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Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–1
Informal Deﬁnition of Spectral Estimation
Given: A ﬁnite record of a signal. Determine: The distribution of signal power over frequency.
signal t ω t=1, 2, ... ω ω+∆ω π spectral density
! = (angular) frequency in radians/(sampling interval) f = !=2 = frequency in cycles/(sampling interval)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L1–2
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity ﬁnding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Spatial Spectral Analysis Source location using sensor arrays
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L1–3
Prentice Hall. Stoica and R.1 jy(t)j2 < 1 X Then: Y (! ) = 1 t=.1 y(t)e. 1997 Slide L1–4 . Moses.i!t exists and is called the DiscreteTime Fourier Transform (DTFT) Lecture notes to accompany Introduction to Spectral Analysis by P.Deterministic Signals fy(t)g1 .1 = t= If: discretetime deterministic data sequence X 1 t=.
k) Slide L1–5 Lecture notes to accompany Introduction to Spectral Analysis by P. S (!)d! t=.1 X Z 1 where 4 S (!) = jY (!)j2 = Energy Spectral Density We can write S (!) = where X 1 k=.1 y(t)y (t . Prentice Hall. 1997 . Moses. Stoica and R.Energy Spectral Density Parseval's Equality: jy(t)j2 = 21 .1 X (k)e.i!k (k) = 1 t=.
Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. Prentice Hall. 1997 Slide L1–6 .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. Stoica and R. Moses.
Prentice Hall.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . Moses.1 r(k)e. k)g r(k) = r (. (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .First Deﬁnition of PSD (! ) = where r X 1 k=.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. 1997 Slide L1–7 . Stoica and R.
1997 Slide L1–8 . Prentice Hall.Second Deﬁnition of PSD 1 N y(t)e. t=1 y(t)e. Moses.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.i!t Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses.1=2 1=2] (!) 0 (t) is real. Stoica and R.! ) Otherwise: (! ) 6= (. P2: ] () f 2 . Prentice Hall. we can restrict attention to !2 .Properties of the PSD P1: (!) = (! + 2 ) for all !. 1997 Slide L1–9 . Then: (! ) = (.! ) P3: If y Lecture notes to accompany Introduction to Spectral Analysis by P. Thus.
1) H (q ) y (t) 2 y (! ) = jH (! )j e( e(t) e (! ) Then !) y(t) = X 1 k=0 hk e(t .k = unit delay operator: q.1 H (q) = X 1 k=0 hk q. Moses. k) hk e. 1997 Slide L1–10 .1y(t) = y(t .Transfer of PSD Through Linear Systems System Function: where q . Prentice Hall. Stoica and R.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. Moses. ]g Find an estimate of Two Main Approaches : Nonparametric: – Derived from the PSD deﬁnitions. Stoica and R. 1997 Slide L1–11 .The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Prentice Hall.
1997 Slide L2–1 . Moses.Periodogram and Correlogram Methods Lecture 2 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
Periodogram Recall 2nd deﬁnition of (! ): 1 N y(t)e. Moses. Stoica and R. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L2–2 .i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).i!t (!) = Nlim E N !1 t=1 X > : 8 > < 2 9 > = > Given : Drop “ fy(t)gN t=1 lim ” and “E N !1 f g” to get X ^p(!) = 1 y(t)e.
i!k ^c(!) = k=. Prentice Hall.(N .1 X r(k)e.1) Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.i!k (k)” by “^(k)”: r r ^(k)e.1 N . Moses. 1997 Slide L2–3 .Correlogram Recall 1st deﬁnition of (! ): (! ) = P X 1 Truncate the “ ” and replace “r k=.
Covariance Estimators (or Sample Covariances) Standard unbiased estimate: 1 N y(t)y (t .k) k < 0 r Lecture notes to accompany Introduction to Spectral Analysis by P. k) k 0 ^ r(k) = N . Stoica and R. k t=k+1 X Standard biased estimate: 1 N y(t)y (t . 1997 Slide L2–4 . Prentice Hall. Moses. k) k 0 r(k) = N ^ t=k+1 X For both estimators: r ^(k) = ^ (.
Slide L2–5 Lecture notes to accompany Introduction to Spectral Analysis by P.i!k ^p(!) = ^c(!) Consequence: Both p ! and ^( ) ^c(!) can be analyzed simultaneously.1 X = ^c(!) k=. Moses. Stoica and R.(N . N ^p(!) = 1 y(t)e.Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). 1997 .1) r ^(k)e.i!t N t=1 X 2 = N . Prentice Hall.
r(k) may be large for large jkj ^ Even if the errors r k r k Nj. Thus. even for large N . 1997 Slide L2–6 . Prentice Hall. jk =0 there are “so many” that when summed in ! . Moses. Intuitive explanation: r(k) .1 are small. the PSD error is large. p! f^( ) .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. ( )] Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. ( )g ^ ( ) . ^p(!) and ^c(!) have poor performance.
