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

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

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

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

Second Deﬁnition of PSD 1 N y(t)e. Prentice Hall. 1997 Slide L1–8 .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. Moses. Stoica and R. t=1 y(t)e.

! ) Otherwise: (! ) 6= (. Moses. 1997 Slide L1–9 . Then: (! ) = (. Stoica and R. Thus. we can restrict attention to !2 . 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.

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

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

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

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

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

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

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

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

Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e.(N .1 X wB (k) = 8 < : = Thus. jNj jkj N . N k=. n o 0 k 1 . Moses. or triangular. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R.(N . ) d Z Ideally: WB (!) = Dirac impulse (!). 1 jkj N Bartlett. ( )WB (! .1 n o n o X ! X N .1 jkj r(k)e.i!k r k=. window E ^p(!) = 21 . 1997 .1) N .i!k = 1.1) 1 = wB (k)r(k)e.i!k k=.

Prentice Hall. Moses. 1997 .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. (!) may differ quite a bit from (!). Stoica and R. WB 1=N .

Stoica and R.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Moses. Prentice Hall. 1997 Slide L2–9 . ^ 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. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N .

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

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

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

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

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

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

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

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

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

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

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

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. Prentice Hall.Window Examples Triangular Window. Moses. 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.

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

Stoica and R.Daniell Method By a previous result. Moses.J X Lecture notes to accompany Introduction to Spectral Analysis by P. k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. Prentice Hall. 1997 Slide L3–10 . for N 1. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N .1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J .

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

Moses. more general for Welch). Stoica and R. Daniell Periodogram – Approximate interpretation: spectral window. ^ () – 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. Prentice Hall. 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. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. BT periodogram – Local smoothing/averaging of spectral window. 1997 . Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett.

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

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

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

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

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

1 = 0 a . 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. . Stoica and R. .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) ^(. 1997 Slide L4–6 . r .1) : : : ^(. . . .1) . r ^(1) r(0) ^ ^. ^(.n) 1 r r ^2 . Prentice Hall. .

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

. 1997 Slide L4–8 . n . 32 7 7 7 5 } 6 6 6 4 1 n 3 7 7 7 5 2 6 6 6 4 ^ k = either r(k) or r(k).1 ... Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . .0 .. Stoica and R.. 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.. {z . order-recursive solution to YW equations 2 6 6 6 4 | 0 .1 1 .n . . Prentice Hall.Levinson–Durbin Algorithm Fast. . . Moses. .

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

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

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

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

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

1997 Slide L4–14 . Moses. Prentice Hall. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P.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). can use an approximate linear two-stage least squares method ^(!) is guaranteed to be 0 2. Estimate fai bj A(!) nonlinear estimation problem. Stoica and R.

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

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

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

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

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

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

Stoica and R. Prentice Hall. 1997 . 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 . ] (realistic and mathematically convenient) A3: e(t) = circular white noise with variance 2 E fe(t)e (s)g = 2 t s E fe(t)e(s)g = 0 (can be achieved by “slow” sampling) Slide L5–3 Lecture notes to accompany Introduction to Spectral Analysis by P. ] (prevents model ambiguities) f'k g = independent rv's. uniformly distributed on .Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . superimposed in white noise of k 2. Moses.

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

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

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

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

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

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

f!kgn=1. Stoica and R. 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. 1997 Slide L5–12 . Prentice Hall.High-Order Yule-Walker Method. Moses. along with L .

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

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

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

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

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

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

. . Stoica and R. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 .. Therefore. 0 n 3 7 5 with C (since rank S .. =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). Moses. 2 . = = nonsingular 0 n. 1997 . Prentice Hall. since S G j j 6= 0 4 . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1.Eigendecomposition of R and Its Properties.

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

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

If: =n+1 m=n+1 Then: ^ g G = ^1. Prentice Hall. ) f!kgn=1 can be found from the roots of ^ k aT (z.1)^1 = 0 g no problem with spurious frequency estimates computationally simple (much) less accurate than MUSIC with m n+1 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–7 . Moses. Stoica and R.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value).

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

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

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

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

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

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

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

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

Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1997 .i!k = 1 eiN (~.!) . 1 H (!) = hk e ! N ei(~. Prentice Hall. Stoica and R.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . Moses. k) 2 ! .t) t=1 X X = N where ( X 1 k=0 hk y(N .!) . 1 k=0 X 1 ei!k k = 0 : : : N . 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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

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

Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t). C ! generally has worse resolution and bias properties than the AR method. ^( ) ^( ) 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. Prentice Hall. Moses. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. Due to the low-order AR terms in the average. Stoica and R.

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

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

) Lecture notes to accompany Introduction to Spectral Analysis by P. AOA). 1997 Slide L8–3 . the array is calibrated. Moses. The number of sources n is known. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Stoica and R. Prentice Hall.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.

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

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

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

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

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

i!s : : : e. 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. Stoica and R.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series.i(m. 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. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .

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

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

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

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

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

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

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

1997 . Moses. 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. 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. Prentice Hall. 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. Stoica and R.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation.

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

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

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

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

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

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

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

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. Stoica and R.=N y t=1 X Properties: Computational complexity: medium Performance: satisfactory if m 2n Main advantages: – weak assumption on e t – the subarray A need not be calibrated f ( )g Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. using 1 N y(t)~ (t) ^ . (L 1). 1997 Slide L9–16 . Prentice Hall.

MUSIC and Min-Norm Methods Both MUSIC and Min-Norm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. 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. that is. 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. Prentice Hall..i!c ( 1) 0 . Lecture notes to accompany Introduction to Spectral Analysis by P. where e. Stoica and R. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Moses. D= 0 e. 1997 Slide L9–18 ( ) = d sin( )=c .

1997 Slide L9–19 .1 A1 = Im.1 0]A = .1 A2 = 0 Im. Stoica and R. Moses.ESPRIT Method. 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.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 . so m m and .