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Prony Spectra


Prony Spectra

Prony Spectrum
The Prony Spectrum option in the Spectral menu or the Spectral toolbar offers the fitting of a sum of complex exponentials to uniformly sampled data. Using this method, it is possible to fit exponentially damped sines, undamped sines, and damped exponentials.

The primary utility of this procedure rests in fitting damped sines or the damped exponentials that occur in multicomponent exponential decays.

Prony Spectrum 17-1

Although the complex exponential model fit is the primary function of this procedure. In fact. an energy spectral density plot offers a graphical frequency domain representation. the Dmp Svd NE algorithm. for a given order and signal subspace. The Dmp Svd is the recommended algorithm for fitting damped sinusoids or multicomponent exponential decays.Prony Spectra The complex exponential model fit is purely deterministic. the normal equations Undmp Svd NE algorithm reserved for large model orders and data sets where performance is a factor. Similar recommendations apply. Components The Prony model’s components are implemented in AutoSignal as follows: Sine : Y=Ampl*sin(2*Pi*Freq*X+Phase) Sine. 17-2 Prony Spectrum . there is a strong similarity between the linear sinusoidal fit based on the Data Svd FB algorithm in the AR (AutoRegressive) Spectrum procedure and the Undmp Svd Prony fit. the estimated frequencies are identical. Exp Damped : Y=Ampl*exp(-k*X)*sin(2*Pi*Freq*X+Phase) Exponential : Y=Ampl*exp(-k*x) Algorithm AutoSignal offers three Damped algorithms for fitting exponentially damped sinusoids. but it is also very sensitive to noise and should be used only when very minimal noise is present. and then performing the complex amplitude least-squares fit using these modified complex exponential coefficients. The SVD procedures are recommended for assessing component count and in removing the influence of noise so as to estimate as accurately as possible the component frequencies and damping factors. In terms of fitting undamped sinusoids. and ARMA procedures. The Undamped procedure’s speed comes at the price of considerable noise sensitivity. There are also three Undamped algorithms for fitting sinusoids via a modification of the least-squares Prony method. may offer close to the same estimation accuracy if the Dmp Svd option is too slow with large model orders and data sets. The Damped procedure is fast. The Prony Undmp Svd procedure involves mapping the signal roots to the unit circle (to insure zero damping coefficients). MA. The normal equations analog. The Undmp Svd algorithm should be the first choice. Unlike the parametric models in the AR. The AR Data Svd FB algorithm’s linear sinusoidal fit directly performs a least-squares estimate and generally yields slightly more accurate amplitudes and phases. there is no driving white noise within the model.

positive and negative frequency roots mirror one another. This is why the minimum order needed must be twice the number of oscillatory components. If those frequencies fall at or near the Nyquist bound. A signal space of one thus describes a single exponential decay. the order of the fit ceases to be critical. will use the ‘+’ symbol. one that is sufficient to produce an effective partitioning of the signal and noise.Prony Spectra Model Order Selection Since the Prony frequencies derive from an AR fit. A tolerably high order is needed. For real data. Roots for the noise components are usually inside the unit circle Prony Spectrum 17-3 . Note that the damped exponentials which occur at or near 0 frequency are non-oscillatory and do not exist as pairs mirrored across positive and negative frequencies. Similarly. In practice. The Plot Roots option for the damped algorithms displays two sets of complex roots. unless the Allow Real Exp checkbox is checked. the model order selection considerations are identical. While the SVD signal-noise determination is probably the best way to determine the damped sinusoid count. those used for estimating the frequencies and damping coefficients. they are automatically filtered out. the determination of the frequencies and damping factors. since these eigenvectors are discarded in the SVD processing. this is far easier than determining an optimum AR order. This box must be checked for fitting multicomponent exponential decay data. the damped exponentials which occur at or near 0 frequency are removed. With the SVD routines. Fitting AR models to harmonic signals in the absence of noise is a simple matter. Similarly an order of four is needed to fully model two oscillatorycomponents. and outside for backward prediction. each damped exponential adds only one to the minimum order needed. but both sides of the spectrum must be taken into account. A model order of two is needed to fully describe one oscillatory component. Note that SVD removes the influence of noise only for the first step in the Prony procedure. The quality of the fit for the noise components is not a consideration. AutoSignal reports only the positive frequencies. All that is needed is to accurately determine the signal space threshold. an alternative exists within the Prony procedure. For most data sets. With exponentially-damped sinusoids. there is usually some level of noise present in the data and a higher order model is needed to characterize the signal components. The forward prediction roots. AutoSignal does not blindly include all frequencies associated with roots. Unlike an oscillatory component. the roots for the signal components should be inside the unit circle for forward prediction. The backward prediction roots are also shown using the ‘o’ symbol.