1) 1 = wB (k)r(k)e. Stoica and R.i!k r k=.(N .1 X wB (k) = 8 < : = Thus. window E ^p(!) = 21 . Moses. Prentice Hall. N k=.i!k k=. or triangular. 1 jkj N Bartlett.1 n o n o X ! X N .1 jkj r(k)e.i!k = 1. ( )WB (! .(N . Slide L2–7 Lecture notes to accompany Introduction to Spectral Analysis by P.Bias Analysis of the Periodogram E ^p(!) = E ^c(!) = E f^(k)g e. ) d Z Ideally: WB (!) = Dirac impulse (!). 1997 . n o 0 k 1 . jNj jkj N .1) N .
Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Moses. WB 1=N . 1997 . Slide L2–8 Lecture notes to accompany Introduction to Spectral Analysis by P. for N = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Main lobe 3dB width For “small” N . (!) may differ quite a bit from (!). Stoica and R. Prentice Hall.
1997 Slide L2–9 . Stoica and R.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 . ^ 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.
severe bias As N . Prentice Hall. Moses. WB ! !. so ! is asymptotically unbiased. Stoica and R. 1997 Slide L2–10 . !1 ^( ) ( )! ( ) Lecture notes to accompany Introduction to Spectral Analysis by P.Periodogram Bias Properties Summary of Periodogram Bias Properties: For “small” N .
Periodogram Variance As N !1 E ^p(!1) . 1997 Slide L2–11 . Prentice Hall. Stoica and R. dev = φ(ω) too  Resolvability properties depend on both bias and variance. (!1) ^p(!2) . 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. Lecture notes to accompany Introduction to Spectral Analysis by P.
i 2 .i!t 2 k and W = e. 1 Direct computation of O N 2 ﬂops ( ) . Moses.Discrete Fourier Transform (DFT) Finite DTFT: YN (!) = X N t=1 y(t)e. 1997 Slide L2–12 .1 fY (k)gN=0 from fy(t)gN : t=1 k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 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 .
1997 .i2 =N . Moses.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 = . Prentice Hall. 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 . Stoica and R. Slide L2–13 t=1 ~ ~ f y(t) . y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P.
Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.FFT Computation Count Let ck Then = number of ﬂops for N = 2k point FFT. 1997 Slide L2–14 .1 k2k ) ck = 2 ck = 1 N log2 N 2 Thus. Moses. 2k + 2c ck = 2 k.
1 ! N k=0 ^ φ(ω) continuous curve Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. N=8 ω 2 k N . Stoica and R. 1997 Slide L2–15 .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 . Prentice Hall.1 N k=0 sampled.
1997 Slide L3–1 . Moses.Improved PeriodogramBased Methods Lecture 3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall.
Moses. Stoica and R. with small weight applied to covariances r k with “large” k . 1997 Slide L3–2 .(M .BlackmanTukey Method Basic Idea: Weighted correlogram.1 X k=. Prentice Hall. ^( ) jj ^BT (!) = M .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.
con't ^BT (!) = 1 ^p( )W (! . Prentice Hall. Stoica and R. 1997 . 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.BlackmanTukey Method. Moses. )d 2 .
)d 2 .1 X . 1997 Slide L3–4 . W (!)d! = equiv bandwidth e= W (0) Ne e = 1 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1) Ne = k=. Prentice Hall. Moses.(M (0) w Z w (k ) = equiv time width 1 2 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: TimeBandwidth Product M . 0 Z  {z } If W (!) 0 (.
The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. Once M is given. e) is essentially ) Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level). 1997 Slide L3–5 . Ne (and hence ﬁxed.Window Design. once M is given. Stoica and R. ) Choose M as a tradeoff between variance and bias. bias decreases and variance increases. con't e = 1=Ne = 0(1=M ) is the BT resolution threshold. Prentice Hall. As M increases.
M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Moses. Stoica and R. Prentice Hall. 1997 Slide L3–6 .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
Stoica and R. for N 1.1 ! = N j =0 Idea: “Local averaging” of (2J + 1) samples in the j (2 + 1) frequency domain should reduce the variance by about J . k +J 1 ^D(!k ) = ^p (!j ) 2J + 1 j=k.J X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L3–10 . Prentice Hall. f ^p(!j )g are (nearly) uncorrelated random variables for 2 j N . Moses.Daniell Method By a previous result.
Lecture notes to accompany Introduction to Spectral Analysis by P. for N 1. Then. Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral Let Z window. con't As J increases: Bias increases (more smoothing) Variance decreases (more averaging) = 2J=N . ^D(!) ' 1 ^p(!)d! 2 . Stoica and R. Moses.Daniell Method. 1997 Slide L3–11 . Prentice Hall.
1997 . ^p(!) by a suitably selected ^(k) using a lag – Implemented by truncating and weighting r window in c ! ^( ) Bartlett. BT periodogram – Local smoothing/averaging of spectral window. Welch periodograms – Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett.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. ^BT (!) with a rectangular Slide L3–12 – Implemented by local averaging of periodogram values. ^ () – Implemented by averaging subsample periodograms. Stoica and R. Moses. more general for Welch). Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Daniell Periodogram – Approximate interpretation: spectral window.
