Analyse Spectrale Chap 2

Chapter 2 : Non-parametric spectral estimation
22
Power Spectral Density (PSD) of Random sequences
Assume a wide sense stationary random sequence y (n).

Denote r (k ) = RY (k ) it autocorrelation sequence (ACS), defined as
∗
r (k ) = E y (n)y (n − k )
Let S(ω) be its power spectral density (PSD).
Our goal :
Spectral estimation problem

From a finite length record {y (n)}N−1
n=0
, determine an estimate Ŝ(ω) of its PSD S(ω).
Non parametric spectral estimation is based on the definitions of PSD :
First definition of the PSD: Wiener-Kinchin Theorem
∞
−ωk
X
S(ω) = r (k )e (1)
k =−∞
23
Power Spectral Density (PSD) of Random sequences (cont’d)
A second definition of the PSD : exploiting ergodicity

 2
 1 N−1 
−ωn
X
S(ω) = lim E y (n)e (2)
N→∞ N 
n=0
This second definition of the PSD is based on the fact that, for a wide sense ergodic process :
 
 1 N−1 
∗
X
r (k ) = lim E y (n)y (n − k )
N→∞  N 
n=k
under the condition that the sequence r (k ) decays sufficiently rapidly :

N
1 X
lim |k ||r (k )| = 0
N→∞ N k =−N
Properties of the PSD
S(ω) ≥ 0 ∀ω and S(ω) real !

S(ω) = S(ω + 2π)
If y (n) ∈ R, S(ω) = Sy (−ω). Otherwise, S(ω) 6= Sy (−ω)
24
Non parametric Spectral Estimation
Periodogram and correlogram methods
Let’s use the PSD definition of equation (2) to define :
The periodogram :
2
N−1
1 X −ωn 1 2
ŜP (ω) = y (n)e = |YN (ω)| (3)
N n=0 N
Let’s use the PSD definition of equation (1) to define :
The correlogram :
N−1
−ωk
X
ŜC (ω) = r̂ (k )e (4)
k =−(N−1)
where r̂ (k ) is an estimate of the covariance r (k ) at lag k , from y. It can be shown that

ŜC (ω) = ŜP (ω), when using the standard biased ACS estimates.
Periodogram and correlogram methods 25

Estimation performance analysis
Let θ̂ be an estimator of an unknown quantity θ ∈ R

Estimation performance can be characterize by several statistics :
Bias : How far the estimate’s mean value µθ̂ is from the true value θ.
n o
def
bias{θ̂} = E θ̂ − θ = µθ̂ − θ.
Variance : How spread the estimates θ̂ lie around their mean value µθ̂ .
n o n o
2 def 2 2 2
var{θ̂} = σθ̂ = E (θ̂ − µθ̂ ) = E θ̂ − µθ̂
Mean square error (MSE) (between estimate θ̂ and true value θ

n o
def 2 2
MSE{θ̂} = E (θ̂ − θ) = bias {θ̂} + var{θ̂}.
Extension to complex-valued case is done by replacing (.)2 by |.|2

Estimation performance analysis (cont’d)
Let θ̂N be an estimator of a quantity θ computed from a set of N samples of available data.
Several statistical properties of the estimator can be defined:
Unbiasedness
n o
The estimator is said to be unbiased if E θˆN = θ, i.e., if bias{θN } = 0.
n o
The estimator is asymptotically unbiased if lim E θˆN = θ, i.e., if lim bias{θˆN } = 0.
N→∞ N→∞
Consistency
h i
The estimator is said to be consistent if lim var θˆN = 0.
N→∞
The estimator is MSE consistent if lim MSE{θˆN } = 0.
N→∞
MSE consistency implies variance consistency and asymptotic unbiasedness.

Estimation of the auto-covariance sequence (ACS)
Unbiased ACS estimator
N−1
1 X ∗
r̂ (k ) = y (n)y (n − k ), 0≤k ≤N−1 (5)
N − k n=k
biased ACS estimator
N−1
1 X ∗
r̂ (k ) = y (n)y (n − k ), 0≤k ≤N−1 (6)
N n=k

|k |
Biased because E{r̂ (k )} = 1− N r (k )
The biased ACS estimator is preferred :
it presents reduce variance for k large (take for example k = N − 1 ...)
is guaranteed to be semi-definite positive (important when introducing the covariance matrix !)
the estimation error in r̂ (k ) is on the order of √1
N

Link between periodogram an correlogram
Link between ŜC (ω) and ŜP (ω)

If the biased ACS estimate of r (k ) is used in ŜC (ω) then :
ŜC (ω) = ŜP (ω)
Proof: in tutorial
Consequence: both can be analyzed simultaneously
Spectral estimators are random processes

Each N−sample realization of y (n) will provide a (generally) different spectral estimate.
Hence ŜC (ω) and ŜP (ω), are random processes that are functions of frequency ω.
Consequence: spectral estimation quality can be measured by means of performance indices

(statistics) such as bias, variance and MSE, defined earlier.

