This action might not be possible to undo. Are you sure you want to continue?
Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
1 y(t)e.1 = t= If: discretetime deterministic data sequence X 1 t=. Moses. 1997 Slide L1–4 .1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.Deterministic Signals fy(t)g1 . Stoica and R.
Prentice Hall. k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.i!k (k) = 1 t=. S (!)d! t=. Stoica and R.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .1 X (k)e. 1997 . Moses.1 y(t)y (t .
Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=.1 n jy(t)j2 = 1 o But: E jy(t)j2 < 1 E f g = Expectation over the ensemble of realizations E jy(t)j2 n o = Average power in y (t) PSD = (Average) power spectral density Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Moses. 1997 Slide L1–6 .
Moses. Prentice Hall.1 r(k)e.First Deﬁnition of PSD (! ) = where r X 1 k=. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . 1997 Slide L1–7 . k)g r(k) = r (. Stoica and R.k) r(0) jr(k)j Z Note that r(k) = 21 . (!)d! Z (!)d! = inﬁnitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Moses. 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. Stoica and R. t=1 y(t)e.Second Deﬁnition of PSD 1 N y(t)e.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.
1=2 1=2] (!) 0 (t) is real.! ) Otherwise: (! ) 6= (. P2: ] () f 2 . Stoica and R.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. we can restrict attention to !2 . Prentice Hall. Thus. 1997 Slide L1–9 . Moses.Properties of the PSD P1: (!) = (! + 2 ) for all !. Then: (! ) = (.
1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t . Stoica and R. 1997 Slide L1–10 . Prentice Hall.k = unit delay operator: q. Moses.1y(t) = y(t .Transfer of PSD Through Linear Systems System Function: where q .1 H (q) = X 1 k=0 hk q. k) hk e.i!k H (! ) = X 1 y (!) = jH (!)j2 e(!) k=0 Lecture notes to accompany Introduction to Spectral Analysis by P.
1997 Slide L1–11 .The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Stoica and R. Parametric: – Assumes a parameterized functional form of the PSD Lecture notes to accompany Introduction to Spectral Analysis by P. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Moses. Prentice Hall.
Prentice Hall. Moses.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–1 . Stoica and R.
Moses.i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name). Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. 1997 Slide L2–2 .i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e.
i!k (k)” by “^(k)”: r r ^(k)e.(N . Stoica and R.Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=. Prentice Hall.i!k ^c(!) = k=.1 N .1) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–3 . Moses.1 X r(k)e.
Stoica and R.Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t . Prentice Hall. k) k 0 ^ r(k) = N .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–4 . Moses. 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 .
Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). Stoica and R.i!t N t=1 X 2 = N .1 X = ^c(!) k=. Moses. Prentice Hall. 1997 . N ^p(!) = 1 y(t)e.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.(N .1) r ^(k)e.
Stoica and R.Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased: E ^p(!) ! (!) as N ! 1 n o Both have “large” variance.1 are small. Thus. r(k) may be large for large jkj ^ Even if the errors r k r k Nj. ( )g ^ ( ) . even for large N . Prentice Hall. jk =0 there are “so many” that when summed in ! . Intuitive explanation: r(k) . the PSD error is large. p! f^( ) . Moses. ^p(!) and ^c(!) have poor performance. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–6 .
N k=.1 jkj r(k)e. Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 . ( )WB (! . 1 jkj N Bartlett. or triangular.(N .1) 1 = wB (k)r(k)e. jNj jkj N .i!k = 1. ) d Z Ideally: WB (!) = Dirac impulse (!).Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. Prentice Hall.1 n o n o X ! X N . Stoica and R.1) N .(N .i!k r k=.i!k k=. Moses.1 X wB (k) = 8 < : = Thus. n o 0 k 1 . window E ^p(!) = 21 .
Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). (!) may differ quite a bit from (!). 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 . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 . Moses. Stoica and R.
φ(ω) smearing ω ω (!) separated in f by less than 1=N are not ^ φ(ω) <1/Ν Thus: Periodogram resolution limit = 1=N . Moses. 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. Stoica and R.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. Prentice Hall.
Moses. !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. severe bias As N .Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N . 1997 Slide L2–10 . Prentice Hall. WB ! !. so ! is asymptotically unbiased.