1997 Slide L4–1 . Stoica and R.Parametric Methods for Rational Spectra Lecture 4 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.
θ) ^ θ Estimate PSD ^ ^ =φ(ω.Basic Idea of Parametric Spectral Estimation Observed Data Assumed functional form of φ(ω. Moses. Note. P By Weierstrass theorem.i!k (!) is a rational function in e.i! . Stoica and R. 1997 Slide L4–2 ( ) .θ) Estimate parameters in φ(ω. ! can approximate arbitrarily well any continuous PSD.θ) φ(ω) possibly revise assumption on φ(ω) Rational Spectra jkj m k e.i!k (!) = P jkj n k e. Prentice Hall. provided m and n are chosen sufﬁciently large. 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. e. and ARMA Models By Spectral Factorization theorem. a rational factored as (!) can be B (!) 2 2 (!) = A(!) A(z) = 1 + a1z. 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. MA. 1997 . Stoica and R.m and. Moses.g.AR.1 + + anz.1 + + bmz.n B (z) = 1 + b1z..
k)g Lecture notes to accompany Introduction to Spectral Analysis by P. i) = m j =0 bj E fe(t . Moses. i) = X m j =0 bj e(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 . Stoica and R. j )y (t . Prentice Hall.k = j =0 = 0 for k > m B (q) = 1 h q. 1997 Slide L4–4 . j ) (b0 = 1) Multiply by y (t .k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k .
. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. . 1997 Slide L4–5 . .1) . Stoica and R. r (. r(n) : : : r(0) 1 = 2 R 0 2 6 6 6 4 7 7 7 5 " # " 32 6 6 6 4 3 7 7 7 5 # These are the Yule–Walker (YW) Equations.AR Signals: YuleWalker Equations AR: m = 0. Moses.n) .1) : : : r(. 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) . . 2 1 a1 = 0 . . .
^(. r ^(1) r(0) ^ ^.1) . Prentice Hall. . r . 1997 Slide L4–6 . 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) : : : ^(. . Moses. . . Stoica and R. .n) 1 r r ^2 .1 = 0 a . .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) ^(.
Stoica and R. . . 1) y(n + 1) y(n) . 3 7 5 Y =4 y(n) y(n . 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 . ^ = . . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. n) . . 1) y(N . . 1) : : : y (t . y(N . Prentice Hall. Moses.1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N . . 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 ) . 1997 Slide L4–7 . n)]T .(Y Y ).
1 . 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. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 . . .. n .. . . 1997 Slide L4–8 .. . {z . ...0 .Levinson–Durbin Algorithm Fast. Stoica and R.1 1 . Prentice Hall.n . Moses. orderrecursive solution to YW equations 2 6 6 6 4  0 . 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).
Moses. where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. 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.LevinsonDurbin Alg. 1997 Slide L4–9 . Stoica and R. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . . con't Relevant Properties of R: Rx = y $ Rx = y. Prentice Hall.
n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 .LevinsonDurbin Alg. 1997 . Moses. Prentice Hall. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. 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. 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.
MA Signals MA: n =0 y(t) = B (q)e(t) = e(t) + b1e(t . 1997 Slide L4–11 . Moses. 1) + + bme(t . Prentice Hall. r(k) = 0 for jkj > m and 2 2 = m r(k)e. Stoica and R.i!k (!) = jB(!)j k=.m X Lecture notes to accompany Introduction to Spectral Analysis by P. m) Thus.
^(!) is not guaranteed to be 0 =0 Both methods are special cases of ARMA methods described below. with AR model order n . Prentice Hall.m ^BT (!) with a rectangular lag window of 2m + 1. Lecture notes to accompany Introduction to Spectral Analysis by P. Insert sample covariances (! ) = This is length X m f^(k)g in: r r(k)e. 1997 Slide L4–12 .i!k k=. Stoica and R. Moses. Estimate fbkg and 2 and insert them in (!) = jB(!)j2 2 nonlinear estimation problem ^(!) is guaranteed to be 0 2.MA Spectrum Estimation Two main ways to Estimate (! ): 1.
Prentice Hall. Stoica and R. A(q)y(t) = B (q)e(t) B (!) 2 = m=.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . Moses. 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 .m k e. 1997 Slide L4–13 . k)] g = E f A(q)y(t)] A(q)y(t .ARMA Signals ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).
