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On spectral and root forms of sinusoidal frequency estimators
Petre Stoica
Department of Automatic Control
Polytechnic Institute of Bucharest
Splaiul Independentei 313
R-77206 Bucharest, Roumania

Torsten Soderstrom
Automatic Control and Systems Analysis Group
Uppsala University
P 0 Box 534
$751 21 Uppsala, Sweden

A b s t r a c t . Several frequency estimation methods consist of
two stages. In the first stage, the coefficients of a polynomial A(z) are consistently estimated from the available measurements of the sinusoids-in-noise signal; let A( z ) denote
the estimated A-polynomial. In the second stage, the sinusoidal frequencies are determined either from the locations of
the peaks of the “spectrum” (A(eiw)(-’,or from the angular
positions of the roots of A(z) situated nearest the unit circle. The two aforementioned possibilities in the second stage
lead to the spectral, respectively the root forms of various
sinusoidal frequency estimators. It is shown here that the
frequency errors corresponding to these two forms have the
same large-sample variances for any (consistent) estimation
method used in the first stage. In the finite-sample case,
however, it is shown by means of Monte-Carlo simulations
that the root form may outperform the spectral form.


Introduction and preliminaries

Several sinusoidal frequency estimation methods, for example the Yule-Walker procedures and the eigendecomposition
methods (such as the Pisarenko, MUSIC and subspace rotation methods), see [1]-[6] and the references therein, consist
of two steps as outlined in the following.

A. First the coefficient vector

e = [al . . . aL]T E R~~~
of a polynomial model of the sinusoids-in-noise process is consistently estimated from the available measurements. Note that, for conciseness, we consider the
case of real sine waves. The case of complex sine waves
(where 0 is complex-valued) can be similarly treated.
The number of parameters L in 0 is usually chosen
(much) larger than twice the number of sine waves in
the data.

B. The estimate of

e obtained in step A is denoted by 6.


A(z) = 1 a1.z 4-. . .

+U L Z ~

and let i ( z ) denote the estimated A-polynomial corresponding to 8. The estimates
of the sine
wave frequencies { L J ~ } ; =are
~ obtained in either of the
following ways.

B1. Spectral form: {Ljk}t!l are determined from the
locations of the n highest peaks of the “spectrum”
1/IA(eiW)12,w E [ O , x ] .

B1. Root form: {&};=l are determine$ from the angular positions of the n roots of A(z) which are
closest to the unit circle.
The number n of sine waves in the measured signal can be
determined by quantifying the notions of “dominant peak”
and, respectively, “nearly unit modulus root”. However, for
simplicity, we assume in the following that n is given.
The large-sample behaviour of the two forms B1 and B2
above has been analysed for some specific methods used in
Step A. See 151, [6] for the Pisarenko harmonic decomposition
method and [3], [4]for multiple signal classification (MUSIC)
method. The studies in these papers suggest that, at least in
the specific cases considered, the two estimator forms should
have the same large-sample behaviour. However, no direct
proof of this fact appears to be available in the literature.
The main goal of this paper is to show that the spectral and
root forms lead to frequency estimates with the same largesample accusacy, for any estimation method used in Step A.
The finite-sample behaviours of the two frequency estimator
forms may, however, be different. In the finite-sample case,
the variance of the estimation errors is not the only characteristic of interest for a frequency estimator. Another more
important characteristic is the failure rate associated with
the estimator under study: in certain cases (especially for
“large” L ) , the estimator may provide abnormal frequency
estimates caused by spurious peaks of IA(e’“)l-* (for Bl),
or extraneous nearly unit modulus roots of A ( z ) (for B2);
furthermore, in the case of multiple sinusoids with closelyspaced frequencies, it might happen that the adjacent peaks
(for B1) or unit-modulus zeros (for B2) merge together and,
hence, some sine waves present in the data are not resolved.
It is argued in (41 that in finite samples, the root form should
have a lower failure rate than the spectral form, and probably a lower variance, too. A second goal of this paper is to
investigake this claim by means of Monte-Carlo simulations.


