

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

Stoica and R.1 N . 1997 Slide L2–3 .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=.i!k (k)” by “^(k)”: r r ^(k)e.i!k ^c(!) = k=. Prentice Hall.1 X r(k)e.(N . Moses.

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

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

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

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

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

Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Stoica and R. Moses. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 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 . 1997 Slide L2–9 .

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

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

i!t 2 k and W = e. Prentice Hall. Moses. 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.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e.i 2 . 1997 Slide L2–12 . 1 Direct computation of O N 2 flops ( ) .

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

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

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

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

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

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

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

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

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

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

1997 Slide L3–10 . Prentice Hall. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . 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. for N 1. Moses. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.Daniell Method By a previous result.

for N 1. Stoica and R. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. Moses. Prentice Hall.Daniell Method. 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. ^D(!) ' 1 ^p(!)d! 2 . Then. 1997 Slide L3–11 .

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

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

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

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

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

2 1 a1 = 0 . an 0 3 7 7 7 5 2 6 6 6 4 Writing covariance equation in matrix form for k : : : n: =1 r(0) r(. 1997 Slide L4–5 . . Stoica and 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. Lecture notes to accompany Introduction to Spectral Analysis by P. .AR Signals: Yule-Walker Equations AR: m = 0.1) : : : r(.1) . Prentice Hall. . r(1) r(0) . . . r (. . Moses.n) .

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

y(N . Moses. 1) y(n + 1) y(n) . n) . 1) y(N . 1997 Slide L4–7 . n)]T . . . 3 7 5 Y =4 y(n) y(n . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. . Stoica and R. . ^ = . i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . 1) : : : y (t . . Prentice Hall.1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . Find i=1 aiy(t .(Y Y ).AR Spectral Estimation: LS Method Least Squares Method: e(t) = y(t) + X n 4 = y(t) + y(t) ^ where '(t) = y (t .

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

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

Levinson-Durbin Alg. 2 kn = . n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 1997 . 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. Prentice Hall. Moses. Stoica and R. 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.

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

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

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

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

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

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

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

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

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

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

Stoica and R.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . ] (prevents model ambiguities) f'k g = independent rv's. Prentice Hall. 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 . uniformly distributed on . superimposed in white noise of k 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. 1997 . Moses.

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

Stoica and R. ^ 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 . 1997 Slide L5–5 . Moses. Prentice Hall.

Moses. . . 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. Stoica and R. X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n .Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1 | y(t) . .

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

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

Unwindowed Periodogram as an Approximate NLS Method

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

n=1
X

B B=N
N t=1

BY=

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

(finite DTFT)

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

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

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

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

Slide L5–10

High-Order Yule-Walker Method Recall:

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

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

n

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

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

Let

B (q) = 1 +

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

L

Then B

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

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

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

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

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

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

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

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

2 R = S G] 6 4 1 3 " . n)) Thus.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Moses.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.. 1997 Slide L6–3 .. Stoica and R. Prentice Hall. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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

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

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

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. Then S2 = A2C = A1DC = S1 C . Moses.i!1 0 . 1997 Slide L6–11 . Prentice Hall.1 0]A A2 = 0 Im. where e.ESPRIT Method Let A1 = Im.. D= 0 e.i!n S1 = Im. let = A1D.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). Stoica and R..

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

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

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

!+ ] N >1 1 2 is more general than 1. Parametric Approach: Parameterize finite-dimensional model. Moses. 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.Basic Ideas Two main PSD estimation approaches: 1. by assuming that ! is nearly constant over the bands f ( )g ( ) !. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

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

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

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

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

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

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

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

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

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

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

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

Simplifying Assumptions Far-field sources in the same plane as the array of sensors Non-dispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Moses. Prentice Hall.) Lecture notes to accompany Introduction to Spectral Analysis by P. AOA). The number of sources n is known. Stoica and R. the array is calibrated. 1997 Slide L8–3 .

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

k ) ' jHk (!c)j (t)cos !ct + '(t) . k ) ' (t) cos !ct + '(t) . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . !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. k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Moses. Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . !c k ] hk (t) x(t . Stoica and R.Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . 1997 . k) ' (t) '(t . Prentice Hall.

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.i!ct to obtain (t)ei (t) lowpass highpass Hence. Prentice Hall. by low-pass filtering and sampling the signal yk (t)=2 = yk(t)e.i! + ek (t) | s(t) {z } | Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i!c k + ek (t) where s(t) is the complex envelope of x(t).i 2!ct+ (t)] g n o | {z } | {z } Lowpass filter 2z(t)e. Moses. Stoica and R.i!ct ~ = yk(t) cos(!ct) . Lecture notes to accompany Introduction to Spectral Analysis by P.Complex Signal Representation The noise-free output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e. 1997 Slide L8–6 or .!ct = (t)f ei (t) + e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)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

Stoica and R. 1997 Slide L8–10 . Moses.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 . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.

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

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

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

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

1997 Slide L9–4 .Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array.i!c 2 : : : e. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Moses.

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

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

by sweeping the filter through the DOA range of interest (“goniometer”). Prentice Hall. 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. Moses.Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. 1997 Slide L9–7 . Stoica and R.

n o n o The (dominant) peaks of h DOAs of the sources. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. 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. 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.

y t can be considered as impinging on the array from all DOAs. Stoica and R.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for filter bank methods. Moses. 1997 Slide L9–9 . Prentice Hall. () Filter Design: min (h h) h Solution: subject to h a( ) = 1 h = a( )=a ( )a( ) = a( )=m E jyF (t)j2 = a ( )Ra( )=m2 n o Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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

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

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

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

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

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

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