1997 Slide L4–14 . ^(!) is not guaranteed to be 0 Lecture notes to accompany Introduction to Spectral Analysis by P. Estimate fai r(k)g in (!) = P m . Stoica and R.m k e jA(!)j2 linear estimation problem (the Modiﬁed YuleWalker method).ARMA Spectrum Estimation Two Methods: 2g in (!) = 2 B(!) 2 1.i!k k=. Moses. Prentice Hall. Estimate fai bj A(!) nonlinear estimation problem. can use an approximate linear twostage least squares method ^(!) is guaranteed to be 0 2.
f kgK=1 by using AR k 1b) Estimate the noise sequence ^(t) = y(t) + ^1y(t . 1) + e and its variance + ^K y(t . Stoica and R. 1) + + K y(t . Prentice Hall. K t=K +1 X Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L4–15 . 1) + 2y(t . 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate.TwoStage LeastSquares Method Assumption: The ARMA model is invertible: A e(t) = B(q) y(t) (q ) = y(t) + 1y(t . K ) 1a) Estimate the coefﬁcients modelling techniques. Moses. K ) ^2 = N 1 j^(t)j2 e N . for some large K e(t) ' y(t) + 1y(t .
m)] e e = a1 : : : an b1 : : : bm]T Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. con't fe(t)g by ^(t) in the ARMA equation. Note that the ai and bj coefﬁcients enter linearly in the above equation: y(t) .y(t . 1997 Slide L4–16 . 1) : : : ^(t . Prentice Hall. ^(t) ' . y(t . e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares Step 2: Replace techniques. n) e ^(t . 1) : : : . Moses.TwoStage LeastSquares Method.
# 2 = r(m + M . n + M ) . r(m + M ) r(m + 1) r(m + 2) 3 7 If M n. the accuracy of ai is often better for M > n Lecture notes to accompany Introduction to Spectral Analysis by P. . least f^ g Note: For narrowband ARMA signals.. n + 1) r(m . Prentice Hall. Moses. fast Levinsontype algorithms exist for obtaining ai . = m + 1 ::: m + M a1 an . Stoica and R.. 1997 Slide L4–17 . = f^ g Y W system of equations. i) = 0 k > m 3 7 5 " r(m) r(m + 1) . If M > n overdetermined squares solution for ai . . . r f^ g . 1) : : : r(m . n + 2) .6 4 Replace fr(k)g by f^(k)g and solve for faig. . : : : r(m . .Modiﬁed YuleWalker Method ARMA Covariance Equation: r(k) + 2 6 4 X n In matrix form for k i=1 air(k . . 5 . . .
Stoica and R. Moses.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. 1997 Slide L4–18 .
Stoica and R. Prentice Hall.Parametric Methods for Line Spectra — Part 1 Lecture 5 Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–1 . Moses.
Stoica and R. Examples: communications radar.Line Spectra Many applications have signals with (near) sinusoidal components. 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 . Moses. 1997 . !1 !2 !3  An “Ideal” line spectrum Lecture notes to accompany Introduction to Spectral Analysis by P.
Moses. uniformly distributed on . ] (prevents model ambiguities) f'k g = independent rv's. Stoica and R. ] (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.Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 . superimposed in white noise of k 2. 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 . 1997 . Prentice Hall.
r(k) = E fy(t)y (t . Prentice Hall.i'j o = 1. Stoica and R. e E xp(t)xj (t . !p) + 2 p Slide L5–4 Lecture notes to accompany Introduction to Spectral Analysis by P. for p 6= j =2 . k)g = n=1 2ei!pk + 2 k 0 p p P and (! ) = 2 X n p=1 2 (! .Covariance Function and PSD Note that: E E n i'p e. k) = 2 ei!pk p j p n o Hence. for p = j e i'p e.i'j o e Z n 1 i' d' 2 = 0. 1997 . Moses.i'j o = E nei'p o E ne.
Stoica and R. Moses. ^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L5–5 .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 . Prentice Hall.
B = eiN!1 eiN!n k 2 6 4 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P. . Prentice Hall. . . 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 . 1997 Slide L5–6 . Stoica and R.Nonlinear Least Squares (NLS) Method min' g f! Let: X N k k k t=1  y(t) . Moses.
(B B). 1997 Slide L5–7 . (B B). Prentice Hall.Nonlinear Least Squares (NLS) Method.1B Y ] B B] . Y B(B B).1B Y !=^ ! and ! = arg max Y B (B B ).1B Y ^ ! Lecture notes to accompany Introduction to Spectral Analysis by P. con't Then: F = (Y . B ) (Y . Stoica and R.1B Y This gives: ^ = (B B). B k2 = . Moses.1B Y ] +Y Y . B ) = kY .
Prentice Hall. ! Difﬁcult Implementation: The NLS cost function F is multimodal. 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. it is difﬁcult to avoid convergence to local minima. 1997 Slide L5–8 . Moses.5. Lecture notes to accompany Introduction to Spectral Analysis by P.
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. Prentice Hall.HighOrder YuleWalker Method. 1997 Slide L5–12 . Stoica and R. con't Estimation Procedure: Estimate f^igL=1 using an ARMA MYW technique b i ^( ) Roots of B q give “spurious” roots. f!kgn=1. n ^ k Lecture notes to accompany Introduction to Spectral Analysis by P. along with L .
. 1997 Slide L5–13 . i) = 0 k > L In matrix form for k 2 6 6 6 4  = L + 1 ::: L + M 3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 } : : : r(1) r(L + 1) : : : r(2) b = . . r(L + 2) . . Moses. Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.HighOrder and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . r(L + M . . . 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.
