SPECTRUM ESTIMATION (1)

INTRODUCTION
• The theoretical aspects of spectral estimation:
• From ensemble averages to time averages:
• The practical aspect of spectral estimation:

NONPARAMETRIC METHODS FOR POWER SPECTRUM ESTIMATION

• Periodogram – fundamentals of the nonparametric methods:
Performance of the periodogram:
A. Bias of autocorrelation estimate
B. Bias of the Periodogram
C. Effects of the window
D. Resolution of the Periodogram
E. Variance of the Periodogram
• Modified Periodogram:
• Bartlett's method: Periodogram Averaging:
• Welch's method: Modified Periodogram Averaging:
• Blackman-Tukey method: Periodogram Smoothing:

Some useful MATLAB functions

1
INTRODUCTION

Spectral estimation in the random signal case means the estimation of power spectrum (or power spectral
density) of a random process (unlike in the deterministic signal case where a spectrum means the Fourier
transform of a signal itself). Spectral estimation provides us an effective means to analyze and look into
random signals from different angle, i.e., from the frequency domain point of view; for example, for a
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random process, x ( n ) = Ak sin(nω k + φ k ) , consisting of ten harmonic processes with uniform random
k =1

phases φ k we can easily distinguish the ten harmonic components located at ω k in the frequency domain,
but not in the time domain.
The general problem of spectral estimation in the present case is the one of determining the spectral
content of a wide-sense stationary random process based on a finite set of observations from that random
process.

The theoretical aspects of spectral estimation:

In theory, the power spectrum of a WSS process x(n) is the discrete-time Fourier transform of the
autocorrelation,
∞ ∞
Px (e jω ) = rx (k )e − jkω = rx (k )e − jk 2πf . (1)
k = −∞ k = −∞

The autocorrelation rx (k ) of x(n) is a function of ensemble averages of x (k + n) x * (n) as follows

rx (k ) = E {x(k + n) x * (n)} . (2)
From these equations, it follows (i) that estimation of the power spectrum needs an infinite autocorrelation
sequence, (ii) that estimation of the autocorrelation sequence requires one to estimate the ensemble average
function, and (iii) that to estimate the power spectrum of a WSS random process is equivalent to estimate the
autocorrelation.

From ensemble averages to time averages:

In practical reality, however, one does not have an ensemble of signals from which to evaluate the
autocorrelation. Hence it is desirable to estimate the autocorrelation of a random process based on a single
observation of the random process. To achieve at this the ergodicity of random processes is required. For an
autocorrelation ergodic random process the ensemble averages of x (k + n) x * (n) , i.e., E{x ( k + n ) x * ( n )},
can be replaced with the time averages as follows
1 N −1
rx ( k ) = lim {rˆx ( k , N )} = lim x(k + n) x * (n) , (3)
N →∞ N →∞ N
n =0

where x(n) is a single observation with an infinite data set for − ∞ < n < ∞ . Note that − ∞ < k < ∞ in Eq. (3).
This means that for a random process that is autocorrelation ergodic the autocorrelation can be completely
determined in the time average form as in Eq. (3). In the present case, we will limit ourselves to such random
processes that are autocorrelation ergodic.

2
The practical aspect of spectral estimation:
In practice, many common random signals are not stationary. Thus, the power spectrum of such a random
process defined in Eq. (1) can not be applied to the whole data record of the process. In this case, however,
short data segments from the long data record may be thought of as being locally stationary. Therefore, a
random signal that is available in practice usually is a segment of a single observation in a noisy
environment, that is, the signal has a finite set of noise-corrupted data. The theoretical power spectrum of a
random process, defined in Eq. (1), is impossible to obtain. This brings up the general problem of spectral
estimation, that is, the problem of estimating the spectral content (the power spectrum) of a random process
based on noisy measurements of the process that have finite data sets.
There are quite a few of different methods in spectral estimation. These methods may be classified into
two categories: nonparametric methods and parametric methods. In each category there are a set of methods.
Since Px (e jω ) is estimated with this or that method, the performance of the estimating method must be
evaluated by looking into the expected value (bias) and the variance of the estimate Pˆ (e jω ) . x

NONPARAMETRIC METHODS FOR POWER SPECTRUM ESTIMATION

In nonparametric methods, no model parameters need to be determined. The primary limitation with the
nonparametric methods is that the estimate of the power spectrum is based on a windowed autocorrelation
sequence.

