Basic Definitions and The Spectral Estimation Problem

Lecture 1

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

Slide L1–1

Informal Definition of Spectral Estimation

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

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

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

Slide L1–2

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

1997 . Prentice Hall. Stoica and R. 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 .Bartlett Window WB (! ) 1 sin(!N=2) 2 WB (!) = N sin(!=2) " # 0 WB (!)=WB (0). Moses. WB 1=N . (!) may differ quite a bit from (!).

Moses. 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 . Stoica and R. 1997 Slide L2–9 . Prentice Hall.Smearing and Leakage Main Lobe Width: smearing or smoothing Details in resolvable. ^ 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.

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

dev = φ(ω) too - Resolvability properties depend on both bias and variance. Prentice Hall. Stoica and R. (!2) 2(!1) !1 = !2 = 0 !1 6= !2 nh ih ( io Inconsistent estimate Erratic behavior ^ φ(ω) ^ φ(ω) asymptotic mean = φ(ω) ω + 1 st. Moses.Periodogram Variance As N !1 E ^p(!1) . 1997 Slide L2–11 . (!1) ^p(!2) . Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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

Blackman-Tukey Method Basic Idea: Weighted correlogram.1 X k=. ^( ) jj ^BT (!) = M . Moses. Prentice Hall.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. with small weight applied to covariances r k with “large” k . Stoica and R. 1997 Slide L3–2 .(M .

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

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

Lecture notes to accompany Introduction to Spectral Analysis by P. Ne (and hence fixed. 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). once M is given. bias decreases and variance increases. Prentice Hall. 1997 Slide L3–5 . Moses. The energy in the main lobe and in the sidelobes cannot be reduced simultaneously. Stoica and R. Once M is given. ) Choose M as a tradeoff between variance and bias.Window Design. As M increases.

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

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

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

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

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

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

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

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

k)g Lecture notes to accompany Introduction to Spectral Analysis by P.k (h = 1) where H (q ) = A(q ) 0 k k=0 X X i=1 air(k . j ) (b0 = 1) Multiply by y (t . 1997 Slide L4–4 .k = j =0 = 0 for k > m B (q) = 1 h q. i) = X m j =0 bj e(t . i) = m j =0 bj E fe(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. Moses.

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

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

^ = . . . Prentice Hall. Moses. Stoica and R. 1) y(N . n)]T .1(Y y) where 3 7 5 2 6 t=n+1 je(t)j2 y(1) y(2) y(N .(Y Y ). 3 7 5 Y =4 y(n) 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 ) . n) . . . Find i=1 aiy(t . 1997 Slide L4–7 . 1) y(n + 1) y(n) . . . y(N . 2) Lecture notes to accompany Introduction to Spectral Analysis by P. 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 .

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

. con't Relevant Properties of R: Rx = y $ Rx = y.Levinson-Durbin Alg. 2 4 Rn+1 n+1 r ~n n+1 r ~n 0 3 5 2 r ~n = 6 4 . where x = xn : : : x1]T ~ ~ ~ Nested structure 2 Rn+2 = Thus. Stoica and R. 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. Prentice Hall. 1997 Slide L4–9 .

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

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

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

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

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

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

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

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

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

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

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

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

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

^ ei!k t + residuals k Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R.Parameter Estimation Estimate either: f!k k 'k gn=1 k 2 (Signal Model) f!k 2gn=1 2 k k Once (PSD Model) ^ Major Estimation Problem: f!k g f!kg are determined: ^ X f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p p=1 OR: Both k and 'k can be derived by a least squares method from f^ g f^ g X y(t) = with n k= k=1 k ei'k . Moses. 1997 Slide L5–5 . Prentice Hall.

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

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

Moses. it is difficult to avoid convergence to local minima. Prentice Hall. ! Difficult Implementation: The NLS cost function F is multimodal. Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. 1997 Slide L5–8 .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 ) 10.5.

Unwindowed Periodogram as an Approximate NLS Method

For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:

n=1
X

B B=N
N t=1

BY=

y(t)e;i!t = Y (!)

(finite DTFT)

1 Y B (B B );1B Y = N jY (!)j2 = ^p(!) = (Unwindowed Periodogram)
So, with no approximation,

! = arg max ^p(!) ^ !

