Basic Definitions and The Spectral Estimation Problem

Lecture 1

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

Slide L1–1

Informal Definition of Spectral Estimation

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

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

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

Slide L1–2

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

1997 . Moses. 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 . (!) may differ quite a bit from (!). Prentice Hall. WB 1=N . 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).

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

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

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

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

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

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

Stoica and R.1 N k=0 sampled.1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. N=8 ω 2 k N . 1997 Slide L2–15 . Moses. 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 radix-2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N .

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

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

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

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

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

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

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

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

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

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

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

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

MA.. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.1 + + anz. Prentice Hall. A(! ) = A(z )jz =ei! Signal Modeling Interpretation: e(t) e (! ) = 2 - B (q) A(q) white noise B (!) 2 2 A(!) ltered white noise y(t)y (! ) = ARMA: AR: MA: A(q)y(t) = B (q)e(t) A(q)y(t) = e(t) y(t) = B (q)e(t) Slide L4–3 Lecture notes to accompany Introduction to Spectral Analysis by P.m and.AR.1 + + bmz. Moses. e. Stoica and R. and ARMA Models By Spectral Factorization theorem.n B (z) = 1 + b1z.g. 1997 .

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

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

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

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

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

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

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

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

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

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

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

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

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

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. 1997 Slide L4–18 .

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

Examples: communications radar. Prentice Hall.Line Spectra Many applications have signals with (near) sinusoidal components. Moses. !1 !2 !3 - An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . 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 . Stoica and R.

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

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

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

. . 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) . Prentice Hall. 1997 Slide L5–6 . 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. Moses.

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

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

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

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

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

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

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

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

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

. n)) Thus. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 1997 Slide L6–3 .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Prentice Hall. 2 R = S G] 6 4 1 3 " .Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm.n] (m (m ..

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

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

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

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

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

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

(S S ).Let S ^= S g1 .1 = =(1 .1 gm " # " # Min-Norm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= . at least. k k2) ) ^ = .S =(1 . 1997 Slide L6–10 . Prentice Hall. g " # Min-Norm solution: As: ^ = . for N 1.1 exists iff = k k2 6= 1 (This holds.) ^^ I=S S= Multiplying the above equation by gives: (1 . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P.1 g + S S . Stoica and R. Moses. k k2) = (S S ) ) (S S ).S(S S ).

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

. Stoica and R.) hk (t) = ek (t) = Note: t 2 R (continuous-time signals). 1997 Slide L8–4 . 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. 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 .g.g. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. k) + ek (t) ( = convolution operator)..Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. etc. Prentice Hall. thermal noise in sensor electronics. () f kg with hk(t) This is a time-delay estimation problem in the unknown input case.

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

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

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

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

1

3 7 5

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

3 7 5

Then

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

()

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

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

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

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

-

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

Slide L8–8

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

fsk(t)gn=1 k

k

Linear sensors

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

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

Let

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

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

Stoica and R. Moses. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. 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 .

Prentice Hall.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. 1997 .i(m. Moses. Stoica and R. !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!s : : : e. 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.

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

Stoica and R. 1997 Slide L9–2 . Moses. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P.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.

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

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

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

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

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

Basic Ideas Design a filter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the filter through the DOA range of interest. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Prentice Hall.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. n o n o The (dominant) peaks of h DOAs of the sources. 1997 . Stoica and R.

Stoica and R. 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. y t can be considered as impinging on the array from all DOAs.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.

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. 1997 . Moses. 1 = 1. Stoica and R. ( )^ ( ) This is the direct spatial analog of the Blackman-Tukey periodogram. Resolution Threshold: inf j k . Prentice Hall.

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

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

Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. A(A A).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). A(A A). 1997 Slide L9–13 =1 .1A ]Rg ^ Thus. f ^k g = arg max trf A(A A).1A ]y(t) = N t=1 ^ = trf I .1A ]Rg X f kg For N . A(A A). Prentice Hall.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .Nonlinear Least Squares Method 1 N ky(t) . this is precisely the form of the NLS method of frequency estimation.

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

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

Prentice Hall. (L 1). Stoica and R. 1997 Slide L9–16 .YW-MUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is defined similarly to V2. using 1 N y(t)~ (t) ^ . Moses.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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