Periodogram – fundamentals of the nonparametric methods:

Consider a WSS random process x(n) that is only measured over a finite interval, 0 ≤ n ≤ N − 1 . Based on
this single measurement with a finite data sequence, the autocorrelation of x(n) must be estimated with a
finite sum
N −1
1
rˆx (k ) = x (n + k ) x * (n) , k=0, 1, …, N–1. (4)
N n=0

Since x(n) only has values over a finite interval, 0 ≤ n ≤ N − 1 , then x(n+k) has the values for n ≤ N − 1 − k .
Thus, Eq. (4) can be reduced to the following form,
1 N −1− k
rˆx (k ) = x (n + k ) x * (n) , k=0, 1, …, N–1. (5)
N n=0
Since the autocorrelation sequence of a WSS random process x(n) is a conjugate symmetric function of k,
r x (k ) = rx* (− k ) , then the values of rˆ x (k ) for k<0 can be defined using rˆ x (− k ) = rˆx* (k ) . Setting rˆ x (k ) to be
zero for | k |≥ N and taking the Fourier transform of rˆ (k ) , we obtain an estimate Pˆ (e jω ) of the power
x x
jω
spectrum Px (e ) as follows
N −1
Pˆx (e jω ) = Pˆper (e jω ) = rˆx (k )e − jkω , (6)
k = − N +1

which is known as the periodogram of random process x(n), denoted by Pˆ per (e jω ) that is the estimate
Pˆx (e jω ) . Inserting Eq. (5) into Eq. (6), we have the periodogram of the form directly expressed in terms of
the measured process x(n). Using a rectangular window defined as

3
 1, 0 ≤ n ≤ N −1
w R (n) = (7)
0, otherwise
a finite data record of x(n) for 0 ≤ n ≤ N − 1 can, thus, be re-formed as an infinite data record that is the
product of x(n) with wR (n) , in the following manner
x N ( n ) = wR ( n ) x ( n ) , − ∞ < n < ∞ . (8)
Note that wR (n) is used as a window on data x(n). The estimate of the autocorrelation in this case can be
written in terms of x N (n) as a convolution
∞
1 1
rˆx (k ) = x N (n + k ) x *N ( n) = x N (k ) ∗ x *N (− k ) . (9)
N n = −∞ N
Taking the discrete-time Fourier transform (DTFT) in the above equation, the periodogram becomes
1 1 2
Pˆ per (e jω ) = X N (e jω ) X N* (e jω ) = X N (e jω ) , (10)
N N
in which X N (e jω ) is the DTFT of x N (n)
∞ N −1
X N (e j ω ) = x N (n)e − jnω = x (n)e − jnω , (11)
n = −∞ n =0

which is just the DFT of x(n), and hence can be computed using the fast Fourier transform (FFT). Therefore,
the periodogram can be computed with FFT
FFT[x(n)] .
1 1
Pˆ per (e j 2πk / N ) =
2 2
X N (k ) = (12)
N N
Note that Pˆper (e jω ) is periodic and the principal part is in | ω |≤ π and that if sampling frequency f s is
given, then ω = 2πf f s and f ≤ f s 2 .
From Eq. (12) it can be seen that the power spectrum of a signal x(n) with a length of N has a frequency
sampling interval ∆ω = 2π N ( = 2πk N − 2π ( k − 1) N ). In many situations ∆ω may not be so fine that
some spectral peaks can not be separated, (e.g., two spectral peaks located at ω1 and ω 2 can be separated
when | ω 2 − ω1 |< ∆ω ); Specifically, for example, a frequency sampling interval for N=256 is ∆ω =0.0078 π ,
and it is not fine enough for a signal s(n) that contains sinusoids, sin(0.700πn ) and sin(0.705πn ) , since the
frequency spacing is 0.005 π < ∆ω =0.0078 π . In this case, one has to use a finer ∆ω . One can get a finer
∆ω by padding zeros at the end of the signal so as to increase the signal length, e.g., from N to M where
M>N so that ∆ω = 2π M .
If an N-long signal x(n) are padded with M − N zeros (M>N) and becomes M long, the power spectrum
becomes
Pˆper ( e j 2πk / M ) = FFT[x M ( n )] .
1 2
(12')
N
where x M ( n ) = x ( n ) for 0 ≤ n ≤ N − 1 and x M (n ) =0 for N ≤ n ≤ M − 1 . In this case, the frequency
sampling interval becomes ∆ω = 2π M which is finer than ∆ω = 2π N .
If we pad 768 zeros to the above-mentioned signal s(n) so that s(n) becomes 1024 long, then
∆ω ≈ 0.002 π . The sinusoids, sin(0.700πn ) and sin(0.705πn ) , may thus be distinguishable in the spectrum.