To retain 3 damped or undamped sinusoids. regardless of whether or not SVD is used. 17-4 Prony Spectrum . it is possible to truncate the signal at a specified number of components simply by discarding the least significant exponentials in the fit and to redo the complex amplitude least-squares fit with fewer components. you must enter a value that is twice the number of oscillatory components. the signal space is defined for the non-SVD algorithms in the same way as it is for SVD signal thresholding. For more information regarding complex roots. the signal subspace must be set to 6. The final Prony model thus consists of the most significant components as determined by the value in set in the Signal Subspace field. A full order linear least-squares fit is made for an initial estimate of the amplitudes and phases. Note that damped exponentials require only one unit of signal space. This thresholding occurs for all algorithms. To keep this thresholding consistent. the model order is used not only for the AR estimation portion of the algorithm. This count will be twice the number of expected components. Signal Subspace Selection Since the Prony method fits a series of complex exponentials in a deterministic model. this ordering will be by decreasing amplitude. To accommodate both positive and negative frequencies. In a Prony procedure. the ordering is by energy spectral density at the peak frequency. This is done by retaining the most significant exponential parameters and refitting a reduced component count model. the complex amplitude least-squares fit is repeated using only the most significant components. If three oscillatory spectral components are known to exist. for example. It also uses the Signal Subspace value. Once this is done. Thus the count of backward prediction roots outside the unit circle represents one estimate of the signal space. the model is reduced to the most significant components as specified by the signal space value. but also for the signal thresholding. For the undamped case.Prony Spectra for both. This reduced component fit will be more stable and the energy spectrum smoother with lesser likelihood of spectral peaks arising from noise. the signal subspace must be set to 6. For damped exponentials. see Cahpter 16. You can enter this value numerically if you know with certainty the number of spectral components present in the data. Once the signal components have been pared. SVD Signal-Noise Separation The Graphically Select Signal and Noise Sub-Spaces signal selection is enabled only when an SVD procedure is being used.

the Prony option specifies the total frequency count in the output spectrum. the singular value plot reveals one or more sharp transitions between the signal subspace and the noise subspace floor. This box must be checked for fitting multicomponent exponential decay data. which specify the length of the transform. Spectrum Prony Spectrum 17-5 . you can select the desired start and end frequencies as well as the count of spectral frequencies (n) in this band. If those frequencies fall at or near the Nyquist bound. The spectrum computation is linear with n. they are automatically filtered out. When there is sufficient signal-noise separation in the eigenmodes. this signal-noise space separation does not become difficult until the noise level approaches that of the signal. bear in mind that damped exponentials generate only a single root and use only one unit of signal space.5 Nyquist range. It is thus possible to generate a detailed spectrum only in the region of specific interest. The Full Range option locks the 0-0. Assuming a high-enough AR model order is used. When the Full Range option is on. This results in an adaptive frequency set containing frequencies concentrated near the peaks. At this point. Damped Exponentials (First Order Decays) AutoSignal does not blindly include all frequencies associated with roots. the sharp characteristic transition disappears. the damped exponentials which occur at or near 0 frequency are removed. saving the points used in the computation of the integral.Prony Spectra Even when the spectral component count is known. Similarly. If the Full Range option is off. only the total spectral count (n) can be specified. Unlike the FFT options. produces the same results as the non-SVD algorithms. Again. you should use this Graphically Select Signal and Noise Sub-Spaces option to insure that a high enough order is being used to achieve the desired signal-noise separation. A Prony energy spectral density (ESD) plot can be generated directly from the model coefficients. unless the Allow Real Exp checkbox is checked. The Adaptive option uses a Runge-Kutta procedure to integrate the spectrum adaptively. one where the signal space equals the model order. A full signal space SVD fit. The last eigenmode before the long sloping noise floor represents the last element of signal space. An earlier diminishing of this transition occurs when the noise is red.