(!1) ^p(!2) . 1997 Slide L2–11 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. Prentice Hall. Stoica and R.Periodogram Variance As N !1 E ^p(!1) . dev = φ(ω) too  Resolvability properties depend on both bias and variance.
Stoica and R.1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. N Let ! = N Then YN ( 2 k) is the Discrete Fourier Transform (DFT): N X Y (k) = N t=1 y(t)W tk k = 0 ::: N . 1 Direct computation of O N 2 ﬂops ( ) .i 2 .Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. Prentice Hall.i!t 2 k and W = e. 1997 Slide L2–12 .
Prentice Hall. Slide L2–13 t=1 ~ ~ f y(t) .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 = .i2 =N . 1997 . Stoica and R. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2point DFT computation.1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . ~ 4 = 0 2 4 : : : N .
FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. Moses.1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. 1997 Slide L2–14 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 2k + 2c ck = 2 k.
Moses. 1997 Slide L2–15 .1 N k=0 sampled. Prentice Hall. N=8 ω 2 k N .1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Zero Padding Append the given data by zeros prior to computing DFT (or FFT): fy(1) : : : y(N ) 0 : : : 0g  N {z } Goals: Apply a radix2 FFT (so N Finer sampling of = power of 2) ^(!): 2 k N .
Stoica and R. Moses. 1997 Slide L3–1 .Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
1997 Slide L3–2 . Stoica and R. with small weight applied to covariances r k with “large” 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.1) w(k)^(k)e.1 X k=. Prentice Hall. ^( ) jj ^BT (!) = M .(M .BlackmanTukey Method Basic Idea: Weighted correlogram. Moses.
Prentice Hall. Stoica and R.BlackmanTukey Method. con't ^BT (!) = 1 ^p( )W (! . Moses. )d 2 . 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 .
1 X .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . )d 2 . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P.(M (0) w Z w (k ) = equiv time width 1 2 . Moses. Prentice Hall. Stoica and R. 0 Z  {z } If W (!) 0 (. 1997 Slide L3–4 .1) Ne = k=.
1997 Slide L3–5 . ) Choose M as a tradeoff between variance and bias. Once M is given. Lecture notes to accompany Introduction to Spectral Analysis by P. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). Ne (and hence ﬁxed. Stoica and R.Window Design. As M increases. Prentice Hall. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. once M is given. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. bias decreases and variance increases. Moses.
Moses. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. 1997 Slide L3–6 . Stoica and R. Prentice Hall.Window Examples Triangular Window. M 0 −10 = 25 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Lecture notes to accompany Introduction to Spectral Analysis by P.
Bartlett Method Basic Idea:
1 Μ 2Μ ... Ν
^1(ω) ^2(ω) φ φ
... average
^L(ω) φ
^B(ω) φ
Mathematically:
yj (t) = y((j ; 1)M + t) t = 1 : : : M = the j th subsequence 4 (j = 1 : : : L = N=M ])
^j (!) = 1 yj (t)e;i!t M t=1
X
M
2
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L3–7
Comparison of Bartlett and BlackmanTukey Estimates
1 L ^B (!) = L j =1
X
8 > < > :
M ;1 X
=
'
Thus:
k=;(M ;1) M ;1 X k=;(M ;1)
k=;(M ;1) 8 M ;1 < 1 X L X
:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
^B (!) ' ^BT (!)
Since B ! implicitly uses method has
with a rectangular lag window wR k
()
^( )
fwR(k)g, the Bartlett
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L3–8
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus “better” averaging) use data window for each periodogram; gives mainlobesidelobe tradeoff capability
1
2 . . . subseq subseq #1 #2 subseq #S
N
Let S # of subsequences of length M . (Overlapping means S > N=M “better averaging”.)
=
])
Additional ﬂexibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to nonrectangular lag window.
^BT (!) with a
Slide L3–9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k. for N 1.J X Lecture notes to accompany Introduction to Spectral Analysis by P. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . Moses. Stoica and R.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J . 1997 Slide L3–10 .Daniell Method By a previous result. Prentice Hall.
Then. 1997 Slide L3–11 . Prentice Hall. Moses. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . Stoica and R. ^D(!) ' 1 ^p(!)d! 2 .Daniell Method. Lecture notes to accompany Introduction to Spectral Analysis by P. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. for N 1.
