signals of the IDFT are obtained by filtering with the delayed 6.

Spectral Estimation
polyphase components In this chapter we consider the problem of estimating the power
spectral density (power spectrum) of a wide-sense stationary
The n-th output of the IDFT has finally to be multiplied with the
nD (WSS) random process.
rotation factors WK 2 .
Applications for power spectrum estimation:
Structure of the analysis filter bank: .
Signal detection and tracking, frequency estimation (e.g. for sonar
1
or radar signals), harmonic analysis and prediction, beamforming
xk 1
and direction finding,. . .
x(k) ( )
P0 (zK ) # N y0(m)
z 1 WKD= 2
Problems in power spectrum estimation:
xk WK 1
( 1)
P1 (zK ) # N y1(m)
• The amount of data is generally limited, for example, a random
z 1
process may be stationary only for a short time (e.g. speech
z 1 WKD=
2(K 1) signal). On the other hand, as we have seen in Section 3.1.4 for
xk M WK K
( 1)
the frequency analysis of non-random signals using the DFT,
( +1)
PK 1(zK ) # N yK 1(m)
K IDFT


the longer the input data vector, the higher the frequency
.
resolution of the spectral analysis.
(dual structure for the synthesis) • Often, only one representation of a stochastic process may be
available. Therefore, an ergodic process is often assumed.
If K = cM , c ∈ IN, then besides the IDFT also the polyphase
• Additionally, the input data may be corrupted by noise.
filtering can be calculated in the lower sampling rate.
Estimation approaches can be classified into two classes:
1. Classical or nonparametric methods: Estimation of the
autocorrelation sequence, where the power spectrum is then
obtained by Fourier transform of the autocorrelation sequence.
2. Nonclassical or parametric approaches, which use a model for
the random process in order to estimate the power spectrum.

6.1 Periodogram-based nonparametric methods

6.1.1 The periodogram
Power spectrum Φvv (ejω ) of a WSS random process v(n) is the

211 212
Fourier transform of the autocorrelation function ϕvv (κ): With the rectangular window
∞ (
jω
X −jκω 1 n = 0, . . . , N − 1,
Φvv (e ) = ϕvv (κ) e . wr (n) =
κ=−∞ 0 otherwise,

⇒ Spectral estimation is also an autocorrelation estimation we can describe the input sequence being analyzed also as
problem
From Signals and Systems we know that for a stationary random vN (n) = v(n) · wr (n). (6.4)
process v(n) which is ergodic in the first and second moments
the autocorrelation sequence can be theoretically obtained from Then, the estimated autocorrelation sequence may be written as
the time-average ∞
1 X ∗ 1 ∗
N ϕ̂vv (κ) = vN (k+κ) vN (k) = vN (κ)∗vN (−κ).
1 X ∗ N k=−∞ N
ϕvv (κ) = lim v(k + κ) v (k). (6.1)
N →∞ 2N + 1 (6.5)
k=−N
Fourier transform of the rightmost equation in (6.5)
If v(n) is only measured over a finite interval of N samples, finally yields the following expression for the periodogram
n = 0, . . . , N −1, the autocorrelation sequence is estimated as (VN (ejω ) •−◦ vN (n)):
N −1−κ
1 X ∗ jω 1 jω ∗ jω 1 jω 2
ϕ̂vv (κ) = v(k + κ) v (k) (6.2) (per)
Φ̂vv (e ) = VN (e ) VN (e ) = |VN (e )| .
N k=0 N N
(6.6)
with the values of ϕ̂vv (κ) for κ < 0 defined via the symmetry
relation ϕ̂vv (−κ) = ϕ̂∗vv (κ), and with ϕ̂vv (κ) = 0 for MATLAB-command: periodogram
|κ| ≥ N . The sampled version Φ̂(per) jk2π/M
) = Φ̂(per)
vv (e vv (k) can be
The discrete Fourier transform of ϕ̂vv (κ) from (6.2) is called obtained from the M1-point DFT VN (k) of vN (n):
periodogram (Schuster, 1898) and leads to an estimate of the
power spectrum according to (per) 1 2
Φ̂vv (k) = |VN (k)| , k = 0, . . . , M1 − 1. (6.7)
N
N
X −1
(per) jω −jκω
Φ̂vv (e ) = ϕ̂vv (κ)e . (6.3) Thus, the periodogram can be calculated very efficiently using the
κ=−N +1 FFT.