Example 1. Periodogram of white noise (Example 8.2.1)

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Performance of the periodogram:
Since the periodogram Pˆper (e jω ) is an estimate of the power spectrum of a random process x(n) with a finite

data record, the performance of the periodogram needs to be evaluated. For an infinitely long data record of a
random process x(n), the autocorrelation r x (k ) can be determined from Eq. (3), and the power spectrum
Px (e jω ) of the process can be found from Eq. (1). This may indicate that, as the length of the data record
increases to infinity, the periodogram Pˆper (e jω ) should converge to the power spectrum Px (e jω ) . Because
Pˆper (e jω ) changes with the length of the data record, N, it is a function of random variables x(0), x(1), …,

x(N–1). As in the first lecture, DISCRETE-TIME RANDOM PROCESS (1), to study the statistical
properties of a parameter estimator, we shall look into the statistical properties of the periodogram, the
estimator of the power spectrum. The statistical properties include the bias and consistency.

A. Bias of autocorrelation estimate rˆ x (k )

To look into the bias of the periodogram, we first study the bias of the autocorrelation estimate rˆ x (k ) .
From Eq. (5) it follows that the expected value of rˆx (k ) for 0 ≤ k ≤ N − 1 is

{ }
N −1− k N −1− k N −1− k
N −k
E{rˆx (k )} = E
1 1 1
x ( n + k ) x * ( n) = E x (n + k ) x * (n) = rx (k ) = rx ( k ) (13)
N n =0 N n =0 N n=0 N
and, for k ≥ N , E{rˆx (k )} =0. Using the conjugate symmetry of rˆ x (k ) , we have
N− | k |
E{rˆx (k )} = rx (k ) = wB (k )rx (k ) (14)
N
where
N−| k |
, | k |≤ N
wB (k ) = N (15)
0 | k |> N
is a Bartlett (triangular) window (a window on autocorrelation!) with the Fourier transform
2
1 sin( Nω / 2)
W B (e jω ) = (16)
N sin(ω / 2)
Therefore, rˆ x (k ) is a bias estimate of the autocorrelation, but asymptotically unbiased since
lim E{rˆx (k )} = rx ( k ) (17)
N →∞

B. Bias of the Periodogram

From Eqs. (6) and (14), we may have the expected value of the periodogram
{ }
N −1 N −1 ∞
E Pˆper (e jω ) = E rˆx ( k )e − jkω = E{rˆx ( k )}e − jkω = rx ( k ) wB ( k )e − jkω , (18)
k = − N +1 k = − N +1 k = −∞

which is the Fourier transform of the product rx (k )wB ( k ) , equivalent to the frequency convolution of
Px (e jω ) and W B (e jω ) . Thus, Eq. (18) can be written as

{ }
2
1 1 1 sin( Nω / 2)
E Pˆ per (e jω ) = Px (e jω ) ∗ W B (e jω ) = Px (e jω ) ∗ (19)
2π 2π N sin(ω / 2)

{ }
which shows that E Pˆ per (e jω ) is not equal to Px (e jω ) , but equal to the frequency convolution of Px (e jω )
with W B (e jω ) , and thus the periodogram is a bias estimate. Since lim WB ( e jω ) = δ (ω ) 2π , then we have
N →∞

5
 { }
lim E Pˆ per (e jω ) = Px (e jω )
N →∞
(20)

This shows that the periodogram is a bias estimate of the power spectrum, but asymptotically unbiased.