^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values.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. Stoica and R. BT periodogram – Local smoothing/averaging of spectral window. Daniell Periodogram – Approximate interpretation: spectral window. more general for Welch). Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. ^ () – Implemented by averaging subsample periodograms. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett. Moses. ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. 1997 .
Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L4–1 . Moses. Prentice Hall.
1997 Slide L4–2 ( ) . Note.i!k (!) is a rational function in e. however: choice of m and n is not simple some PSDs are not continuous Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. provided m and n are chosen sufﬁciently large. ! can approximate arbitrarily well any continuous PSD. Moses.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. P By Weierstrass theorem. Stoica and R.θ) ^ θ Estimate PSD ^ ^ =φ(ω.θ) Estimate parameters in φ(ω.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.i!k (!) = P jkj n k e.i! .
m and. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z.1 + + anz.n B (z) = 1 + b1z.1 + + bmz.AR. e. 1997 . MA. Prentice Hall.. 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.g. Moses. Stoica and R.
Prentice Hall. Stoica and R. i) = X m j =0 bj e(t . 1997 Slide L4–4 . j )y (t . j ) (b0 = 1) Multiply by y (t . k) and take E f g to give: X r (k ) + X 2 m bj hj .ARMA Covariance Structure ARMA signal model: y(t)+ X n i=1 n aiy(t . k)g Lecture notes to accompany Introduction to Spectral Analysis by P.k = j =0 = 0 for k > m B (q) = 1 h q.k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . i) = m j =0 bj E fe(t . Moses.
r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations. .1) . 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(.1) : : : r(. r(1) r(0) . . 2 1 a1 = 0 . . r (. Prentice Hall. .AR Signals: YuleWalker Equations AR: m = 0. Stoica and R. .n) . . 1997 Slide L4–5 . Moses.
n) 1 r r ^2 . Prentice Hall.1 = 0 a . r ^(n) : : : r(0) ^ ^n a 0 32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 Then the PSD estimate is ^2 ^(!) = ^ 2 jA(!)j Lecture notes to accompany Introduction to Spectral Analysis by P. .1) .1) : : : ^(. Moses. . r . . . 1997 Slide L4–6 .AR Spectral Estimation: YW Method YuleWalker Method: Replace r 2 6 6 6 4 (k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(. ^(. . r ^(1) r(0) ^ ^. Stoica and R. .
i) = y(t) + 'T (t) = a1 : : : an]T to minimize f( ) = X N This gives 2 y=6 4 y(n + 1) y(n + 2) y(N ) . 3 7 5 Y =4 y(n) y(n . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : y (t . n) . .(Y Y ). . . ^ = .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) 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 . . Moses. Find i=1 aiy(t . Stoica and R. 1) y(N . n)]T . y(N . 1997 Slide L4–7 . 1) y(n + 1) y(n) . Prentice Hall.
1 1 . ..1 .0 .. Moses. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . .. 1997 Slide L4–8 . . .n . Stoica and R. . 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).. Prentice Hall. .Levinson–Durbin Algorithm Fast.. n . orderrecursive solution to YW equations 2 6 6 6 4  0 . {z . 0 2 n 3 7 7 7 5 O(n3) ﬂops = 1 : : : n: O(n4) ﬂops Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 ﬂops! =1 ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.
2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . Prentice Hall. n 3 7 5 1 Rn+2 4 1 n = 0 3 5 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 32 54 1 n n = 0 0 n 3 5 2 4 2 3 5 where r n = n+1 + ~n n Lecture notes to accompany Introduction to Spectral Analysis by P. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 1997 Slide L4–9 . .LevinsonDurbin Alg. Moses. Stoica and R. con't Relevant Properties of R: Rx = y $ Rx = y.
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 . 1997 . Prentice Hall. con't 2 Rn+2 4 82 < 4 +2 : 1 n n = 0 0 n 3 5 2 4 2 3 5 2 Rn+2 4 39 = 5 2 0 ~n = 0n 2 1 n 3 5 2 4 3 5 2 3 5 Combining these gives: Rn 0 1 n + kn ~n 0 1 3 5 2 4 = 4 n + kn n 2 0 n + kn 2 n = 4 n 2 +1 3 5 0 0 Thus. 2 kn = . Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.LevinsonDurbin Alg. Moses.