and adds noise accordingly. The Save Data to Disk option writes the frequency and and the spectral quantity currently plotted to a supported file format. 6(50. The SVD procedures will have the greatest noise resistance. The parametric damped sinusoids are computed first. or Systat. There is no need to extract parametric components from a Prony spectrum. Excel 97. 10(31. For a Prony analysis. At this value. The zero noise level is S/N=300db (fractional noise=1E-15. The listing uses the AutoSignal text viewer facility. The db 2-sided option plots a two-sided energy spectrum that will produce a sharper spectral response. although this is more fitting persistent signals. You can generally find a Paste As option in most applications if you want specific control over the format imported. 260 in the 13th. The Copy Data to Clipboard option copies the frequency and the spectral quantity currently plotted to the clipboard. The data sets can be consolidated in an Excel file or Copy Save Production Facility 17-6 Prony Spectrum . and the spectral quantity currently plotted.8%). the spectra are mainly informational.6%). The AutoSignal Automation facility allows unattended processing of large numbers of data sets. frequency. the IEEE double precision threshold for addition). Transient signals are probably better suited to the one-sided spectrum and the db 1-sided format.1%). 20(10%). Lotus WK3. 240 in the 12th and so on.Prony Spectra Plot The energy spectrum is always given in db (decibels). SPSS. A discrete bar chart is used for the undamped case. Add Noise It may be instructive to see where a given procedure starts to break down as a consequence of temporarily adding white observation noise to the input data. Excel 95. List The List Data option lists the index. Formats include full precision binary (for spreadsheets such as Excel) and ASCII (for pasting into text editors). This option assumes that the current data set is entirely signal. Typical test values are 40db(1% noise). A value of 280 would add noise in the 14th significant figure. no noise is added to the data. These formats include ASCII. This noise option is also helpful in ascertaining at what level the SVD procedures can no longer evidence the eigenmode signal to noise transition. and a spectral energy representation follows. 3(70. and 0(100%). Lotus WK1.

Prony Spectra acquired using a DLL. In other words. If you choose to non-linearly fit multiple real exponentials. this Prony procedure does offer superior starting estimates. the graph utilizes a full landscape page. such as occur with a sum of first order decays of different rates. The report optionally includes a listing of the complex coefficients and a Prony fit summary. when fitting highly correlated sums of exponential decays. and is inserted as a Windows Metafile. Beyond a certain size. a robust (maximum likelihood) minimization may offer better results. Multiple real exponentials. This can create difficulties in non-linear fitting as rates and amplitudes can shift drastically in response to very small levels of noise. Although this optimization is present in all of the spectral options. Numeric Summary The Numeric Summary offers a full Prony spectral analysis report. The numeric summaries and graphs can be exported to an MS Word RTF file. The Non-Linear Optimization offers the means to refine the parameter estimates given in the Prony fit that is reported in the Numeric Summary. a global least-squares minimum may not be desirable. while the extended data summaries or the current spectra can be exported to an Excel 95 or Excel 97 file. The graph uses the current settings and size of the spectral plot. Non-Linear Optimization Prony Spectrum 17-7 . The numeric portion of the file is based upon the current settings in the Numeric Summary option. The text data will be written to portrait orientation pages. can be highly correlated. Although these fits usually converge successfully. Rich-Text Format Export The Export Numeric Summary and Graph to RTF File option writes the numeric summary and spectral plot to an RTF file. the starting estimates for the exponential rate terms are set to zero (pure sinusoids). only this Prony procedure offers starting estimates for the damping coefficients. The separate decay rate and amplitude determinations via the Prony procedure may yield more accurate parameters than the simultaneous refinement of both amplitudes and rates using non-linear optimization. Although damped exponentials can be fit from any of the spectral procedures. The graph always uses a landscape orientation. Constrained least-squares and robust (maximum likelihood) non-linear fitting is available with either sinusoid or damped sinusoid models.