Lecture notes to accompany Introduction to Spectral Analysis by P.V . The MinimumNorm solution is b = . (U V )b = . 1997 Slide L5–14 . n) spurious zeros of B (q ) are located strictly inside the unit circle. Stoica and R.HighOrder and Overdetermined YW Equations. diagonal and nonsingular Thus. if the MinimumNorm solution b is used. Moses. 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). Prentice Hall. y = .1U Important property: The additional (L .
Compute ^ = .V ^ . 1997 Slide L5–15 . V be deﬁned similarly to U . V from the Let U .1U ^ ^ ^ b ^(q) that Then !k n=1 are found from the n zeroes of B k are closest to the unit circle. f^ g When the SNR is low.HOYW Equations. Stoica and R. Prentice Hall. this is the price paid for increased accuracy when L > n. . Moses. SVD of . Practical Solution Let ^= ^ ^ ^ ^ but made from f^(k)g instead of fr(k)g. Lecture notes to accompany Introduction to Spectral Analysis by P. this approach may give spurious frequency estimates when L > n. r .
Prentice Hall. Stoica and R. Moses. 1997 Slide L6–1 .Parametric Methods for Line Spectra — Part 2 Lecture 6 Lecture notes to accompany Introduction to Spectral Analysis by P.
i(m. = Ax(t) + ~(t) ~ e where x(t) = x1(t) : : : xn(t)]T ~ ~(t) = e(t) : : : e(t . m + 1)]T e 4 R = E fy(t)~ (t)g = APA + 2I ~ y Then with 2 P = E fx(t)~ (t)g = ~ x 6 4 2 1 0 .. 1997 Slide L6–2 . . Prentice Hall. m + 1) .1)! ]T A = a(!1) : : : a(!n)] (m n) rank Note: Deﬁne (A) = n y(t) y(t .The Covariance Matrix Equation Let: a(!) = 1 e.i! : : : e. 1) (for m 3 7 7 7 5 n) 2 46 y(t) = 6 ~ 6 4 y(t . 0 2 n 3 7 5 Lecture notes to accompany Introduction to Spectral Analysis by P.. Moses. Stoica and R.
ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. 1997 Slide L6–3 . Moses.. 2 R = S G] 6 4 1 3 " .Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm.n] (m (m .. Stoica and R. n)) Thus. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall.
Eigendecomposition of R and Its Properties. Therefore.. = = nonsingular 0 n.1) = AC S = A(PA S ( ) = rank(A) = n). 0 n 3 7 5 with C (since rank S . Stoica and R. 2 2 6 4 3 7 5 2 6 4 Note: RS = APA S + 2S = S 1 0 . since S G j j 6= 0 4 . con't As rank (APA ) = n: k > 2 k = 1 ::: n k = 2 k = n + 1 ::: m 0 1. 1997 . 2 . Prentice Hall.. Moses. . =0 A G=0 Slide L6–4 Lecture notes to accompany Introduction to Spectral Analysis by P..
Stoica and R. 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. Prentice Hall.MUSIC Method a (!1) . . 1997 Slide L6–5 . A G= G=0 a (!n) ) fa(!k )gn=1 ? R(G) k 2 6 4 3 7 5 Thus. Moses. f!kgn=1 are the unique solutions of k a (!)GG a(!) = 0.
1997 Slide L6–6 . Here. Lecture notes to accompany Introduction to Spectral Analysis by P.1 : : : z.1)]T Note: Both variants of MUSIC may produce spurious frequency estimates. Stoica and R.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 . a(z) = 1 z.(m.1)GG a(z) = 0 that are closest to the unit circle. Prentice Hall. Moses. a (!)G ^ Root MUSIC Method: ] f!kgn=1 = the angular positions of the n roots of: ^ k ^^ aT (z.
Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). If: =n+1 m=n+1 Then: ^ g G = ^1. 1997 Slide L6–7 . Stoica and R. Moses.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. Prentice Hall.
Uses m n (as in MUSIC). but only one vector in G (as in Pisarenko). 1997 Slide L6–8 . R( ) Let " 1 = the vector in R(G). with ﬁrst element equal ^ ^ to one. Prentice Hall. and reduce risk of false frequency estimates. Stoica and R.MinNorm Method Goals: Reduce computational burden. Moses. g # Lecture notes to accompany Introduction to Spectral Analysis by P. that has minimum Euclidean norm.
Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.1) 1 ^ g " # that are closest to the unit circle.MinNorm Method. 1997 Slide L6–9 . Stoica and R. 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.
g " # MinNorm solution: As: ^ = . k k2) ) ^ = .1 exists iff = k k2 6= 1 (This holds.) ^^ I=S S= Multiplying the above equation by gives: (1 .S(S S ). Prentice Hall. k k2) = (S S ) ) (S S ). k k2) g Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L6–10 . Stoica and R.1 = =(1 . at least. (S S ).1 g + S S .Let S ^= S g1 . Moses.1 gm " # " # MinNorm Method: Determining g ^ Then: 1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= .S =(1 . for N 1.
i!n S1 = Im.. where e.1]A Then A2 Also.1 0]S S2 = 0 Im.1 0]A A2 = 0 Im.1]S 2 6 4  3 7 5 Recall S = AC with jC j 6= 0. D= 0 e. determined as is uniquely = (S1S1). Then S2 = A2C = A1DC = S1 C .1DC {z } So has the same eigenvalues as D . Moses.i!1 0 . let = A1D. Prentice Hall. 1997 Slide L6–11 .1S1S2 Lecture notes to accompany Introduction to Spectral Analysis by P.ESPRIT Method Let A1 = Im.. Stoica and R.