Moses.MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . 1997 Slide L4–11 . m) Thus. r(k) = 0 for jkj > m and 2 2 = m r(k)e.i!k (!) = jB(!)j k=. Stoica and R. 1) + + bme(t .m X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.m ^BT (!) with a rectangular lag window of 2m + 1. with AR model order n . Moses.i!k k=. ^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. 1997 Slide L4–12 . Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2. Stoica and R.MA Spectrum Estimation Two main ways to Estimate (! ): 1. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e.
1997 Slide L4–13 . A(q)y(t) = B (q)e(t) B (!) 2 = m=. k)] g = X n X n j =0 p=0 aj ap r(k + p .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).m k e. j ) Lecture notes to accompany Introduction to Spectral Analysis by P.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Stoica and R. Moses. k)] g = E f A(q)y(t)] A(q)y(t . Prentice Hall.
m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method). Stoica and R. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2. Moses.ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1. ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–14 . Estimate fai bj A(!) nonlinear estimation problem. Prentice Hall.i!k k=. Estimate fai r(k)g in (!) = P m .
2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate. Stoica and R. f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . 1) + 2y(t . 1) + + K y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. for some large K e(t) ' y(t) + 1y(t .TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . 1) + e and its variance + ^K y(t . 1997 Slide L4–15 . Prentice Hall. K ) ^2 = N 1 j^(t)j2 e N .
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. 1) : : : . m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. 1) : : : ^(t . n) e ^(t . y(t . ^(t) ' . Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) . 1997 Slide L4–16 .TwoStage LeastSquares Method. con't fe(t)g by ^(t) in the ARMA equation.y(t . Moses. Stoica and R.
Stoica and R.6 4 Replace fr(k)g by f^(k)g and solve for faig. the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P.. n + M ) . r f^ g . n + 2) . : : : r(m . Prentice Hall. . 5 . If M > n overdetermined squares solution for ai . # 2 = r(m + M . . i) = 0 k > m 3 7 5 " r(m) r(m + 1) . 1997 Slide L4–17 . n + 1) r(m . . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n.. . . . = f^ g Y W system of equations. least f^ g Note: For narrowband ARMA signals. Moses. . 1) : : : r(m . fast Levinsontype algorithms exist for obtaining ai . = m + 1 ::: m + M a1 an . .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k .
1997 Slide L4–18 .Summary of Parametric Methods for Rational Spectra Method AR: YW or LS low lowmedium mediumhigh mediumhigh medium lowmedium No No Yes Computational Burden low Accuracy medium Guarantee ^(! ) 0 ? Yes MA: BT ARMA: MYW ARMA: 2Stage LS Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Moses.
Prentice Hall. Moses. Stoica and R.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–1 .
Stoica and R. Moses. Examples: communications radar. 1997 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models 2 6(2 1) 2 6 (!) 6 (2 2) 2 6 (2 2) 3 ! Slide L5–2 .Line Spectra Many applications have signals with (near) sinusoidal components.
Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . 1997 . Moses. ] (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. Prentice Hall. power f g f g y(t) = x(t) + e(t) t = 1 2 : : : n x(t) = k ei(!k t+ k ) k=1 xk (t) X  {z } Assumptions: A1: A2: k>0 !k 2 . uniformly distributed on . Stoica and R. superimposed in white noise of k 2.
for p = j e i'p e. k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! . Moses.i'j o e Z n 1 i' d' 2 = 0. Prentice Hall. r(k) = E fy(t)y (t . e E xp(t)xj (t . Stoica and R. k) = 2 ei!pk p j p n o Hence. !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. for p 6= j =2 .Covariance Function and PSD Note that: E E n i'p e.i'j o = 1.i'j o = E nei'p o E ne. 1997 .
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 . Moses. Stoica and R. Prentice Hall. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–5 .
. . 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. 1997 Slide L5–6 . Prentice Hall. Moses. B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . .
Prentice Hall. Y B(B B). B ) = kY . B ) (Y . B k2 = .1B Y ] +Y Y .1B Y ] B B] .1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. (B B).1B Y This gives: ^ = (B B). Stoica and R.Nonlinear Least Squares (NLS) Method.1B Y !=^ ! and ! = arg max Y B (B B ). (B B). 1997 Slide L5–7 . Moses. con't Then: F = (Y .