C. Effects of the window

{ }
It is because E Pˆ per (e jω ) is the frequency convolution of Px (e jω ) with W B (e jω ) , the window wB (k ) will
{ }
have effect on the expected value of the periodogram, E Pˆ per (e jω ) . To see the window effect, let us

consider a random process consisting of a random phase sinusoid in white noise,

x (n) = A sin( nω + φ ) + v (n) (21)
where φ is a random variable that is uniformly distributed over the interval [− π , π ] , and v(n) is a white
noise process with a variance of σ v2 . The power spectrum of x(n) is

Px (e jω ) = πA 2 [δ (ω − ω 0 ) + δ (ω + ω 0 )] + σ v2
1
(22)
2
and thus the expected value of the periodogram is
{ }
E Pˆ per (e jω ) =
1
2π
1
[ ( ) ( )]
Px (e jω ) ∗ W B (e jω ) = A 2 W B e j(ω −ω 0 ) + W B e j(ω +ω 0 ) + σ v2
4
(23)

( )
where it should be noted that σ v2 ∗ WB e jω =
π
−π
σ v2WB ( e jω ' )dω ' = σ v2 wB (0) = σ v2 .
{ }
Px (e jω ) and E Pˆ per (e jω ) are shown in Fig. 8.5. In Fig. 8.5(a), we see that Px (e jω ) only has an impulse

Fig. 8.5 (a) The power spectrum of a single sinusoid in white noise and (b) the expected value of
the periodogram.

6
located at frequency ω 0 and having an amplitude of πA 2 4 , that represents one frequency component;
{ }
whereas in Fig. 8.5 (b), we can see that E Pˆ per (e jω ) has a sequence of peaks, called lobes, among which the
largest one is called the main lobe centering at frequency ω 0 and covering a band of frequencies with a
bandwidth of approximately 4π / N (that is inversely proportional to N!), and the others are called sidelobes
at frequencies ω k ≅ ω 0 ± 2πk / N . This actually reflects two of the window effects on the power spectrum;
the first is the smoothing effect, which leads to a spreading of the power spectrum from one frequency at
frequency ω 0 to a band of frequencies; and the second effect is the power leakage through the side lobes of
the window. As we will see, the spectral spreading will result in resolution reduction, and these side lobes
may mask low-level signals.
Example 2. Periodogram of a sinusoid in noise (Example 8.2.2)

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D. Resolution of the periodogram
The resolution of a periodogram is the ability of the periodogram to resolve closely-spaced narrowband
components in x(n). Consider a random process that consists of two random phase sinusoids in white noise
x (n) = A1 sin( nω 1 + φ1 ) + A2 sin( nω 2 + φ 2 ) + v (n) (24)
where φ1 and φ 2 are uncorrelated random variables that are uniformly distributed over the interval [− π , π ] ,
and v(n) is white noise with a variance of σ v2 . The power spectrum of x(n) is

Px (e jω ) = πA12 [δ (ω − ω1 ) + δ (ω + ω 1 )] + πA22 [δ (ω − ω 2 ) + δ (ω + ω 2 )] + σ v2
1 1
(25)
2 2
and thus the expected value of the periodogram (see Eq. (19)) is
{ }
E Pˆ per (e jω ) =
1
2π
Px (e jω ) ∗ W B (e jω )
1
[ ( ) ( )] 1
[ ( ) ( )]
= A12 W B e j(ω −ω1 ) + W B e j(ω +ω1 ) + A22 W B e j(ω −ω 2 ) + W B e j(ω +ω 2 ) + σ v2 .
4 4
(26)

{ }
Px (e jω ) and E Pˆ per (e jω ) for A1 = A2 and N=64 are shown in Fig. 8.7. In Fig. 8.7(a) we see Px (e jω ) with
{ }
two components at frequencies ω1 and ω 2 . Whereas in Fig. 8.7(b), we see E Pˆ per (e jω ) two spread main
lobes located at frequencies ω1 and ω 2 and both having a bandwidth of 4π / N . Consider the following two
cases: (i) if the data record length decreases, two main lobes will increase in width, or (ii) if ω1 and ω 2
become closer, two main lobes will go closer.

Fig. 8.7 (a) The power spectrum of two sinusoids in white noise and (b) the expected value of
the periodogram.

