Basic Definitions and The Spectral Estimation Problem

Lecture 1

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

Slide L1–1

Informal Definition of Spectral Estimation

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

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

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

Slide L1–2

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

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

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

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

Prentice Hall.Random Signals Random Signal random signal probabilistic statements about future variations t current observation time Here: X 1 t=. 1997 Slide L1–6 . Moses.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. (!)d! Z (!)d! = infinitesimal signal power in the band ! d! 2 Lecture notes to accompany Introduction to Spectral Analysis by P.k) r(0) jr(k)j Z Note that r(k) = 21 . 1997 Slide L1–7 . (!)ei!k d! n o (Inverse DTFT) Interpretation: so r(0) = E jy(t)j2 = 21 .1 r(k)e. Prentice Hall.First Definition of PSD (! ) = where r X 1 k=.i!k (k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t . k)g r(k) = r (. Stoica and R.

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

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

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

1997 Slide L1–11 .The Spectral Estimation Problem The Problem: From a sample fy(1) : : : y(N )g (!): f ^(!) ! 2 . Moses. 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. Stoica and R. Prentice Hall.

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

i!t N t=1 Natural estimator N 2 Used by Schuster ( 1900) to determine “hidden periodicities” (hence the name).Periodogram Recall 2nd definition of (! ): 1 N y(t)e. Stoica and R.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. 1997 Slide L2–2 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. Moses.

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

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

Moses.i!t N t=1 X 2 = N .1) r ^(k)e. Prentice Hall.(N . N ^p(!) = 1 y(t)e. Stoica and R. 1997 .Relationship Between ^p (! ) and ^c(! ) If: the biased ACS estimator r Then: ^(k) is used in ^c(!). 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=.

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

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

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

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

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

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

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

1 = 2p + 1: X t=1 ~ ~ y(t) + y(t + N )]W tp Y (2p + 1) = Each is a N ~ N ~ = N=2-point DFT computation. y(t + N )]W tgW tp Lecture notes to accompany Introduction to Spectral Analysis by P. 2 = 2p: Y (2p) = For k X ~ N = 1 3 5 : : : N . Moses.i2 =N . Stoica and R. ~ 4 = 0 2 4 : : : N . 1997 .1 for odd k Assume: X X X Let N For k ~ ~ = N=2 and W = W 2 = e.Radix–2 Fast Fourier Transform (FFT) N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = . Slide L2–13 t=1 ~ ~ f y(t) . Prentice Hall.

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

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

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

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

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

Prentice Hall. 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. )d 2 .1) Ne = k=. w(k) is a psd sequence) ^BT (!) 0 (which is desirable) Then: Time-Bandwidth Product M .(M (0) w Z w (k ) = equiv time width 1 2 .Window Design Considerations Nonnegativeness: ^BT (!) = 1 ^p( ) W (! . 0 Z | {z } If W (!) 0 (. Moses.1 X .

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

Moses.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. M 0 = 25 −10 −20 dB −30 −40 −50 −60 −3 −2 −1 0 1 ANGULAR FREQUENCY 2 3 Rectangular Window. Prentice Hall. 1997 Slide L3–6 . Stoica and R.

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

^1(ω) ^2(ω) φ φ

... average

^L(ω) φ

^B(ω) φ
Mathematically:

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

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

M

2

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

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

Slide L3–7

Comparison of Bartlett and Blackman-Tukey Estimates

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

8 > < > :

M ;1 X

=

'
Thus:

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

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

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

9 > = >

L j =1

r ^j (k) e;i!k

r ^(k)e;i!k

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

with a rectangular lag window wR k

()

^( )

fwR(k)g, the Bartlett

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

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

1

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

N

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

=

])

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

^BT (!) with a
Slide L3–9

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

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

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

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

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

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

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

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

Moses. . 2 1 a1 = 0 .1) . r(1) r(0) . . Stoica and R.n) . . 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(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: Yule-Walker Equations AR: m = 0. r (. . 1997 Slide L4–5 . Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. . .1) : : : r(.