1997 Slide L5–8 . Prentice Hall. it is difﬁcult to avoid convergence to local minima.5.NLS Properties Excellent Accuracy: 6 2 (for N var (^k ) = 3 2 ! N k Example: N = 300 SNRk = 2= 2 = 30 dB k q 1) Then var (^k ) 10. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. ! Difﬁcult Implementation: The NLS cost function F is multimodal. Moses.
Unwindowed Periodogram as an Approximate NLS Method
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(ﬁnite DTFT)
1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,
! = arg max ^p(!) ^ !
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–9
Unwindowed Periodogram as an Approximate NLS Method, con't
Assume: Then:
n>1
f!kgn=1 ' the ^ k
provided that
locations of the peaks of p !
^( )
n
largest
inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L5–10
HighOrder YuleWalker Method Recall:
y(t) = x(t) + e(t) =
k ei(!k t+'k ) +e(t)  {z } k=1 xk (t)
X
n
“Degenerate” ARMA equation for y (t):
n
(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
L
Then B
(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Moses. along with L . n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. Stoica and R.HighOrder YuleWalker Method. f!kgn=1. 1997 Slide L5–12 .
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 + M . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. . 1) : : : r(M ) r(L + M ) 4 4 = = {z }  {z r(L) r(L + 1) This is a highorder (if L > n) and overdetermined (if M > L) system of YW equations. Stoica and R. . . r(L + 2) . 1997 Slide L5–13 . Prentice Hall.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . . .
(U V )b = . 1997 Slide L5–14 . y = . Stoica and R. if the MinimumNorm solution b is used. Prentice Hall. n) spurious zeros of B (q ) are located strictly inside the unit circle.HighOrder and Overdetermined YW Equations. diagonal and nonsingular Thus. Moses.1U Important property: The additional (L . Lecture notes to accompany Introduction to Spectral Analysis by P. The MinimumNorm solution is b = .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).
r . SVD of . V be deﬁned similarly to U . Stoica and R. V from the Let U . 1997 Slide L5–15 . Lecture notes to accompany Introduction to Spectral Analysis by P. . f^ g When the SNR is low. Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g.V ^ . this is the price paid for increased accuracy when L > n.HOYW Equations.1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. Compute ^ = . this approach may give spurious frequency estimates when L > n. Prentice Hall. Moses.
1997 Slide L6–1 . Moses.Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
1997 Slide L6–2 . m + 1) . Stoica and R.The Covariance Matrix Equation Let: a(!) = 1 e. Moses.1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t .i! : : : e. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t .i(m. 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 . .. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t .. Prentice Hall. 0 2 n 3 7 5 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. 2 R = S G] 6 4 1 3 " .ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. n)) Thus. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.. Moses. 1997 Slide L6–3 ..n] (m (m . Prentice Hall.
Eigendecomposition of R and Its Properties... 2 . since S G j j 6= 0 4 . =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P. con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. Moses. Stoica and R. = = nonsingular 0 n.1) = AC S = A(PA S ( ) = rank(A) = n). . 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . 1997 . Prentice Hall. Therefore. 0 n 3 7 5 with C (since rank S ..
Stoica and R. A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. 1997 Slide L6–5 . Moses. Let: 1 N y(t)~ (t) ^ ~ y R = N t=m ^^ S G = S G made from the ^ eigenvectors of R X Lecture notes to accompany Introduction to Spectral Analysis by P.MUSIC Method a (!1) . Prentice Hall. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0. .
Spectral and Root MUSIC Methods Spectral MUSIC Method: f!kgn=1 = the locations of the n highest peaks of the ^ k “pseudospectrum” function: 1 ^G a(!) ! 2 . 1997 Slide L6–6 . a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z. Prentice Hall.1)GG a(z) = 0 that are closest to the unit circle.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Moses.(m. Lecture notes to accompany Introduction to Spectral Analysis by P. Here. a(z) = 1 z. Stoica and R.1 : : : z.