213 214
Example: Periodogram of white noise asymptotically unbiased, which means that for N → ∞ the
If v(n) is white noise with a variance of σv2 , then ϕvv (κ) = σv2 δ(κ) with a expectation value of the estimated power spectrum is equal to
constant power spectrum Φvv (ejω ) = σv2 . the true power spectrum:
Sample realization for N = 32 Autocorrelation sequence ϕ̂vv (κ)
n o
(per) jω ! jω
lim E Φ̂vv (e ) = Φvv (e ). (6.9)
2 1 N →∞
0.8
1
On the other hand for a biased estimator there would be a
0.6
0 difference between the expectation value and the true result.
v(n) →

0.4

−1 0.2
• Furthermore, the estimation variance should go to zero as the
0
data length N goes to infinity:
−2
−0.2 n o
(per) jω !
−3
0 5 10 15 20 25 30 −40 −20 0 20 40 lim Var Φ̂vv (e ) = 0. (6.10)
n → λ → N →∞
(per)
Periodogram Φ̂vv (ejω ) (solid), power spectrum Φvv (ejω ) (dashed) • If (6.9) and (6.10) are satisfied we say that the periodogram
jω
10
Φ̂(per)
vv (e ) is a consistent estimate of the power spectrum.
5 Note that there are different definitions of consistency in the literature.
Magnitude [dB] →

0 Bias of the periodogram

−5 First step: Calculation of the expected value of the autocorrelation
−10 ϕ̂vv (κ). From (6.2) we have
−15 N −1−κ
0 0.2 0.4
ω/π →
0.6 0.8 1
1 X ∗
E{ϕ̂vv (κ)} = E{v(k + κ) v (k)}
Definition: Bias and consistency N k=0
Desirable: N −1−κ
1 X N −κ
• Convergence of the periodogram to the exact power spectrum = ϕvv (κ) = ϕvv (κ) (6.11)
N k=0 N
in the mean-square sense
  2 for κ = 0, . . . , N − 1, and for κ ≥ N it follows
(per) jω jω !
lim E Φ̂vv (e ) − Φvv (e ) = 0. (6.8) E{ϕ̂vv (κ)} = 0.
N →∞
By using the symmetry relation ϕ̂vv (−κ) = ϕ̂∗vv (κ) (6.11) can
• In order to achieve this it is necessary that the periodogram is be written as E{ϕ̂vv (κ)} = wB (κ) ϕvv (κ) with the Bartlett

215 216
(triangular) window Spectral resolution
( N −|κ| We know from the discussion in Section 3.1.4 that the convolution
N for |κ| ≤ N,
wB (κ) = (6.12) with the frequency response of a window may lead to
0 for |κ| > N.
• spectral smoothing,
The expected value of the periodogram can now be obtained as • spectral leaking,
n o N −1 • the loss of the ability to resolve two nearby spectral lines.
(per) jω
X −jκω
E Φ̂vv (e ) = E{ϕ̂vv (κ)}e , Similarly, this also holds for the convolution between the power
κ=−N +1 spectrum and the Bartlett window frequency response in (6.13).
∞
X Example: (a) Power spectrum of two sinusoids in white noise,
−jκω
= wB (κ) ϕvv (κ) e , (b) expected value of the periodogram
κ=−∞

which finally yields

n
(per) jω
o 1 jω jω
E Φ̂vv (e ) = Φvv (e )
∗ WB (e ) (6.13)
2π

with WB (ejω ) denoting the Fourier transform of the Bartlett

window  2
jω 1 sin(N ω/2)
WB (e ) = .
N sin(ω/2)
⇒ Periodogram is a biased estimate, since the expected value is
the convolution between the true power spectrum and the Fourier
transform of the Bartlett window. (from [Hayes, 1996])