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In these cases, there is a limit that the main lobes are just distinguishable. This limit is usually called the
resolution. A common way of defining the resolution is that the bandwidth of the main lobe at its half-power
level, namely, the –6-dB points of the power spectrum, or equivalently, the –3-dB main lobe width of the
amplitude spectrum. For the Bartlett window (autocorrelation widow), the resolution of the periodogram is
[ ]
Res Pˆper (e jω ) = 0.89
2π
N
, (27)

which shows that the resolution is inversely proportional to the length of data record, N. It should be pointed
out that Eq. (27) is a rule of thumb in determining the data length necessary for a given resolution.
Comparing with the true power spectrum Px (e jω ) in Fig. 8.7(a) in which the two components are always be
resolvable provided ω1 ≠ ω 2 , we see that the spectral spreading due to the window effect results in
resolution reduction in the periodogram.

Example 3. Resolution of the periodogram (Example 8.2.3)

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E. Variance of the Periodogram
The above investigation has shown that the periodogram is an asymptotically unbiased estimate of the power
spectrum, which is the first statistical property of the estimate Pˆx ( e jω ) . The second statistical property of the
{
estimate is the consistency, which is related with the variance of the periodogram, Var Pˆ (e jω ) . Since the
per }
variance depends on the forth-order moments of the random process, it is difficult to evaluate the variance
for an arbitrary process x(n). However, the variance of white Gaussian noise may be evaluated. For a
Gaussian white noise with variance σ x2 , the variance of the periodogram is
{ } ( ).
Var Pˆ per (e jω ) = σ x2
2
(28)
jω
For the detailed derivation refer to the textbook by Hayes. Since x(n) is white noise, then Px (e ) = σ x2 . The
equivalent form of Eq. (28) is of the following form,
{ }
Var Pˆ per (e jω ) = Px2 (e jω ) (29)
{ }
Eq. (28) or (29) shows that the variance Var Pˆ per (e jω ) is independent of the data record length, N, so that it
does not go to zero as N → ∞ , and thus the periodogram is not a consistent estimate of the power spectrum.
The effect of the inconsistency on the periodogram may be seen in Example 4.
Regarding the performance of the periodogram, we may conclude that the periodogram Pˆper (e jω ) is an
asymptotically unbiased, but not consistent estimate of the power spectrum Px (e jω ) .

Example 4. Periodogram of white noise (Example 8.2.4)

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Modified Periodogram:
For the periodogram, a random process x(n) with a finite length is equivalent to a windowed signal
x N (n) = x(n) w R (n) with an infinitely length, where the window wR (n) is a rectangular window on data
x(n). In addition to the rectangular window, we can use any other windows like Hanning window, Hamming
window, Blackman windows, etc. (see Table. 1).
A modified periodogram is just the periodogram of a random process that is windowed by a general
window w(n), and is given by
2
1 ∞
Pˆx (e jω ) = PˆM (e jω ) = x(n) w(n)e − jnω , (30)
NU n = −∞

where N is the length of the window and

1 N −1 2
U= w(n) , (31)
N n =0
is a constant that is defined so that PˆM (e jω ) will be asymptotically unbiased.
The commonly-used windows on data are shown in Table. 1.

Table. 1 The commonly used windows on data and their performances

Sidelobe level Resolution (∆ω )3 dB
Window (dB) 3 dB Bandwidth
1, 0 ≤ n ≤ N − 1 –13 0.89 (2π / N )
Rectangular, w( n ) =
0, otherwise
N− |n | –27 1.28 (2π / N )
| n |≤ N
Bartlett, w( n ) = N
0, | n |> N
2πn –32 1.44 (2π / N )
0.5 1 − cos , 0 ≤ n ≤ N −1
Hanning, w( n ) = N −1
0, otherwise
2πn –43 1.30 (2π / N )
0.54 − 0.46 cos , 0 ≤ n ≤ N −1
Hamming, w( n ) = N −1
0, otherwise

Blackman, –58 1.68 (2π / N )