Moses. If: =n+1 m=n+1 Then: ^ g G = ^1.1)^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. ) f!kgn=1 can be found from the roots of ^ k aT (z. Stoica and R.Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). Prentice Hall. 1997 Slide L6–7 .
that has minimum Euclidean norm. Prentice Hall. Stoica and R. but only one vector in G (as in Pisarenko). and reduce risk of false frequency estimates. Moses. 1997 Slide L6–8 . R( ) Let " 1 = the vector in R(G). Uses m n (as in MUSIC).MinNorm Method Goals: Reduce computational burden. g # Lecture notes to accompany Introduction to Spectral Analysis by P. with ﬁrst element equal ^ ^ to one.
Lecture notes to accompany Introduction to Spectral Analysis by P.1) 1 ^ g " # that are closest to the unit circle. Stoica and R. Moses. con't Spectral MinNorm f!gn=1 = ^k the locations of the n highest peaks in the “pseudospectrum” 2 1 = a (!) 1 ^ g " # Root MinNorm f!gn=1 = ^k the angular positions of the n roots of the polynomial aT (z. Prentice Hall. 1997 Slide L6–9 .MinNorm Method.
S(S S ).1 = =(1 . 1997 Slide L6–10 .) ^^ I=S S= Multiplying the above equation by gives: (1 . Stoica and R. (S S ).S =(1 . at least. for N 1. g " # MinNorm solution: As: ^ = . Prentice Hall.1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .1 g + S S . k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P.1 exists iff = k k2 6= 1 (This holds. k k2) = (S S ) ) (S S ). k k2) ) ^ = . Moses.Let S ^= S g1 .
1DC {z } So has the same eigenvalues as D .1 0]A A2 = 0 Im. Moses.i!1 0 .1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.. 1997 Slide L6–11 .i!n S1 = Im. Then S2 = A2C = A1DC = S1 C . where e.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. Stoica and R..1 0]S S2 = 0 Im. D= 0 e.1]A Then A2 Also. let = A1D. Prentice Hall. determined as is uniquely = (S1S1).ESPRIT Method Let A1 = Im.
1S1S2 ^^ ^^ f!kgn=1 = . then S1 and S2 . ﬁnd S . Moses. 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. ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). Prentice Hall.ESPRIT Implementation From the eigendecomposition of R. 1997 Slide L6–12 . Stoica and R.
1997 .Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS YuleWalker Pisarenko MUSIC MinNorm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small mediumhigh medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for mediumresolution applications Use ESPRIT for highresolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Stoica and R. Moses.
Prentice Hall.Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. 1997 Slide L7–1 .
( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. Prentice Hall. but 2 requires to ensure that the number of estimated values = = ) is < N . !+ ] N >1 1 2 is more general than 1. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Parametric Approach: Parameterize ﬁnitedimensional model. Stoica and R.Basic Ideas Two main PSD estimation approaches: 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L7–2 . Nonparametric Approach: Implicitly smooth ! !=. (!) by a 2.
Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) .with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! . 2 ! + 2 ] Note that assumptions (a) and (b). Stoica and R. Moses. Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. as well as (b) and (c). Prentice Hall. 1997 . jH ( )j2 ( )d = ' 21 !+ !. are conﬂicting. !c @Q Q ! .Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) .
!) . Moses. 1 k=0 X 1 ei!k k = 0 : : : N . k) 2 ! .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . Stoica and R.t) t=1 X X = N where ( X 1 k=0 hk y(N .Filter Bank Interpretation of the Periodogram 1 N y(t)e. 1997 .!) . Prentice Hall. 1 ~ hk = N otherwise 0 1 center frequency of H 3dB bandwidth of H (!) = ! ~ (!) ' 1=N Slide L7–4 Lecture notes to accompany Introduction to Spectral Analysis by P. 1 H (!) = hk e ! N ei(~.i!k = 1 eiN (~.
! 0 −5 −10 −15 dB −20 −25 −30 −35 −40 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Conclusion: The periodogram p ! is a ﬁlter bank PSD estimator with bandpass ﬁlter as given above. 1997 Slide L7–5 . !). and: narrow ﬁlter passband.Filter Bank Interpretation of the Periodogram. power calculation from only 1 sample of ﬁlter output. Stoica and R. for N = 50. Moses. con't jH (!)j as a function of (~ . ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Split the available sample. 1997 Slide L7–6 . This approach leads to Bartlett and Welch methods. Each ﬁlter covers a small band centered on ! . This “multiwindow approach” is similar to the Daniell method. more data points for the power calculation stage. and bandpass ﬁlter each subsample.Possible Improvements to the Filter Bank Approach 1. Moses. Stoica and R. Both approaches compromise bias for variance. 2. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Use several bandpass ﬁlters on the whole sample.
k) 2 6 4  . 1997 Slide L7–7 .im! ]T hk e. Stoica and R.i! : : : e. yF (t) = X m k=0  hk y(t . m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.Capon Method Idea: Datadependent bandpass ﬁlter design. y(t . = h0 h1 : : : hm] .