Since WB (ejω ) converges to an impulse for N → ∞ the • Width of the main lobe of WB (ejω ) increases as the data
periodogram is asymptotically unbiased: record length decreases.
n o • ⇒ For a given length N there is a limit on how closely two
(per) jω jω
lim E Φ̂vv (e ) = Φvv (e ) (6.14) sinusoids or narrowband processes may be located before they
N →∞
no longer can be resolved.

217 218
• One way to define this frequency resolution limit is to set ∆ω analog to (6.4). The periodograms of these processes are
equal to the width of the main lobe of the Bartlett window at
(per) jω 1 jω 2 (per) 1
jω jω 2
its −6 dB point: Φ̂vv (e ) = |VN (e )| , Φ̂xx (e ) = |XN (e )| .
N N
(6.18)
2π If N is large compared to the length of h(n), vN (n) can be
∆ω = 0.89 , (6.15)
N described as vN (n) ≈ h(n)∗xN (n), since the transition effects
can be neglected. Thus, the magnitude square frequency response
which is also the frequency resolution of the periodogram. |VN (ejω )|2 of vN (n) can be with (6.17) expressed as
jω 2 jω 2 jω 2 jω jω 2
Variance of the periodogram |VN (e )| ≈ |H(e )| |XN (e )| = Φvv (e ) |XN (e )| .
(6.19)
White Gaussian random processes: Inserting (6.18) into (6.19) yields
It can be shown that for a white Gaussian random process v(n)
the variance of the periodogram is equal to the square of the power (per) jω jω (per) jω
Φ̂vv (e ) ≈ Φvv (e ) Φ̂xx (e ).
spectrum Φvv (ejω ) (see [Hayes, 1996]):
n o Applying the variances on both sides results in
(per) jω 2 jω
Var Φ̂vv (e ) = Φvv (e ). (6.16) n o n o
(per) jω 2 jω (per) jω
Var Φ̂vv (e ) ≈ Φvv (e ) Var Φ̂xx (e ) ,
Non-white Gaussian random processes: jω
and, since Var{Φ̂(per)
xx (e )} = 1 according to (6.16), the variance
For non-white Gaussian processes, which are more important for large N can be obtained as
in practice, we derive an approximation for the variance of the
periodogram in the following. n
(per) jω
o
2 jω
Var Φ̂vv (e ) ≈ Φvv (e ). (6.20)
A random process v(n) with power spectrum Φvv (ejω ) may be
generated by filtering white noise x(n) with variance σx2 = 1
with a linear filter h(n) ◦−• H(ejω ) and ⇒ Periodogram is not a consistent estimator
Example:
jω 2 jω For a white Gaussian noise process v(n) with σv2 = 1 and Φvv (ejω ) = 1 it
|H(e )| = Φvv (e ). (6.17) follows from (6.13) and (6.16), resp., that
n o n o
(per) jω (per) jω
The sequences vN (n) and xN (n) are now formed by windowing E Φ̂vv (e ) = 1 and Var Φ̂vv (e ) = 1.

219 220
 Thus, although the periodogram for white Gaussian noise is unbiased, the 6.1.2 Bartlett’s method: Periodogram averaging
variance is independent of the data record length N .
In contrast to the periodogram, Bartlett’s method (1948) provides
N = 64, overlay of 30 periodo- N = 64, approximated periodo-
(per) a consistent estimate of the power spectrum.
grams Φ̂vv (ejω ) gram variance
10 3
The motivation for this method comes from the fact that by
0 2.5
averaging a set of uncorrelated measurements for a random
Magnitude [dB] →

−10 2
variable v one obtains a consistent estimate of the mean E{v}.