The root form

The large-sample behaviour of the root form has been studied in [l], where the following general result has been proved.

- 3257 -

CH2977-719110000-3257$1.00 1991 IEEE

w2} using both the root and the spectral form of the high-order YuleWalker method. we estimated the frequencies {w1.k) 0 Assume that the frequency estimates are obtained by the root form procedure ( A ..e) .2 n .sin(w.2coswkz k=l + z2)1B(z) ('") where B ( t ) is a polynomial of degree L . Six different cases were studied. 2 ) ) . and let (Yk ak hk = [coswk gk = [sin wk F = ( & O = i(21e"k + .=. . L sin Lwk]e COS 2wk . By definition.IT where It is interesting to note that not only P in the above expression of CR depends on the method used in Step In the simulations.akgf (8 . which is determined by the method used in Step A (see [l]for details). Wn T h e o r e m 2..hnlgl.. L COS L W k ] e 2 sin 2wk .2) w€[o. we considered a sum of two sinusoids in noise 2 Thus. dW = 2 COS 2wk . w2 = 1. . [l].4) and (3. is given'by . . Inserting (3.sin h k I T = [cosW k = [sin Wk $(elGk 0 & I G = (hl. 0 The next section considers a specific Step A method and compares the finite-sample behaviours of the corresponding spectral and root forms.r G k ) = 2Re[2( eaGk )a( y(t) = Cy. B 2 ) and that there is no spurious frequency estimate (i.8) + [ ( i k .3258 - . each of length N = 150.wk) are small by assumption. ... {&} and { & } ?re defined similarly to {(Yk} and { p k } but using {Gk} and 8 instead of {Uk} and 8. . neglecting the second (and higher)-order terms.8) 4 + a: or in matrix form ( ) The spectral form 3 .(ai + pi)(L& .9).t) e-lbk)] =0 (3.IT obtained by the spectral form procedure (A. it follows from (3.iak)(hk . Thus. .9) . we get pkhf .igk)T(b ..e) (3.Bl).4). In all cases we used w1 = 1.6) in (3. Since the differences (8 . where CR is defined in ( 2 .1 and y1 = a.akgk)T(e -8) . $( )A(e-"k elGk where Mont e-Carlo simulations )+a( elGk)Af (e .wl The following theorem contains the main result of this paper. Under the assumptions made in Theorem 1. . + 2LLeiLGk) = + i&'k -pk (3.i g k ) T ( i . Cos L W k I T sin 2Wk .e.e ) (Gk . { b k } = arg min l A ( e i w ) 1 2 (3. 1 ) 4 P r o o f .5) where { i k } and {jlk} are the vectors { h k } and {gk} made of {&A}. More exactly. . all frequency estimates are close to the corresponding true values).3) gives o Re[(pk . we make use of the fact that A(e*'"k) = 0 (see ( 2 .wk)] = (Pkhk .Z ( j k = (hk A(e-jbk) N -gk)T]e denotes a first-order = (ik-@k)Ti-((hk-zgk)T6 (3. to write 1 % I . the large-sample covariance matrix of the estimated frequency vector [Ljl ..5) and a Taylor series expansion that A(e-"j*) = A(e-jGk)-A(e-'.w k ) (3.7) n A(z) = [I1('.Wn The stated result follows easily from (3. but also e (at least for L > an).4) h (3. .with M = 20 equations and L unknowns. . the largesample covariance matrix of the vector [GI. by means of some Monte-Carlo simulations.1) = F G ( i . d ) = -[[A(e'")]I.T h e o r e m 1. is given by CS = CR ( .W k ) = (3.&.(a: + ai)(Gk . Then. 0 is defined through the identity .8) and (Gk . .3) + e(t) Eez(t)= 1 1=1 For 100 realizations. Let P genote the large-sample covariance matrix of the estimate 6 determined in Step A. . . . Next.