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

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

.. Prentice Hall. 1997 Slide L4–8 . order-recursive 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). {z ..1 .1 1 . Stoica and R. . . 0 2 n 3 7 7 7 5 O(n3) flops = 1 : : : n: O(n4) flops Levinson–Durbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 flops! =1 ( ) Lecture notes to accompany Introduction to Spectral Analysis by P. n .. Direct Solution: For one given value of n: For k Rn+1 1 0 = 0 .n .0 .Levinson–Durbin Algorithm Fast. . Moses. .. .

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

Moses. n = n ) n+1 = 0 + kn 2+1 = n + kn n = n(1 . 2 kn = . jknj2) 2 2 n " n # " ~n 1 # Computation count: k flops for the step k 2 ) n2 flops !k+1 2 to determine f k k gn=1 k Slide L4–10 This is O (n2) times faster than the direct solution. 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.Levinson-Durbin Alg. Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 . Stoica and R.

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

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

Prentice Hall. Stoica and R. 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). j ) Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.i!k k (!) = 2 A(!) jA(!)j2 P where k = E f B(q)e(t)] B(q)e(t . k)] g = X n X n j =0 p=0 aj ap r(k + p . 1997 Slide L4–13 . A(q)y(t) = B (q)e(t) B (!) 2 = m=.m k e.

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

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

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

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

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

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

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

] (prevents model ambiguities) f'k g = independent rv's. Prentice Hall. 1997 . Moses. 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. uniformly distributed on . 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 .

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

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

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

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

it is difficult to avoid convergence to local minima.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. Prentice Hall. 1997 Slide L5–8 . Moses.5. Stoica and R. ! Difficult Implementation: The NLS cost function F is multimodal. 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

High-Order Yule-Walker Method Recall:

y(t) = x(t) + e(t) =

k ei(!k t+'k ) +e(t) | {z } k=1 xk (t)
X

n

“Degenerate” ARMA equation for y (t):
n

(1 ; ei!k q;1)xk (t) = k ei(!kt+'k) ; ei!k ei !k(t;1)+'k] = 0
o

Let

B (q) = 1 +

4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X

L

Then B

(q)x(t) 0 ) B (q)y(t) = B (q)e(t)
Slide L5–11

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Stoica and R.Summary of Frequency Estimation Methods Method Periodogram Nonlinear LS Yule-Walker Pisarenko MUSIC Min-Norm ESPRIT Computational Accuracy / Risk for False Burden Resolution Freq Estimates small medium-high medium very high very high very high medium high medium small low none high high medium medium high small medium very high none Recommendation: Use Periodogram for medium-resolution applications Use ESPRIT for high-resolution applications Slide L6–13 Lecture notes to accompany Introduction to Spectral Analysis by P. Prentice Hall. 1997 . Moses.

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

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

Moses.with varying ! Power Calculation Bandpass Filter c and xed bandwidth - Power in the band - Division by lter bandwidth ^(!c ) - 6 y y (! ) . Prentice Hall. Z 6 ~ (! ) @ -! (b) Z !c ^FB (!) ' 1 2 (a) . 1997 . jH ( )j2 ( )d = ' 21 !+ !. as well as (b) and (c). 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) . Slide L7–3 Lecture notes to accompany Introduction to Spectral Analysis by P. !c @Q Q -! . are conflicting. 2 ! + 2 ] Note that assumptions (a) and (b). Stoica and R.

Prentice Hall. 1 k=0 X 1 ei!k k = 0 : : : N .i!k = 1 eiN (~.i!t 2 ~ ^p(~) = ! 4 N t=1 2 N 1 ~ = N y(t)ei!(N . k) 2 ! . 1 H (!) = hk e ! N ei(~.!) . 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. Moses.t) t=1 X X = N where ( X 1 k=0 hk y(N . Stoica and R. 1997 .!) .

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

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

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

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

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

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

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

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

antennas. @. . Prentice Hall. @. @.The Spatial Spectral Estimation Problem Source 1 vSource 2 B B B B N B cccc ccc c c c c c v @ .R . Emitted energy: Acoustic.@ .@ . v Source n @. . electromagnetic.. underwater surveillance Basic Approach: Determine energy distribution over space (thus the name “spatial spectral analysis”) Lecture notes to accompany Introduction to Spectral Analysis by P. ... Moses. @. mechanical Receiving sensors: Hydrophones. . seismology. @. sonar. communications. 1997 Slide L8–2 . Sensor 2 Sensor m Problem: Detect and locate n radiating sources by using an array of m passive sensors. seismometers Applications: Radar. Sensor 1 @. Stoica and R.