Variance →
−20 1.5
Since the periodogram is asymptotically unbiased
−30 1

−40 0.5
n o
(per) jω jω
lim E Φ̂vv (e ) = Φvv (e ),
−50
0 0.2 0.4 0.6 0.8 1
0
0 0.2 0.4 0.6 0.8 1
N →∞
ω/π → ω/π →
N = 256, overlay of 30 periodo- N = 256, approximated periodo-
(per)
grams Φ̂vv (ejω ) gram variance it obviously suffices to find a consistent estimate of the
jω
10 3
periodogram E{Φ̂(per)vv (e )} in order to find a consistent
0 2.5
estimate for the true power spectrum Φvv (ejω ).
Magnitude [dB] →

−10 2 ⇒ Estimation of the power spectrum by periodogram averaging!

Variance →

−20 1.5

−30 1
Let vi(n) for i = 0, . . . , K − 1 denote K uncorrelated
realizations of a random process v(n) for n = 0, . . . , L − 1.
−40 0.5
The periodogram of each single realization is obtained from (6.6)
−50 0
0 0.2 0.4
ω/π →
0.6 0.8 1 0 0.2 0.4
ω/π →
0.6 0.8 1 as
 2
XL−1 
(per) jω 1  −jnω 
N = 64, periodogram average N = 256, periodogram average Φ̂v v (e ) =  vi(n)e  . (6.21)
i i L 
10 10 n=0
0 0 The average of these periodograms is
Magnitude [dB] →

Magnitude [dB] →

−10 −10

K−1
−20 −20
jω 1 X (per) jω
Φ̂vv (e ) = Φ̂ (e ). (6.22)
−30 −30
K i=0 vivi
−40 −40

−50 −50
0 0.2 0.4
ω/π →
0.6 0.8 1 0 0.2 0.4
ω/π →
0.6 0.8 1
For the expected value of Φ̂vv (ejω ) we have with (6.22) and

221 222
(6.13) Properties
n
jω
o n
(per) jω
o From (6.23) the expected value is
E Φ̂vv (e ) =E Φ̂v (e )
i vi

1 jω jω
n
(B) jω
o 1 jω jω
= Φvv (e )
∗ WB (e ). (6.23) E Φ̂vv (e ) = Φvv (e )
∗ WB (e ) (6.26)
2π 2π

As with the periodogram, the estimate Φ̂vv (ejω ) is asymptotically As the periodogram the Bartlett estimate is asymptotically
unbiased, i.e. for L → ∞. unbiased.
For uncorrelated data records vi(n) the variance Var{Φ̂vv (ejω )} The spectral resolution of the Bartlett estimate can be obtained
can be obtained in the same way from (6.22) and (6.20) as from the resolution of the periodogram in (6.15). Since we now
use sequences of length L the resolution becomes
n
jω
o 1 n
(per) jω
o 1 2 jω
Var Φ̂vv (e ) = Var Φ̂v v (e ) ≈ Φ (e ).
K i i K vv 2π 2π
(6.24) ∆ω = 0.89 = 0.89 K , (6.27)
We can observe that the variance goes to zero if K goes to infinity L N
⇒ Φ̂vv (ejω ) is a consistent estimate of the power spectrum if
both L and K tend to infinity. which is K times larger (worse!) than that of the periodogram.
Variance: Assuming that the data sequences vi(n) are
In practice:
approximately uncorrelated (this is generally not the case!) the
Uncorrelated realizations of a random process are generally not
variance of the Bartlett estimate is for large N
available, instead we have only one single realization of length N .
Alternative: v(n) of length N is divided into K nonoverlapping
sequences of length L with N = L · K , that is
n
(B) jω
o 1 2 jω
Var Φ̂vv (e ) ≈ Φ (e ). (6.28)
vi(n) = v(n + iL), n = 0, . . . , L−1, i = 0, . . . , K −1. K vv

Thus, the Bartlett estimate is

• Φ(B) jω
vv (e ) is a consistent estimate for K, L → ∞.