Prentice Hall. then S1 and S2 . 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.ESPRIT Implementation From the eigendecomposition of R. ^ ^ ^ ^ The frequency estimates are found by: where f^kgn=1 are the eigenvalues of k ^ = (S1S1). 1997 Slide L6–12 . Moses. ﬁnd S .1S1S2 ^^ ^^ f!kgn=1 = . Stoica and R.
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. Stoica and R. 1997 . Prentice Hall. Moses.
Moses. Stoica and R. Prentice Hall. 1997 Slide L7–1 .Filter Bank Methods Lecture 7 Lecture notes to accompany Introduction to Spectral Analysis by P.
but 2 requires to ensure that the number of estimated values = = ) is < N .Basic Ideas Two main PSD estimation approaches: 1. Stoica and R. Parametric Approach: Parameterize ﬁnitedimensional model. Moses. by assuming that ! is nearly constant over the bands f ( )g ( ) !. Lecture notes to accompany Introduction to Spectral Analysis by P. Nonparametric Approach: Implicitly smooth ! !=. (!) by a 2. !+ ] N >1 1 2 is more general than 1. Prentice Hall. 1997 Slide L7–2 . ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods.
1997 . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. as well as (b) and (c). !c @Q Q ! . 2 ! + 2 ] Note that assumptions (a) and (b). c ( )d = (') (!) (a) consistent power calculation (b) Ideal passband ﬁlter with bandwidth (c) ( ) constant on 2 ! .Filter Bank Approach to Spectral Estimation H 6 (!) 1 !c ! Filtered Signal y (t) . Z 6 ~ (! ) @ ! (b) Z !c ^FB (!) ' 1 2 (a) . jH ( )j2 ( )d = ' 21 !+ !. Moses. Prentice Hall.with varying ! Power Calculation Bandpass Filter c and xed bandwidth  Power in the band  Division by lter bandwidth ^(!c )  6 y y (! ) . are conﬂicting.
t) t=1 X X = N where ( X 1 k=0 hk y(N . 1997 .i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . Moses.!) .!) . 1 H (!) = hk e ! N ei(~. Stoica and R.i!k = 1 eiN (~. k) 2 ! . 1 k=0 X 1 ei!k k = 0 : : : N . 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.Filter Bank Interpretation of the Periodogram 1 N y(t)e.
^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. for N = 50. !). power calculation from only 1 sample of ﬁlter output. ! 0 −5 −10 −15 dB −20 −25 −30 −35 −40 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Conclusion: The periodogram p ! is a ﬁlter bank PSD estimator with bandpass ﬁlter as given above. Moses. Stoica and R.Filter Bank Interpretation of the Periodogram. Prentice Hall. con't jH (!)j as a function of (~ . and: narrow ﬁlter passband. 1997 Slide L7–5 .
~ provides several samples for power calculation. 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. more data points for the power calculation stage. Moses. Both approaches compromise bias for variance. Split the available sample. and bandpass ﬁlter each subsample. Use several bandpass ﬁlters on the whole sample.Possible Improvements to the Filter Bank Approach 1. This “multiwindow approach” is similar to the Daniell method. Prentice Hall. 1997 Slide L7–6 . Each ﬁlter covers a small band centered on ! . 2. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.
yF (t) = X m k=0  hk y(t . Stoica and R.i! : : : e.i!k = h a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. y(t . 1997 Slide L7–7 .im! ]T hk e. m) h y(t) ~ E jyF (t)j2 = h Rh R = E fy(t)~ (t)g ~ y {z } 7 5 {z } n o y(t) 3 H (! ) = where a X m (! ) = 1 k=0 e.Capon Method Idea: Datadependent bandpass ﬁlter design. k) 2 6 4  . Moses. Prentice Hall. = h0 h1 : : : hm] .
m t=m+1 X Lecture notes to accompany Introduction to Spectral Analysis by P. n The Bandwidth 1 ' m+1 = (ﬁlter 1 length) Conclusion Estimate PSD as: +1 ^(!) = m^. Prentice Hall.1 a (!)R a(!) with N 1 ^ y(t)~ (t) ~ y R = N .Capon Method. Moses.1a=a R.1a(!) which should be the power of y (t) in a passband centered on ! . Stoica and R. con't Capon Filter Design Problem: min(h Rh) h Solution: subject to h a(!) = 1 h0 = R.1a o The power at the ﬁlter output is: E jyF (t)j2 = h0Rh0 = 1=a (!)R. 1997 Slide L7–8 .