Stoica and R. 1997 Slide L7–8 .m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.1a(!) which should be the power of y (t) in a passband centered on ! .1a=a R.Capon Method. Moses.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N . n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^.
1997 Slide L7–9 .Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. bias decreases and variance increases. Prentice Hall. Stoica and R. . 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. Lecture notes to accompany Introduction to Spectral Analysis by P.
i!k ^ k=. 1997 Slide L7–10 . Moses.m m + 1 1 m m ^(t .s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .i!(t. j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. Stoica and R.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. s)e. jkj ^BT (!) = r(k)e.
C ! generally has less statistical variability than the AR PSD estimator. C ! generally has worse resolution and bias properties than the AR method. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses. Prentice Hall. AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. 1997 Slide L7–11 . Due to the loworder 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).
Prentice Hall. Moses.Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L8–1 .
@ . @.@ . . @. Prentice Hall.. v Source n @. Stoica and R.. mechanical Receiving sensors: Hydrophones. antennas.. @. @. 1997 Slide L8–2 . . Moses. 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. Emitted energy: Acoustic. Sensor 1 @. seismology. . communications.R . seismometers Applications: Radar. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. electromagnetic. . sonar. @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ .
Stoica and R.Simplifying Assumptions Farﬁeld sources in the same plane as the array of sensors Nondispersive wave propagation Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival. The number of sources n is known. the array is calibrated. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is. Moses.) Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 Slide L8–3 . AOA).
) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Basic Problem: Estimate the time delays known but x t unknown.g. thermal noise in sensor electronics. 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. Stoica and R. Then the output of sensor k is yk (t) = hk (t) x(t . Moses. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P... 1997 Slide L8–4 . background noise. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case.g. k) + ek (t) ( = convolution operator). etc.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e.
Stoica and R. k) ' (t) '(t . !c k + arg Hk (!c)] + ek(t) Slide L8–5 Lecture notes to accompany Introduction to Spectral Analysis by P. !c k + argfHk (!c)g] where Hk function (!) = Ffhk(t)g is the kth sensor's transfer Hence. !c k ] hk (t) x(t . k ) ' jHk (!c)j (t)cos !ct + '(t) .Narrowband Assumption Assume: The emitted signals are narrowband with known carrier frequency !c . the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Prentice Hall. k ) ' (t) cos !ct + '(t) . 1997 . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t . Moses.
by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(t)e.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e. Moses.i!ct to obtain (t)ei (t) lowpass highpass Hence. Prentice Hall.!ct = (t)f ei (t) + e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e. 1997 Slide L8–6 or .i!c k + ek (t) where s(t) is the complex envelope of x(t). Stoica and R.i!ct ~ = yk(t) cos(!ct) . 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. Lecture notes to accompany Introduction to Spectral Analysis by P.Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (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
Moses. 1997 Slide L8–10 . Prentice Hall. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.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 . Stoica and R.
i(m. !s = spatial frequency The function !s 7! a( ) is onetoone for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem. Stoica and R. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i!s : : : e.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Prentice Hall.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Moses. 1997 .
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.
Lecture notes to accompany Introduction to Spectral Analysis by P.Spatial Filtering Spatial ﬁltering useful for DOA discrimination (similar to frequency discrimination of timeseries ﬁltering) Nonparametric DOA estimation There is a strong analogy between temporal ﬁltering and spatial ﬁltering. 1997 Slide L9–2 . Prentice Hall. Stoica and R. Moses.
1] y(t) = u(t) : : : u(t .i(m.1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .Analogy between Temporal and Spatial Filtering Temporal FIR Filter: yF (t) = hk u(t . Moses. m + 1)]T If u m. k) = h y(t) k=0 h = ho : : : hm. 1997 Slide L9–3 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.i! : : : e.1 X (t) = ei!t then yF (t) = h a(!)] u(t)  {z } ﬁlter transfer function a(!) = 1 e.
i!c 2 : : : e. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–4 . Stoica and R. Prentice Hall. Moses.Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.i!c 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.
? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P.i! Be 2 B !! B B B B . B B @ . Stoica and R. B .B .1 q .@ 0 B 1 C h @@ C B B e. Moses.  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. 1997 Slide L9–5 .i m.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.i! C @ h a(!)]u(t) R @ C . s qq h  ? 1 ?  m.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... Cu(t) C B . ! hm.? B P C B C B B B . C C B C B C B C B C B A @ .1 ?  1 . Prentice Hall.
Stoica and R. h a 0 . Moses. where 0 j ( )j = ( ) = 25 0 30 −30 Th et a (d eg ) 60 −60 90 0 2 4 6 Magnitude 8 10 −90 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–6 . Prentice Hall.Spatial Filtering. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Here.
by sweeping the ﬁlter through the DOA range of interest (“goniometer”). 1997 Slide L9–7 . Prentice Hall. 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. To locate an emitter in the ﬁeld of view. Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 .Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. Moses. 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. 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. Stoica and R.
Moses. Stoica and R.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. 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. Prentice Hall.
Resolution Threshold: inf j k . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. 1 = 1. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. 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 . 1997 . Stoica and R. Prentice Hall.
1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.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). Moses. 1997 Slide L9–11 . Both Beamforming and Capon are nonparametric approaches.1a( ) E jyF (t)j2 = 1=a ( )R. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.1a( )=a ( )R.1a( ): Performance: Slightly superior to Beamforming.
MUSIC. Stoica and R. YW. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Moses. MINNORM and ESPRIT methods of frequency estimation can be used. for DOA estimation. almost without modiﬁcation. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–12 . Prentice Hall.Parametric Methods Assumptions: The array is described by the equation: y(t) = As(t) + e(t) The noise is spatially white and has the same power in all sensors: E fe(t)e (t)g = 2I The signal covariance matrix P = E fs(t)s (t)g is nonsingular.
1997 Slide L9–13 =1 . A(A A).1A ]y(t) = N t=1 ^ = trf I . this is precisely the form of the NLS method of frequency estimation. f ^k g = arg max trf A(A A).1A ]Rg X f kg For N . A(A A). Prentice Hall.1A y(t) t = 1 : : : N s X Then 1 N k I . As(t)k2 min(t)g N f k g fs t=1 X  Minimizing f over s gives f ( s) {z } ^(t) = (A A). Lecture notes to accompany Introduction to Spectral Analysis by P. A(A A).1A ]Rg ^ Thus. Moses.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .Nonlinear Least Squares Method 1 N ky(t) . Stoica and R.
Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Prentice Hall.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. 1997 Slide L9–14 .
= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. = U1 U2 ] 0 n n 0 V1 g 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. 1997 Slide L9–15 .YuleWalker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ . Moses. is . and the SVD of .n 0 V2 g L n M . Prentice Hall.
(L 1).YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. 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. Stoica and R. 1997 Slide L9–16 . Prentice Hall. using 1 N y(t)~ (t) ^ .
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. Prentice Hall. Spectral forms of MUSIC and MinNorm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and MinNorm break down if the source signals are coherent. 1997 Slide L9–17 .MUSIC and MinNorm Methods Both MUSIC and MinNorm methods for frequency estimation apply with only minor modiﬁcations to the DOA estimation problem. that is.
D= 0 e..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. Stoica and R. where e. Let m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2) Then A2 = A1D.i!c ( 1) 0 .ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Moses.. 1997 Slide L9–18 ( ) = d sin( )=c . Lecture notes to accompany Introduction to Spectral Analysis by P. 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.1 . 1997 Slide L9–19 .1 A2 = 0 Im. Moses. the two subarrays are often the ﬁrst m and last m array elements.ESPRIT Method. so m m and . Stoica and R.1]A Lecture notes to accompany Introduction to Spectral Analysis by P.1 0]A = .1 A1 = Im. Prentice Hall.
This action might not be possible to undo. Are you sure you want to continue?
We've moved you to where you read on your other device.
Get the full title to continue listening from where you left off, or restart the preview.