Eigendecomposition Filtration for isolating spectral components by signal strength. The roots of the AR model used in the first portion of the Prony method can be inspected graphically. all of the revisions are discarded upon reset. The Plot Roots option is only available for the damped procedures since the roots for the undamped procedures will all lie exactly on the unit circle. the Reset button can be used to terminate the automated processing. Fourier Filtration for isolating spectral components by frequency. they are useful for determining the number of exponentially-damped sinousoids present. the standard AR pole symbol. These reverse prediction roots are shown with a ‘o’ symbol. Because the Prony algorithms are multistep fitting procedures.Prony Spectra View Residuals Plot Roots The Residuals from the Prony fit can be inspected to see if they are normally distributed. The SNP plot is particularly useful. A local option is one that changes the data set for the duration of the current procedure only. The Toggle Popup Information Window is used to show or hide this information. Detrend for removing mean or subtracting a least-squares trend model. A smooth Prony spectrum is not an indicator of an accurate model fit. a host of statistics are available to describe the Prony model fit. The r² goodness of fit index may be particularly useful. Toggle Popup Information Window Local Options 17-8 Prony Spectrum . The forward prediction roots used with the damped Prony algorithms are shown with the ‘+’. since spectra that visually appear to be well fitted may be the result of a poor deterministic fit. Note that if you implement sequential local procedures. The Reset button restores the data to its state when first entering the procedure. Although reverse prediction roots are not used within the Prony computations. The main data table is not altered. AutoSignal offers four local options in most of the spectral procedures. Section the data to isolate specific regions for processing. If an Automation Session is in progress. The number of reverse prediction roots that lie outside the unit circle is one indicator of signal subspace.

An exponentially-damped sinusoid is a sine model with a first order or exponential decay. ν is the frequency. Jr.303-349. The Prony algorithms are multi-step procedures: • • • • • Perform an AR (Autoregressive) Fit Root the AR Coefficients for Complex Exponential Parameters Filter the Roots Least-Squares Fit for Complex Amplitude Parameters Create the Final Model with Signal Thresholding Excellent coverage of Prony algorithms can be found in the following reference: • S.Prony Spectra Prony Algorithms For real data. “Digital Spectral Analysis with Applications”. A is the amplitude of the complex exponential. Although AutoSignal reports the complex amplitudes and exponential in the Prony numeric summary. and θ is the phase. p.. γ is the dampling factor. Modified procedures fit undamped sinusoids by forcing the damping factors to zero. Prentice-Hall. Lawrence Marple. Several procedural modifications have been implemented to improve the Prony method’s noise resistance. the components are primarily reported as real damped sinusoids: y (x ) = Ae − kx sin(2πνx + θ) Prony Algorithms 17-9 . fitting a sum of complex exponentials is equivalent to fitting exponentially damped sinusoids. 1987. Prony Complex Exponential Model A Prony model of order m consists of summing the product of a complex amplitude h and a complex exponential z: y k = ∑ h j z kj −1 j=1 m h j = A j exp(iθ j ) z kj −1 = exp (γ j + i2πν j )(k − 1)δt [ ] In the equations for h and z.