For the successful realizations.3259 - .0041 0.0200 0.. IO‘ 0 1 05 I 1. It can be seen from the table that.0300 0.5 2 2.5 Spectral form ( B l ) failure msel mse2 rate m7 a 7 m 2/2 2/2 15 15 25 25 1% 97% 0% 32% 0% 10% 0.0025 0. for the case 72 = L = 7.0305 0.0734 0. As a further illustration we show in Figures-1-4 the zero locations of zLA(z-’) and the “spectrum” lA(eiw)1-2as a function of w .}.0039 0. for L = 15. .0025 0. only the result for 10 realizations are shown).0088 0. The method was deemed to fail if any of.0105 [0.A(z-‘) and “spectrum” l a ( e i w ) l .0039 0. based on the successful realizations.0989 0. 5 Figure 1: Zeros of zLa(z-’) and “spectrum” la(eiw)l-’. both forms give estimates with quite similar mean square errors (which lends empirical support to the theoretical result of Theorem 2). the root form is more robust to failures than the spectral form.0027 0.0089 0. in four of the cases in Table 1 (for the sake of clarity.0026 0.0040 0.’ .5 Figure 2: Zeros of z’. the mean square errors of {G. were computed.0112] 0.0023 0.3. It is also clear from the table that. at least for the cases treated. for the spectral form and the root form. the SNR for the first sine wave was always 10 dB.. For &ch case we examined the failure rate. The results obtained are shown in Table 1. This is clear for all the cases where the signalto-noise ratio for the second sine wave is 0 dB. 1 .0172 Table 1: Failure rates and mean square errors of {Ll.0020 0. a.w. .G2}.0023 0.5 I 3. .0168 Root form (B2) failure msel msez rate 0% 33% 0% 1% 0% 1% 0. the case yz = m.- ~ 4.0115 0.O K Hence.0042 0.l > 0.

pp 161-168. the root form and the spectral form. .' ) and "spectrum" lA(e'w)l-2. October 1989. Speech and Signal Processing. [2] P Stoica and T Soderstrom Statistical analysis of MUSIC and subspace rotation estimates of sinusoidal frequencies. [4] B D Rao and K V S Hari Performance analysis of Root-MUSIC. IEE Proc. Department of Technology. May 1989. IEEE Transactions on Acoustics.L = 25. It was proved that both forms give frequency estimates with the same asymptotic covariance matrix. for a specific method employed to estimate the characteristic polynomial. IEEE Transactions on Acoustics. [3] P Stoica and A Nehorai MUSIC. pp 720-741. for retrieving sinusoidal frequencies from an estimated characteristic polynomial. vol ASSP-37. November 1989. vol 135. -IS' . Report UPTEC 89111R. 1s [6] P Stoica and A Nehorai Study of the statistical performance of the Pisarenko harmonic decomposition method. vol ASSP37. IEEE Transactions on Acoustics.5 2 I5 I 3 Figure 3: Zeros of z L A ( z . 1 0 OS I0 IS 2 1 2. pp 1721-1734. pp 95-101. Speech and Signal Processing. vol ASSP-37. 104 10) References IO' [l] P Stoica. pp 1939-1949. T Soderstrom and F N Ti IO' Asymptotic properties of the high-order Yule-Walker estimates of sinusoidal frequencies. regardless of the (consistent) method used to estimate the characteristic polynomial.for the case -y2 = 4. The finite sample case was also examined by means of some Monte-Carlo simulations. it was also shown that in the successful realizations the two forms have nearly identical mean square errors.5 Conclusions Two forms. February 1984.I ' ' ' os 0 I 1 [5] H Sakai Statistical analysis of Pisarenko's method for sinusoidal frequency estimation. IEEE Transactions on Acoustics.IS ' ' -0s . IO0 IO 05 2. Speech and Signal Processing.L = 15.3260 - . maximum likelihood and Cramkr-Rao bound. However. It was shown that the root form has a distinctly smaller failure rate than the spectral form. December 1989. were examined.5 J J 1S Figure 4: Zeros of zLA(. thus providing empirical support to the main theoretical result of this paper. 1988.z-') and "spectrum" lA(e'w)l-2. Speech and Signal Processing. Uppsala University.for the case y2 = 4. vol ASSP-32. P t F.