Moses. Prentice Hall. Lecture notes to accompany Introduction to Spectral Analysis by P. but it splits the N data point sample into (N m) subsequences of length m with maximum overlap. Capon uses one bandpass ﬁlter only. bias decreases and variance increases. 1997 Slide L7–9 .Capon Properties m is the user parameter that controls the compromise between bias and variance: – as m increases. Stoica and R. .
j )] ^ r = m+1 X X X Then we have ^ a (!)Ra(!) ^BT (!) = m+1 m+1 ^C (!) = ^ a (!)R. Prentice Hall. Stoica and R.m m + 1 1 m m ^(t .i!k ^ k=.Relation between Capon and BlackmanTukey Methods Consider ^BT (!) with Bartlett window: m m + 1 .s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i .i!(t.1a(!) Lecture notes to accompany Introduction to Spectral Analysis by P. jkj ^BT (!) = r(k)e. s)e. 1997 Slide L7–10 . Moses.
Prentice Hall. Moses. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P. 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). Stoica and R. C ! generally has worse resolution and bias properties than the AR method. 1997 Slide L7–11 . AR Then ^C (!) = 1 1 m 1= ^AR(!) m + 1 k=0 k X Consequences: Due to the average over k. C ! generally has less statistical variability than the AR PSD estimator.
Stoica and R. Prentice Hall. Moses. 1997 Slide L8–1 .Spatial Methods — Part 1 Lecture 8 Lecture notes to accompany Introduction to Spectral Analysis by P.
R . Moses. communications. seismology.@ . Stoica and R. Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. v Source n @. Emitted energy: Acoustic. Prentice Hall. 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. @.. . .. electromagnetic.@ . @. Sensor 1 @. @. mechanical Receiving sensors: Hydrophones.. . antennas. seismometers Applications: Radar. 1997 Slide L8–2 . sonar. @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ . . @.
) Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L8–3 . Moses.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 array is calibrated. Stoica and R. Prentice Hall. The number of sources n is known. AOA). (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is.
g. etc.Array Model — Single Emitter Case x(t) = k= the signal waveform as measured at a reference point (e. () f kg with hk(t) This is a timedelay estimation problem in the unknown input case. Prentice Hall. Then the output of sensor k is yk (t) = hk (t) x(t . k) + ek (t) ( = convolution operator).. background noise.. Moses. 1997 Slide L8–4 . thermal noise in sensor electronics.) hk (t) = ek (t) = Note: t 2 R (continuoustime signals). Basic Problem: Estimate the time delays known but x t unknown. Lecture notes to accompany Introduction to Spectral Analysis by P. 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.g.
Moses. !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 . Prentice Hall. Stoica and R. k ) ' (t) cos !ct + '(t) . 1997 . !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. the kth sensor output is yk (t) = jHk (!c)j (t) cos !ct + '(t) . Then: x(t) = (t) cos !ct + '(t)] where (t) '(t) vary “slowly enough” so that (t . k) ' (t) '(t . k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t .
Complex Signal Representation The noisefree output has the form: z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e.i!ct ~ = yk(t) cos(!ct) . Stoica and R. Prentice Hall.i!c k + ek (t) where s(t) is the complex envelope of x(t).i!ct to obtain (t)ei (t) lowpass highpass Hence. 1997 Slide L8–6 or . iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e.i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e.i! + ek (t)  s(t) {z }  Hk (!c) {z k c } c k yk (t) = s(t)Hk (!c) e.i 2!ct+ (t)] g n o  {z }  {z } Lowpass ﬁlter 2z(t)e.!ct = (t)f ei (t) + e. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. by lowpass ﬁltering and sampling the signal yk (t)=2 = yk(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
Prentice Hall. 1997 Slide L8–10 . Moses.Uniform Linear Arrays Source h JJ J J J J JJ J ^ J J JJ JJ+ JJ JJ 2 ] J d sin J ^ JJ J JJ 3 J J v 4 1 v ]? v d  v ppp m vSensor ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k: where c = wave propagation speed d sin k = (k . Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P.
Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e. Stoica and R. Moses. !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.i!s : : : e. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 .i(m.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Prentice Hall.
Spatial Methods — Part 2 Lecture 9 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses. Stoica and R. 1997 Slide L9–1 .
Stoica and R. Prentice Hall.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. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–2 .
1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .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 . 1997 Slide L9–3 . k) = h y(t) k=0 h = ho : : : hm.1] y(t) = u(t) : : : u(t .i(m.i! : : : e. Lecture notes to accompany Introduction to Spectral Analysis by P. m + 1)]T If u m. Prentice Hall. Moses. Stoica and R.
Analogy between Temporal and Spatial Filtering Spatial Filter: fyk(t)gm=1 = k the “spatial samples” obtained with a sensor array. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall. 1997 Slide L9–4 . Spatial FIR Filter output: yF (t) = X m k=1 hk yk (t) = h y(t) Narrowband Wavefront: The array's (noisefree) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is: () y(t) = a( )s(t) a( ) = 1 e.i!c 2 : : : e. Moses.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.