SVD Algorithms Although both the SVD and non-SVD algorithms implement signal thresholding. the Data Fwd AR algorithm is employed. For the undamped case. and for the Dmp Svd procedure. These values are derived from the complex roots of an AR (autoregressive) fit. In general. the Data SVD Fwd AR algorithm is implemented. and to a first order exponential decay when the frequency is 0 and the phase is pi/2. In order to process undamped sinusoids. there are advantages to using SVD. The Undmp Svd NE and Undmp SVD procedures use the same AR algorithms as the damped versions except that the coefficients are spectrally factored after their computation in order to move the roots to the unit circle. The SVD algorithms are likely to offer more accurate frequencies and damping factors for the components since the influence of noise can be factored out. The estimation of the frequencies and damping factors (the exponential parameters) is done first. AR Polynomial Roots A complex exponential model consists of complex amplitude and exponential parameters. the Dmp SVD will be the Prony procedure of interest for characterizing damped sinusoids and exponentials within a signal. For the Damped procedure. the roots of the fitted AR polynomial are the complex exponential parameters in the Prony model. These complex roots yield not only the sinusoidal frequencies. and θ is the sinusoidal phase. the roots must be located on the unit circle. The Undamped procedure utilizes a rigorous symmetric covariance estimation procedure that directly produces zero damping factors.331). ν is the sinusoidal frequency. the NE (Normal Equations) procedures are available for large data sets and high orders to speed processing. AutoSignal’s implementation of this algorithm for real data follows the Marple complex data procedure (p. a forward-backward (FB) AR algorithm offers better estimates of the sinusoidal frequency locations. but also the exponential damping factors. k is the damping factor (first order exponential decay rate). for the Dmp Svd NE procedure. Another benefit of the SVD algorithms is the exploration of singular values for determining the number of damped or undamped sinusoids in the 17-10 Prony Algorithms . When the forward prediction model is used for the damped case. As with the AR algorithms. Note that the model reduces to an undamped sinusoid when the damping is 0. the Nrml Svd Fwd AR algorithm is used.Prony Spectra A is the sinusoidal amplitude reported.

the roots occur at both positive and negative frequencies. it is possible to truncate the signal at a specified number of components simply by discarding the least significant exponentials in the fit and to redo the complex amplitude least-squares fit with fewer components. for example. If no oscillations are present in continuously decreasing data. and real exponentials. a mixed model. Real exponentials (first order exponential decays) are normally filtered out and do not appear in Prony models. and to allow flexibility for fitting or disregarding damped exponentials. however. For real data. The amplitudes and phases of the exponentially-damped sinusoids are then computed from these complex amplitudes. Conversely. an undamped sinusoid results. Negative frequency roots are removed as well as roots that appear at the Nyquist bound. To keep the this thresholding consistent. damped sinusoids. Signal Thresholding and Refitting Prony Algorithms 17-11 .Prony Spectra signal. as with AR fits. and cannot be forced. The damped Prony algorithms can detect sinusoids. Complex Amplitude Least-Squares Fit Once the roots have been identified. The only control is whether or not real exponentials are allowed. damped sinusoids are detected. This thresholding occurs for both the SVD and non-SVD algorithms. If Allow real exp is checked. To retain three damped or undamped sinusoids. a clearly defined singular value signal threshold indicates the presence of half that number of complex exponential components. This is strictly a function of the roots of the AR fit. If an AR root is at frequency 0. AutoSignal implements an intermediate root filtering step. one with both damped sinusoids real exponentials. If it is on the unit circle. the function is a real exponential. the signal space will need to be twice the number of expected components. real exponentials are permitted to appear in the model. Since the Prony method fits a series of complex exponentials in a deterministic model. Thus. the Prony method can successfully and effectively be used to fit the sum of exponential decays. If oscillations are present and one or more real exponentials are present. This is mostly automatic. the signal subspace must be set to 6. the signal space is defined for the non-SVD algorithms in the same way as it is for SVD signal thresholding. will result. In the other instances. a linear least-squares regression is used to produce the initial estimates for the complex amplitude parameters in the model. Root Selection To stabilize the Prony procedures. The final Prony model thus consists of the most significant components as determined by the value in set in the signal subspace field.