 2 • The Bartlett estimate allows to trade spectral resolution for a

K−1 L−1
(B) jω 1 X  X 
−jnω  reduction in variance by adjusting the parameters L and K .
Φ̂vv (e ) =  v(n + iL) e  . (6.25)
N i=0  n=0  Examples:
• The power spectrum of a white noise Gaussian process with σv2 = 1 of
length N = 256 is estimated with Bartlett’s method.

223 224
 K = 4, L = 64, overlay of 30 K = 4, L = 64, approximated η(n) of variance ση2 = 1,
(B)
Bartlett estimates Φ̂vv (ejω ) variance of Bartlett estimates
0.5
v(n) = 3 · sin(nω1 ) + sin(nω2 ) + η(n) (6.29)
10

5 0.4
with ω1 = 0.2π , ω2 = 0.25π , and length N = 512 samples.
Magnitude [dB] →

The following figures show the average power spectrum estimate over

Variance →
0 0.3 30 realizations, and demonstrate the reduced spectral resolution of the
−5 0.2
Bartlett estimate compared to the periodogram.
K = 4, L = 128, Bartlett estimate K = 8, L = 64, Bartlett estimate
−10 0.1 30 30

−15 0
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
ω/π → 20 20

Magnitude [dB] →

Magnitude [dB] →
ω/π →
K = 8, L = 32, overlay of 30 K = 8, L = 32, approximated
(B)
Bartlett estimates Φ̂vv (ejω ) variance of Bartlett estimates 10 10

10 0.5
0 0
5 0.4
Magnitude [dB] →

−10 −10
Variance →

0 0.3 0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1

ω/π → ω/π →
Periodogram
−5 0.2 30

−10 0.1
20

Magnitude [dB] →
−15 0
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
ω/π → ω/π → 10

K = 4, L = 64, Bartlett estimate K = 8, L = 32, Bartlett estimate 0

average average
10 10 −10
0 0.2 0.4 0.6 0.8 1
ω/π →
5 5
6.1.3 Welch’s method: Averaging modified periodograms
Magnitude [dB] →

Magnitude [dB] →

0 0
In 1967, Welch proposed two modifications to Bartlett’s method:
−5 −5
1. The data segments vi(n) of length L are allowed to overlap,
−10 −10
where D denotes the offset between successive sequences:
−15 −15
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
ω/π → ω/π → vi(n) = v(n+iD), n = 0, . . . , L−1, i = 0, . . . , K−1.
• Here, the input signal consists of two sinusoids in white Gaussian noise (6.30)

225 226
 The amount of overlap between vi(n) and vi+1(n) is L−D Properties
samples, and if K sequences cover the entire N data points • It can be shown that the expected value of Welch’s estimate is
we have N = L + D(K − 1). If D = L the segments do
not overlap as in Bartlett’s method with K = N/L. n
(W ) jω
o 1 jω jω 2
E Φ̂vv (e ) = Φvv (e ) ∗ |W (e )| ,
⇒ By allowing the sequences to overlap it is possible to 2πLU
increase the number and/or length of the sequences that are (6.34)
averaged. Reduction of the variance (for larger K ) can thus jω
where W (e ) denotes the Fourier transform of the general
be traded in for a reduction in resolution (for smaller L) and L-point window sequence w(n). Thus, Welch’s method is an
vice versa. asymptotically unbiased estimate of the power spectrum.
2. The second modification is to window the data segments prior • The spectral resolution of Welch’s estimate depends on the
to computing the periodogram. This leads to a so called used window sequence and is specified as the 3 dB width
modified periodogram ∆ω3 dB of the main lobe of the spectral window. ∆ω3 dB is
 2 specified for some commonly used windows in the following
XL−1 
(mod) jω 1  −jnω  table.
Φ̂v v (e ) =  v i (n) w(n)e  (6.31)
i i LU  
n=0
Sidelobe 3 dB bandwidth
Type of window level [dB] ∆ω3 dB
with a general window w(n) of length L, and U denoting
a normalization factor for the power in the window function Rectangular -13 0.89 2π
L
according to Bartlett -27 1.28 2π
L
L−1
1X 2 Hanning -32 1.44 2π
U = |w(n)| . (6.32) L
L n=0
Hamming -43 1.30 2π
L