2πn 4πn
.42 − .5 cos + .08 cos , 0 ≤ n ≤ N −1
w( n ) = N −1 N −1
0, otherwise

This table shows the performances of a few commonly used windows, i.e., sidelobe levels and resolutions;
the rectangular window has the best resolution (narrowest main lobe) so as to create the smallest amount of
spectral smoothing, but shows largest sidelobes that may mask weak signals’ spectra; the Hamming window
has a broader main lobe but a much lower sidelobe. The window performances affect the performance of the
periodogram.
Consider a random process that consists of two random phase sinusoids in white noise v(n)
x ( n ) = 0.1sin( nω1 + φ1 ) + sin( nω 2 + φ2 ) + v ( n )

11
 { }
with ω1 =0.2 π , ω 2 =0.3 π , and N=128. In E Pˆ per (e jω ) shown in Fig. 8.10(a), we can see that the weak
sinusoid with amplitude 0.1 and frequency ω1 is almost masked by the sidelobes of the window at frequency
ω 2 . However, if we use the modified periodogram with a Hamming window, then the weak sinusoid with
frequency ω 1 can be easily distinguished as shown in Fig. 8.10(b), which is because the low sidelobe level
of the Hamming window.

Fig. 8.10 (a) Spectral analysis of two sinusoids with frequencies ω1 =0.2 π , ω 2 =0.3 π in white
noise. The data length is N=128 ponits. (a) The expected value of the periodogram, and (b) the
modified periodogram with a Hamming window.

Performance of Modified Periodogram:

In the same way that we did to analyze the performance of the periodogram, we can obtain the performance
of the modified periodogram, that is, the bias, the variance, and the resolution.
A. Bias:
{ }
E PˆM (e jω ) =
1
2πNU
2
Px (e jω ) ∗ W (e jω ) , (32)

where W (e jω ) = DTFT{w(n)} is the discrete-time Fourier transform of a data window w(n).

B. Variance:
{ }
Var PˆM (e jω ) ≈ Px2 (e jω ) (33)
C. Resolution:
[ ]
Res PˆM (e jω ) = (∆ω )3 dB , (34)
which is the –3-dB main lobe width of the window (see Table. 1).
Note that the modified periodogram PˆM (e jω ) is an asymptotically unbiased, but not consistent estimate
of the power spectrum Px (e jω ) .

Bartlett's method: Periodogram Averaging:

In Bartlett's method, the single observation x(n) with a length of N is partitioned into K non-overlapping
sequences with such a length of L so that KL=N, as illustrated in Fig. 1. The K non-overlapping sequences
can be expressed as
x m (n) = x (n + mL) , n=0, 1, …, L–1 and m=0, 1, …, K–1 (35)
For the mth sequence, the periodogram is calculated

12
 L −1 2
1
Pˆper
(m)
(e jω ) = x m ( n )e − jnω , m=0, 1, …, K–1. (36)
L n =0

The Bartlett spectrum estimate is then computed by averaging the K periodograms as follows
2
1 K −1 ˆ ( m ) jω 1 K −1 L −1
PˆB ( e jω ) = Pper ( e ) = x (n + mL)e − jnω (37)
K m =0 N m =0 n =0

Fig. 1. The scheme of

partitioning x(n) for
periodogram averaging
in Bartlett’s method.

Performance of Bartlett's method:

In the way similar to evaluating the performance of the periodogram, we can obtain the performance of the
Bartlett estimate:
A. Bias: {
E PˆB (e jω ) =
1
2π
}
Px (e jω ) ∗ WB (e jω ) ,

where WB (e jω ) is Fourier transform of Bartlett (autocorrelation) window wB (k ) for − L ≤ k ≤ L .

B. Variance: { 1
}
Var PˆB (e jω ) ≈ Px2 (e jω ) , which approaches zero as K → ∞ .
K
[
C. Resolution: Res PˆB (e jω ) = 0.89
2π
L
] = 0.89 K
2π
N
.

The resolution is K times larger (worse) than the periodogram.

The Bartlett method is designed to reduce the variance of the periodogram by averaging periodograms.
The Bartlett estimate PˆB (e jω ) is an asymptotically unbiased, and consistent estimate of the power spectrum
Px (e jω ) .

