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

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

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

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

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

Moses. Stoica and R.Second Definition of PSD 1 N y(t)e. Prentice Hall.i!t Lecture notes to accompany Introduction to Spectral Analysis by P. t=1 y(t)e. 1997 Slide L1–8 .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.

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

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

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

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

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

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

Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Prentice Hall. Stoica and R.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 . Moses. 1997 Slide L2–4 . k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (. k) k 0 ^ r(k) = N .

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

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

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

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

Stoica and R. ^ φ(ω)≅W (ω) B Sidelobe Level: leakage φ(ω)≅δ(ω) leakage ω ω Lecture notes to accompany Introduction to Spectral Analysis by P.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Moses. Prentice Hall. φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . 1997 Slide L2–9 .

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

Prentice Hall.Periodogram Variance As N !1 E ^p(!1) . 1997 Slide L2–11 . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. (!1) ^p(!2) . 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. Moses.

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

~ 4 = 0 2 4 : : : N .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 = .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. Slide L2–13 t=1 ~ ~ f y(t) . 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. Prentice Hall. 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 . 1997 . Stoica and R.

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

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

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

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

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

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

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

1997 Slide L3–6 . 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. Moses. Prentice Hall.Window Examples Triangular Window. 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

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

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

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

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

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

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

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

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

1) . . . Stoica and R. ^(. r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. . . r ^(1) r(0) ^ ^. r . Moses. 1997 Slide L4–6 . Prentice Hall.1) : : : ^(.n) 1 r r ^2 . . .AR Spectral Estimation: YW Method Yule-Walker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(.1 = 0 a .

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

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

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

Levinson-Durbin Alg. Prentice Hall. Moses. 1997 . Stoica and R. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 2 kn = . jknj2) 2 2 n " n # " ~n 1 # Computation count: k flops for the step k 2 ) n2 flops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. Lecture notes to accompany Introduction to Spectral Analysis by P. con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus.

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

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

A(q)y(t) = B (q)e(t) B (!) 2 = m=.ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part). 1997 Slide L4–13 . k)] g = E f A(q)y(t)] A(q)y(t .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. k)] g = X n X n j =0 p=0 aj ap r(k + p . Moses. Prentice Hall.m k e. Stoica and R.

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

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 . f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . for some large K e(t) ' y(t) + 1y(t . K ) 1a) Estimate the coefficients modelling techniques. 1997 Slide L4–15 . 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 ) ^2 = N 1 j^(t)j2 e N . 1) + e and its variance + ^K y(t . Stoica and R. 1) + 2y(t . Prentice Hall. Moses.

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

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

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

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

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

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

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

Prentice Hall. Stoica and R. Moses.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 .

Prentice Hall.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1 | y(t) . . X n k=1 {z F (! ') k ei(!k t+'k ) 2 } = kei'k = 1 : : : n]T Y = y(1) : : : y(N )]T ei!1 ei!n . Moses. . 1997 Slide L5–6 . 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.

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

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

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

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

. 1997 Slide L5–13 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. . . . Prentice Hall. r(L + M .High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . Stoica and R. 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. 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) .

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

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

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

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

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

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

MUSIC Method a (!1) . . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. 1997 Slide L6–5 . Prentice Hall. Moses. 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.

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

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

but only one vector in G (as in Pisarenko). g # Lecture notes to accompany Introduction to Spectral Analysis by P. R( ) Let " 1 = the vector in R(G). Moses. that has minimum Euclidean norm. 1997 Slide L6–8 .Min-Norm Method Goals: Reduce computational burden. Stoica and R. with first element equal ^ ^ to one. Uses m n (as in MUSIC). and reduce risk of false frequency estimates. 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. Stoica and R.1) 1 ^ g " # that are closest to the unit circle. Moses.Min-Norm Method. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–9 .

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

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

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

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

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

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

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

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

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

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

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

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

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

Prentice Hall. C ! generally has worse resolution and bias properties than the AR method. C ! generally has less statistical variability than the AR PSD estimator. Stoica and R. Moses. 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. 1997 Slide L7–11 . Due to the low-order AR terms in the average.Relation between Capon and AR Methods Let 2 ^k ^k (!) = ^ 2 jAk(!)j be the kth order AR PSD estimate of y (t).

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

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

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

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

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

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

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

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

1

3 7 5

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

3 7 5

Then

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

()

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

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

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

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

-

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

Slide L8–8

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

fsk(t)gn=1 k

k

Linear sensors

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

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

Let

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

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

Prentice Hall. Moses. Stoica and R.Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d - v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–10 .

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

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

Stoica and R. 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. Prentice Hall. Moses. 1997 Slide L9–2 .

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

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

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

h a 0 . Stoica and R. Moses. Here. Prentice Hall.Spatial Filtering. 1997 Slide L9–6 . 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.

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

( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . Moses. and evaluate the powers of the filtered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. Prentice Hall. Stoica and R.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. n o n o The (dominant) peaks of h DOAs of the sources. 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.

Prentice Hall. 1997 Slide L9–9 . y t can be considered as impinging on the array from all DOAs. Stoica and R. Moses.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for filter bank methods. () 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.

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

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

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

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

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

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

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

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

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

con't ESPRIT Scenario source θ known subarray 1 displac ement v ector subarray 2 Properties: Requires special array geometry Computationally efficient No risk of spurious DOA estimates Does not require array calibration Note: For a ULA.1 A1 = Im. the two subarrays are often the first m and last m array elements.1 A2 = 0 Im.ESPRIT Method. so m m and .1 0]A = . 1997 Slide L9–19 . Moses.1]A Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.1 .

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