! hm.@ 0 B 1 C h @@ C B B e.  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...1 ?  1 . 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.i! C @ h a(!)]u(t) R @ C . Prentice Hall. Stoica and R.i! Be 2 B !! B B B B . ? qq 1 ! (Spatial sampling) (b) Spatial ﬁlter Lecture notes to accompany Introduction to Spectral Analysis by P. B B @ . C C B C B C B C B C B A @ .i m. 1997 Slide L9–5 . B .1 q . Cu(t) C B . Moses.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q.B .? B P C B C B B B .
Spatial Filtering. Prentice Hall. Here. 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. con't Example: The response magnitude h a of a spatial ﬁlter (or beamformer) for a 10element ULA. Moses. 1997 Slide L9–6 . Stoica and R. h a 0 .
To locate an emitter in the ﬁeld of view. 1997 Slide L9–7 . Moses. Lecture notes to accompany Introduction to Spectral Analysis by P. by sweeping the ﬁlter through the DOA range of interest (“goniometer”).Spatial Filtering Uses Spatial Filters can be used To pass the signal of interest only. Prentice Hall. Stoica and R. hence ﬁltering out interferences located outside the ﬁlter's beam (but possibly having the same temporal characteristics as the signal).
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.Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. and evaluate the powers of the ﬁltered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. 1997 . Stoica and R. Prentice Hall. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. n o n o The (dominant) peaks of h DOAs of the sources.
Prentice Hall. Moses. () 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. Stoica and R. y t can be considered as impinging on the array from all DOAs.Beamforming Method Assume the array output is spatially white: Then: R = E fy(t)y (t)g = I E jyF (t)j2 = h h n o Hence: In direct analogy with the temporally white assumption for ﬁlter bank methods. 1997 Slide L9–9 .
1997 . Stoica and R. 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 . but Slide L9–10 Lecture notes to accompany Introduction to Spectral Analysis by P. Resolution Threshold: inf j k . 1 = 1. Prentice Hall. ( )^ ( ) This is the direct spatial analog of the BlackmanTukey periodogram. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > .
Capon Method Filter design: min(h Rh) subject to h a( ) = 1 h Solution: h = R. Moses. 1997 Slide L9–11 . Both Beamforming and Capon are nonparametric approaches.1a( ): Performance: Slightly superior to Beamforming. Prentice Hall.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.1a( ) E jyF (t)j2 = 1=a ( )R. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).1a( )=a ( )R.
Prentice Hall. almost without modiﬁcation. Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–12 . YW. MINNORM and ESPRIT methods of frequency estimation can be used. Stoica and R. for DOA estimation.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. Then: R = E fy(t)y (t)g = APA + 2I Thus: The NLS. Moses. MUSIC.
1A y(t) t = 1 : : : N s X Then 1 N k I .Nonlinear Least Squares Method 1 N ky(t) .1A ]y(t) = N t=1 ^ = trf I . A(A A). this is precisely the form of the NLS method of frequency estimation.1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I .1A ]Rg X f kg For N . A(A A). Stoica and R. f ^k g = arg max trf A(A A). Moses. Prentice Hall. 1997 Slide L9–13 =1 .1A ]Rg ^ Thus. 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).
Prentice Hall. Moses.Nonlinear Least Squares Method Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search. 1997 Slide L9–14 . Stoica and R. Lecture notes to accompany Introduction to Spectral Analysis by P.
Stoica and R.n 0 V2 g L n M .= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (. and the SVD of .) = n.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 ~ .n ~ ~ Properties: A V2 = 0 V1 2 R(A) Then: rank {z} {z} Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–15 . Moses. is . = U1 U2 ] 0 n n 0 V1 g n . Prentice Hall.
Stoica and R. Moses. (L 1). is the “array transfer vector” for y(t) a ~ at DOA ^ V2 is deﬁned similarly to V2. 1997 Slide L9–16 .YWMUSIC DOA Estimator f^kg = where the n largest peaks of 1=~ ( )V2V2 ~( ) a ^^a ~( ). using 1 N y(t)~ (t) ^ . Prentice Hall.=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.
Lecture notes to accompany Introduction to Spectral Analysis by P. 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. Moses. 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. Stoica and R. if rank (P ) = rank(E fs(t)s (t)g) < n Modiﬁcations that apply in the coherent case exist. Prentice Hall. that is.
Moses.i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. Lecture notes to accompany Introduction to Spectral Analysis by P... Prentice Hall. D= 0 e.ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. 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 . where e. Stoica and R. 1997 Slide L9–18 ( ) = d sin( )=c .
Stoica and R.1 .1]A Lecture notes to accompany Introduction to Spectral Analysis by P. 1997 Slide L9–19 . Moses.1 0]A = . Prentice Hall.1 A1 = Im. the two subarrays are often the ﬁrst m and last m array elements.ESPRIT Method. 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. so m m and .1 A2 = 0 Im.
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