Welch’s method may explicitly be written as Blackman -58 1.68 2π

L

K−1
 L−1 2 Remark: In (6.15) we stated the frequency resolution of the peridogram
1 X X 
(W ) jω −jnω 
as the 6 dB main lobe width of the Bartlett window. Since WB (ejω ) =

Φ̂vv (e ) =  v(n + iD) w(n)e  .
KLU i=0  n=0 
|WR (ejω )|2 this is equivalent to the 3 dB bandwidth of the frequency
(6.33) response WR (ejω ) of the rectangular window.
MATLAB-command: pwelch • The variance of Welch’s estimate highly depends on the

227 228
 amount of overlapping. For a Bartlett window and a 50% Overlay plot of 30 Welch estimates Welch estimate ensemble average
overlap the variance is approximately 30 30

20
n o 9 20

Magnitude [dB] →

Magnitude [dB] →
(W ) jω 2 jω
Var Φ̂vv (e ) ≈ Φvv (e ) (6.35)
8K 10
10

0
(→ consistent estimate). A comparison with (6.28) shows that 0

the variance for Welch’s method seems to be larger than for −10

Bartlett’s method. However, for fixed amount of data N and a 0 0.2 0.4 0.6 0.8 1
−10
0 0.2 0.4 0.6 0.8 1
ω/π → ω/π →
fixed resolution L here twice as many sections are averaged
Compared to the Bartlett estimate for the same example above the use of
compared to Bartlett’s method. With K = 2N/L (50%
the Hamming window reduces the spectral leakage in the estimated power
overlap) (6.35) becomes spectrum.
Since the number of sections (7) are about the same to those in the above
n
(W ) jω
o 9L 2 jω example for the Bartlett estimate with K = 8, L = 64 (8 sections) both
Var Φ̂vv (e ) ≈ Φ (e ). (6.36)
16N vv variances are also approximately the same.

6.1.4 Blackman-Tukey method: Periodogram smoothing

A comparison with (6.28) and K = N/L for the Bartlett
estimate we have Recall that the periodogram is obtained by a Fourier transform
from the estimated autocorrelation sequence. However, for any
n
(W ) jω
o 9 n
(B) jω
o
finite data record of length N the variance of ϕ̂vv (κ) will be
Var Φ̂vv (e ) ≈ Var Φ̂vv (e ) . (6.37)
16 large for values of κ, which are close to N . For example for
lag κ = N − 1 we have from (6.2)
Increasing the amount of overlap yields higher computational
complexity and also the correlation between the subsequences 1
vi(n) → amount of overlap is typically chosen as 50% or ϕ̂vv (N − 1) = v(N − 1) v(0).
N
75%.
Two approaches for reducing the variance of ϕ̂vv (κ) and thus also
Example:
As an input signal we again use (6.29) which contains two sinusoids in white the variance of the peridogram:
Gaussian noise η(n) of variance ση2 = 1, with ω1 = 0.2π , ω2 = 0.25π , 1. Averaging periodograms and modified periodograms, resp., as
and a signal length of N = 512 samples. The section length is chosen as
L = 128, the amount of overlapping is 50%, and for the window we use a
utilized in the methods of Bartlett and Welch.
Hamming window. 2. Periodogram smoothing → Blackman-Tukey method (1958)