Welch's method: Modified Periodogram Averaging:

The Welch’s method is the modified Bartlett's method. Two modifications are imposed in the Welch’s
method: the first is that the K sequences x m (n) for 0 ≤ m ≤ K − 1 are allowed to overlap, and the second is

13
that a general window w(n) is applied to each sequence, so as to produce a set of modified periodograms that
are to be averaged. This is shown in Fig. 2.

Fig. 2. The scheme of

partitioning x(n) for
modified periodogram
averaging in Welch’s
method.

The mth sequence x m (n) partitioned from the entire N data points is given by
x m ( n ) = x ( n + mD ) , n=0, 1, …, L–1, m=0, 1, …, K–1, and D(K – 1) – L = N (38)
and the overlap between the adjacent sequences, x m (n) and x m +1 ( n ) , is L–D points.
The Welch estimate is
K −1 K −1 L −1 2
1 1
Pˆx ( e jω ) = PˆW ( e jω ) = PˆM( m ) ( e jω ) = w( n ) x ( n + mD )e − jnω
(39)
K m =0 KLU m =0 n =0

and
1 L −1 2
U= w(n) (40)
L n =0

Performance of Welch's method:

A. Bias: {
E PˆW (e jω ) =
1
2πLU
}
Px (e jω ) ∗ W (e jω )
2

B. Variance: {
Var PˆB (e jω ) ≈
9 L 2 jω
16 N
}
Px (e ) , assuming 50% overlap.

C. Resolution: Window dependent.

The Welch’s method is designed to reduce the variance of the periodogram by averaging modified
periodograms. The Welch estimate PˆB (e jω ) is an asymptotically unbiased, and consistent estimate of the
power spectrum Px (e jω ) .

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Blackman-Tukey method: Periodogram Smoothing:
The Blackman-Tukey spectrum estimate is
M
1 ˆ
Pˆx (e jω ) = PˆBT (e jω ) = rˆx (k ) w(k )e − jkω = Pper (e jω ) ∗ W (e jω ) (41)
k =− M 2π
where w(k) is an autocorrelation window extending from –M to M with M<N–1. Because M<N–1 is
imposed, the estimates of rx (k ) that have largest variances are cut off, e.g., rˆx ( N − 1) and rˆx ( N − 2) are cut
off for M<N–2. As a result, the estimate of the power spectrum will have a reduced variance. Alternatively,
the Blackman-Tukey spectrum estimate can be written in terms of frequency convolution as
π
PˆBT ( e jω ) =
1
2π −π
( ) (
Pˆper e ju W e j (ω −u ) du ) (42)

which shows that the Blackman-Tukey estimate smoothes the periodogram by convolving with W (e jω ) , the
Fourier transform of w(k). w(k) can be chosen with certain flexibility, but it should be conjugate symmetric
so that W (e jω ) is real-valued, and its Fourier transform should be W ( e jω ) ≥ 0 so that PˆBT ( e jω ) ≥ 0 .

Performance of Blackman-Tukey method:

A. Bias: {
E PˆBT (e jω ) ≈
1
2π
}
Px (e jω ) ∗ W (e jω )

B. Variance: {
Var PˆBT (e jω ) ≈ Px2 (e jω ) }
1 M 2
N k =− M
w (k ) , (N >> M >> 1)

C. Resolution: Window dependent (the window length M<N–1 !).

Recommended value of M is M = N/5;
In the Blackman-Tukey method, the variance of the periodogram is reduced by applying a window to rˆx (k )
so as to decrease the contribution of the unreliable estimates to the periodogram. The price for the variance
reduction is the reduction in resolution.

Some useful MATLAB functions

>> Pxx = PERIODOGRAM(X,WINDOW) % returns the power spectral density (PSD) estimate of
% the signal specified by vector X in the vector Pxx.
>> Pxx = PWELCH(X,WINDOW,NOVERLAP) % returns the Power Spectral Density (PSD) estimate,
% Pxx, of a discrete-time signal vector X using Welch's averaged, modified periodogram method.

Window functions:
>> bartlett % Compute a Bartlett window.
>> boxcar % Compute a rectangular window.
>> chebwin % Compute a Chebyshev window.
>> hamming % Compute a Hamming window.
>> hann % Compute a Hann window.
>> kaiser % Compute a Kaiser window.
>> triang % Compute a triangular window.

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