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

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

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

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

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

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

1

3 7 5

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

3 7 5

Then

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

()

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

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

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

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

-

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

Slide L8–8

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

fsk(t)gn=1 k

k

Linear sensors

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

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

Let

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

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

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

!s = spatial frequency The function !s 7! a( ) is one-to-one for j!sj $ dj sin j 1 d =2 As =2 d =2 is a spatial Shannon sampling theorem.Spatial Frequency Let: sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e.1)!s ]T By direct analogy with the vector a(! ) made from uniform samples of a sinusoidal time series. Stoica and R. Slide L8–11 d = spatial sampling period Lecture notes to accompany Introduction to Spectral Analysis by P.i(m.i!s : : : e. 1997 . Prentice Hall. Moses.

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

Stoica and R. Prentice Hall. 1997 Slide L9–2 . Lecture notes to accompany Introduction to Spectral Analysis by P. Moses.Spatial Filtering Spatial filtering useful for DOA discrimination (similar to frequency discrimination of time-series filtering) Nonparametric DOA estimation There is a strong analogy between temporal filtering and spatial filtering.

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

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

@ 0 B 1 C h @@ C B B e.1 q . | e {z } ? a(!) 1 ? 0 qq ( 1) 1 (Temporal sampling) (a) Temporal filter narrowband source with DOA= Z z Z Z Z ~ aa 1reference !! h 0 0 1 B aa 2. 1997 Slide L9–5 . Stoica and R. Cu(t) C B . Moses.i! C @ h a(!)]u(t) R @ C . ! hm. s qq h - ? 1 ? - m. B B @ . B . Prentice Hall.Analogy between Temporal and Spatial Filtering u(t) = ei!t z 1 s q...i m.? B -P C B C B B B .1 ? - 1 .i! Be 2 B !! B B B B . C C B C B C B C B C B A @ .i! m | e {z a( ) aa m! point ( ) qq ( ) 1 C C C C C Cs(t) C C C C C A } - ? @ ? @ @ h - 1 @ R @ - P h a( )]s(t) - hm.B . ? qq 1 ! (Spatial sampling) (b) Spatial filter 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 10-element ULA. Stoica and R. Moses. h a 0 .Spatial Filtering. 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. Prentice Hall. Here. 1997 Slide L9–6 .

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

1997 .Nonparametric Spatial Methods A Filter Bank Approach to DOA estimation. ( )Rh( ) give the Slide L9–8 Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. Stoica and R. n o n o The (dominant) peaks of h DOAs of the sources. and evaluate the powers of the filtered signals: E jyF (t)j2 = E jh ( )y(t)j2 = h ( )Rh( ) with R = E fy (t)y (t)g. Prentice Hall. Basic Ideas Design a filter h ( ) such that for each – It passes undistorted the signal with DOA = – It attenuates all DOAs 6= Sweep the filter through the DOA range of interest.

y t can be considered as impinging on the array from all DOAs. Moses. Stoica and R. () 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. 1997 Slide L9–9 .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.

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

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

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

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

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

Stoica and R.= y (M L) Also assume: M > n L > n ( ) m = M + L > 2n) rank ~ (A) = rank(A) = n " # " # (.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 . Prentice Hall.Yule-Walker Method e y(t) = y(t) = A s(t) + ~(t) ~ y(t) ~ e(t) A " # " # " # Assume: Then: E fe(t)~ (t)g = 0 e 4 E fy(t)~ (t)g = AP A ~ . is . = U1 U2 ] 0 n n 0 V1 g n . Moses. and the SVD of .n 0 V2 g L n M .) = n.

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

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

Stoica and R. D= 0 e. Prentice Hall.i!c ( 1) 0 ..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. 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.. Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L9–18 ( ) = d sin( )=c .ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector.

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

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