229 230
Blackman-Tukey method: Variance of the autocorrelation • W (ejω ) ≥ 0, such that Φ̂vv(BT ) jω
(e ) is nonnegative for all ω .
function is reduced by applying a window to ϕ̂vv (κ) to decrease Note that some of the window functions we have introduced
the contribution of the undesired estimates to the periodogram. do not satisfy this condition, for example, the Hamming and
The Blackman-Tukey estimate is given as Hanning windows.
Properties
M
(BT ) jω
X −jκω • The expected value of the Blackman-Tukey estimate can be
Φ̂vv (e ) = ϕ̂vv (κ) w(κ) e , (6.38)
derived for M ≪ N as
κ=−M

n
(BT ) jω 1
o
jω jω
where w(κ) is a lag window being applied to the autocorrelation E Φ̂vv (e ) Φvv (e )
= ∗ W (e )
2π
estimate and extending from −M to M for M < N − 1.
(6.41)
⇒ Estimates of ϕvv (κ) having the largest variance are set to zero jω
where W (e ) is the Fourier transform of the lag window.
by the lag window → the power spectrum estimate will have a
smaller variance. • The spectral resolution of the Blackman-Tukey estimate
depends on the used window.
The Blackman-Tukey power spectrum estimate from (6.38) may • It can be shown that the variance can be approximated as
also be written as
1 (per) jω M
(BT ) jω jω
n
(BT ) jω
o
2 jω 1 X 2
Φ̂vv (e ) = Φ̂ (e ) ∗ W (e ), (6.39) Var Φ̂vv (e ) ≈ Φvv (e ) w (κ).
2π vv N κ=−M
Zπ
1 (per) ju j(ω−u) (6.42)
= Φ̂vv (e ) W (e ) du (6.40)
2π • From (6.41) and (6.42) we again see the trade-off between bias
−π
and variance: For a small bias, M should be large in order to
with W (ejω ) denoting the Fourier transform of the lag window. minimize the width of the main lobe of W (ejω ), whereas M
⇒ Blackman-Tukey estimate smooths the periodogram by should be small to minimize the sum term in (6.42). As a
convolution with W (ejω ). general rule of thumb, M is often chosen as M = N/5.

Choice of a suitable window: Examples:

• The power spectrum of a white noise Gaussian process with σv2 = 1 of
• w(κ) should be conjugate symmetric, such that W (ejω ) (and length N = 256 is estimated with the Blackman-Tukey method, where a
also the power spectrum) is real-valued. Bartlett window with M = 51 is used.

231 232
 6.1.5 Performance comparisons
Overlay of 30 Blackman-Tukey Approximated variance of the Performance of the discussed estimators is assessed in terms of
(BT )
estimates Φ̂vv (ejω ) Blackman-Tukey estimates
two criteria:
10 0.5

5 0.4 1. Variability V of the estimate,

Magnitude [dB] →

Variance →
0 0.3 n o
Var Φ̂vv (ejω )
−5 0.2
V = n o, (6.43)
−10 0.1 E2 Φ̂vv (ejω )
−15 0
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
ω/π → ω/π →
which can be regarded as a normalized variance.
Blackman-Tukey estimate ensemble average
10 2. Overall figure of merit, which is defined as the product of the
5
variability and the spectral resolution ∆ω ,
Magnitude [dB] →

0
M = V ∆ω. (6.44)
−5

−10
Results for the periodogram-based spectrum estimation tech-
−15
0 0.2 0.4 0.6 0.8 1
niques:
ω/π →

• In a second example we use two sinusoids in white Gaussian noise ((6.29), Variability Resolution Figure of merit
2 V ∆ω M
σn = 1, ω1 = 0.2π , ω2 = 0.25π ) for N = 512 samples. The
window is a Bartlett window with M = 102. 2π 2π
Periodogram 1 0.89 0.89
Overlay plot of 30 Blackman- Blackman-Tukey estimate ensem- N N
Tukey estimates ble average 1 2π 2π
Bartlett 0.89 K 0.89
30 30
K N N
20 20 Welch (50% overlap, 9 2π 2π
Magnitude [dB] →

Magnitude [dB] →

1.28 0.72
Bartlett window) 8K L N
10
10

0 Blackman-Tukey 2M 2π 2π
0 (Bartlett window of length 0.64 0.43
3N M N
−10 2M , 1 ≪ M ≪ N )
−10
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
ω/π → ω/π →

233 234