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

Slide L5–9

Unwindowed Periodogram as an Approximate NLS Method, con't

Assume: Then:

n>1

f!kgn=1 ' the ^ k
provided that

locations of the peaks of p !

^( )

n

largest

inf j!k ; !pj > 2 =N
which is the periodogram resolution limit. If better resolution desired then use a High/Super Resolution method.

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

Slide L5–10

High-Order Yule-Walker Method Recall:

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

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

n

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

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

Let

B (q) = 1 +

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

L

Then B

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

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

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

Prentice Hall. r(L + 2) . . 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. Lecture notes to accompany Introduction to Spectral Analysis by P.High-Order and Overdetermined YW Equations ARMA covariance: r (k ) + X L i=1 bir(k . 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 = . Moses. . r(L + M . . . . Stoica and R.

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

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

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

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

.Eigendecomposition of R and Its Properties R = APA + 2I (m > n) Let: 1 2 ::: m: eigenvalues of R fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm. 2 R = S G] 6 4 1 3 " . 1997 Slide L6–3 .n] (m (m . n)) Thus.ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm. Moses. Prentice Hall. Stoica and R.. m 7 5 S G # Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

If: =n+1 m=n+1 Then: ^ g G = ^1. Moses. 1997 Slide L6–7 .Pisarenko Method Pisarenko is a special case of MUSIC with m (the minimum possible value). ) f!kgn=1 can be found from the roots of ^ k aT (z. Prentice Hall. 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.

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

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

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

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

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

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

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

Moses. ( =2 2 =1 N > 1 leads to the variability / resolution compromise associated with all nonparametric methods. (!) by a 2. 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. Nonparametric Approach: Implicitly smooth ! !=. Stoica and R. !+ ] N >1 1 2 is more general than 1. by assuming that ! is nearly constant over the bands f ( )g ( ) !. 1997 Slide L7–2 . Prentice Hall. Parametric Approach: Parameterize finite-dimensional model.

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

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

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

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

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

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

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

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

C ! generally has less statistical variability than the AR PSD estimator. Moses. C ! generally has worse resolution and bias properties than the AR method. 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 . Prentice Hall.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. ^( ) ^( ) Lecture notes to accompany Introduction to Spectral Analysis by P.

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

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

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

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

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

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

Vector Representation for a Narrowband Source

Let

= m =
a( ) =
2 6 4

the emitter DOA the number of sensors
2 6 4

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

1

3 7 5

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

3 7 5

Then

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

()

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

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

Slide L8–7

Analog Processing Block Diagram

Analog processing for each receiving array element
SENSOR DEMODULATION

A/D CONVERSION

-

-

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

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

-

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

Slide L8–8

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

fsk(t)gn=1 k

k

Linear sensors

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

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

Let

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

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

Stoica and R. 1) c Lecture notes to accompany Introduction to Spectral Analysis by P. Moses. 1997 Slide L8–10 . 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 .

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

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

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

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

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

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

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

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

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

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. () 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. 1997 Slide L9–9 . Moses. Prentice Hall.

Resolution Threshold: inf j k . 1 = 1. ( )^ ( ) This is the direct spatial analog of the Blackman-Tukey periodogram. Moses. Prentice Hall.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. pj > = wavelength array length array beamwidth Inconsistency problem: Beamforming DOA estimates are consistent if n inconsistent if n > . 1997 . Stoica and R.

1a( ) E jyF (t)j2 = 1=a ( )R. Prentice Hall. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).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. 1997 Slide L9–11 .1a( )=a ( )R. Stoica and R.1a( ) n o Implementation: f^kg = the locations of the n largest peaks of ^ 1=a ( )R.1a( ): Performance: Slightly superior to Beamforming. Moses.

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

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

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

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

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

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

Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Prentice Hall..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. D= 0 e..i!c ( n) ( ) = the time delay from subarray 1 to 2 6 4 3 7 5 subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector. where e. 1997 Slide L9–18 ( ) = d sin( )=c .i!c ( 1) 0 . 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. Stoica and R. the two subarrays are often the first m and last m array elements.1 A1 = Im. Prentice Hall.1 0]A = .ESPRIT Method.1 A2 = 0 Im.1 . Moses. 1997 Slide L9–19 . so m m and .

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