This lists the real and imaginary parts of the complex exponential and complex amplitude parameters in the Prony model fit. For the undamped case. Instead. Complex Exponential Fit Summary 17-12 Numeric Summary (Prony) . x. this ordering will be by decreasing amplitude. Initial Information The following information is always included: • • • • • • Main. there is no need to use the Prony procedure as a frequency estimator for a subsequent non-optimal linear least-squares sinusoidal fit. Unlike the Numeric Summary in the other spectral options. Numeric Summary (Prony) This option offers a full Prony spectral analysis report for the Prony Spectrum option. For damped exponentials. Unlike the other spectral options. For the damped case. the Prony procedure does not offer the linear least-squares sinusoidal fit. the Prony results consist of a non-optimal least-squares fit to damped sinusoids. the Prony method directly offers this suboptimal least-squares sinusoidal fit. and y data titles File source for data Report date Prony algorithm selected Model order Signal subspace Add Complex Coefficients The first optional item. the complex amplitude least-squares fit is repeated using only the most significant components. the ordering is by energy spectral density at the peak frequency. available from the Format menu. For the damped algorithms.Prony Spectra For the undamped case. the Add Complex Exponential Fit Summary directly furnishes this information for the undamped procedures. a similar report is presented except that damped sinusoids comprise the component model and damping parameters are also included. This reduced component fit will be more stable and the energy spectrum smoother with lesser likelihood of spectral peaks arising from noise. Once the signal components have been pared. is Add Complex Coefficients.

The fit statistics reported are the r² (r-squared) correlation coefficient. and damping parameters. The reasoning is that the frequencies and decay rates are determined by a different estimation procedure (the AR rooting). It is not the power of the composite signal that would result from the addition of the components. This makes it possible to derive fit standard errors and confidence limits for all parameters. damping coefficients (exponential rare constants). however non-optimal. This should be close to the S/N ratio (in power) of the signal. and phase and the time range represented in the data. The Add Complex Exponential Fit Summary produces a table of frequencies. and probabilities are given for the respective amplitude. confidence limits. For each.0 represents a complete lack of fit). The summed power reported in the table is merely the sum of the component powers. The report also lists the data. and the F-statistic. should be reflected in the statistics.0 (0. Absolute percents are also given for the component powers. a degree-of-freedom adjusted r². A full non-linear optimization (where the frequencies and damping coefficients are allowed to also vary) will almost always result in an improved goodness Numeric Summary (Prony) 17-13 . The TISA power is a time-domain integral based on each component’s amplitude. The ratio that is reported is a signal/noise estimate (in power). or a spectrum that cannot be modeled with damped sinusoids. inaccurate spectral frequencies. the r² values approach 1. the standard error decreases toward zero. These are often the quantities of interest when comparing strengths of signal components. Note that these statistics reflect a suboptimum fit. model. amplitudes. Complex Exponential Fit Details The Add Complex Exponential Fit Details item in the Format menu adds a statistical breakdown of each damped sinusoid in the fit. including the frequencies and damping coefficients. and the F-statistic goes toward infinity. frequency. the standard error. a covariance matrix is reconstructed as if a non-linear fit had iterated to this same set of parameters. standard error. this sum will be lower than the TISA power of the incoming data. and that composite estimation. and error powers from the fit.Prony Spectra After the multi-step Prony fit is completed. frequency. most of the power in the data is accounted by the model rather than the error. phases (sine-based). In most instances. phase. In a good fit. and an analytic TISA (time-integral squared amplitude) power. t-value. Be very suspicious of low r² fits since this may indicate an incorrect component count. As a fit becomes more ideal. the estimate.

For sinusoids.Prony Spectra of fit. or 99% Confidence limits. Complex roots are covered in detail in Chapter 16. The forward prediction roots use the ‘+’ symbol while the ‘o’ symbol is used for the backward prediction roots. For exponentially-damped sinusoids. the forward prediction roots should rest within the unit circle interior while the reverse prediction roots lie outside. 95% Confidence. the signal roots are located on or near the unit circle for both types. both forward and reverse prediction AR roots are shown. Because the Prony SVD algorithms can achieve highly accurate frequency and damping estimates. Complex Roots Prony Model Order Determination In the Prony procedure. 17-14 Complex Roots . In the unit circle and magnitude plots that follow. six reverse prediction roots lie outside the unit circle suggesting the presence of three damped sinusoids: Note that this difference between the forward and reverse prediction roots applies only to fitting exponentially-damped sinusoids with the Prony algorithm. the Prony fit may approach the results offered by the non-linear optimization. For the signal components. The estimated parameters can be reported with either 90% Confidence. The Non-Linear Optimization option is recommended for refining all Prony fits using damped or undamped sinusoids. Roots associated with noise should exclusively lie within the unit circle. an estimated order is suggested by the differences between the roots.