Properties of the Periodogram Method
Bias of the Periodogram
n o n o N−1
−ωk
X
From (4) : E ŜP (ω) = E ŜC (ω) = E{r̂ (k )} e
k =−(N−1)

k
Then, from (6 ) :E{r̂ (k )} : 1− r (k ), k ≥ 0. Hence
N
N−1
|k |
n o
−ωk
X
E ŜP (ω) = 1− r (k )e
N
k =−(N−1)
Let’s define the triangular window (also known as Bartlett window) as :

|k |

wB (k ) = 1 − N , k = −(N − 1), ..., 0, ..., N − 1
0, otherwise
Then we can write the mean of the estimator as a DTFT (Discrete Time Fourier Transform) :
n o ∞
−ωk
X
E ŜP (ω) = [wB (k )r (k )]e ,
k =−∞
which is the DTFT of a product, and hence is the convolution of the true DSP and the Triangular
window in the frequency domain.
Z π
def 1
n o
E ŜP (ω) = S(ω) ∗ WB (ω) = S(ξ)WB (ω − ξ)dξ.
2π −π
Properties of the Periodogram Method 30

The mean ŜP (ω) : convolution of the ”Bartlett kernel” and the real DSP
N−1 2
N − |k |

X −2πfk 1 sin(ω N/2)
WB (ω) = e =
N N sin(ω/2)
k =−(N−1)
Normalized DTFT of the Barlett window WB (f )/WB (0) nor N = 25 samples.

How close is this to a “Dirac” ?
n o
E ŜP (ω) should be as close as possible to S(ω), hence, WB (ω) should be as close as possible
to a Dirac δ(ω) : OK, limN→∞ WB (ω) = δ(ω)
The periodogram is an asymptotically unbiased spectral estimator

n o
lim E ŜP (f ω) = S(ω)
N→∞
SMEARING : The main lobe of WB (f ) is approximately 1/N width

The half power width of WB (f ) can be shown to be approximately f ' 1/N
THIS IS THE FUNDAMENTAL RESOLUTION OF THE METHOD
LEAKAGE : The spectrum leaks on the SIDELOBES

A frequency component present at fo will leak at frequencies fo ± (2p + 1)/(2N), p ∈ Z+
These two effects are important for PEAKY spectra.

n o
For white noise, it has no influence (E Ŝp,w (f ) = Sw (f ))

What happens if we take the unbiased ACS estimator ?
Then, from (5 ) :E{r̂ (k )} : r (k ), k ≥ 0. Hence

N−1
n o X 1 −ωk
E ŜC (ω) = r (k )e
N
k =−(N−1)
and we have a rectangular window :

1, k = −(N − 1), ..., 0, ..., N − 1
wR (k ) =
0, otherwise
and the DTFT of the (N-1)-point rectangular window is
sin[(2N − 1)ω/2]
WR (ω) =
sin[ω/2]

Unbiased ACS estimator : narrower Smearing - more leakage
positive effect : narrower main lobe → narrower smearing → improved frequency resolution.
negative effect :ore prominent sidelobes → increased power leakage
DTFT of rectangular window (left) and Bartlett window (right) for N = 25 samples.

Variance of the Periodogram
Note : interested reader, refer to Stoica’s book, section 2.4.2, for the details.
The periodogram is an inconsistent estimator of the PSD

For N sufficiently large, we have :
h i
2
var ŜP (ω) ' S (ω)
Consequences :
Variance cannot be improved by increasing the sample size N.
Inconsistency - as spectral smearing - has an adverse effect on resolvability properties.
These results will be illustrated in the computer lab.

Improved periodogram-based methods
Motivation
Periodogram: based on the FFT → simple, computationally efficient PSD estimate.
Asymptotically unbiased but inconsistent estimator: variance does not improve with observed
sample size N.
Periodogram variance mainly caused by ACS estimates with large |k |, which have large
variance due to small number of contributing samples.
To improve variance, two main families of approaches:
periodogram smoothing: Blackman-Tuckey, Daniell
periodogram averaging: Bartlett, Welch.

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Analyse Spectrale Chap 2

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Chapter 2 : Non-parametric spectral estimation

Assume a wide sense stationary random sequence y (n).

Spectral estimation problem

Non parametric spectral estimation is based on the definitions of PSD :

First definition of the PSD: Wiener-Kinchin Theorem

A second definition of the PSD : exploiting ergodicity

under the condition that the sequence r (k ) decays sufficiently rapidly :

S(ω) ≥ 0 ∀ω and S(ω) real !

Let’s use the PSD definition of equation (2) to define :

Let’s use the PSD definition of equation (1) to define :

where r̂ (k ) is an estimate of the covariance r (k ) at lag k , from y. It can be shown that

Periodogram and correlogram methods 25

Estimation performance analysis

Let θ̂ be an estimator of an unknown quantity θ ∈ R

Mean square error (MSE) (between estimate θ̂ and true value θ

Extension to complex-valued case is done by replacing (.)2 by |.|2

Periodogram and correlogram methods 26

Estimation performance analysis (cont’d)

Periodogram and correlogram methods 27

Estimation of the auto-covariance sequence (ACS)

Unbiased ACS estimator

biased ACS estimator

Periodogram and correlogram methods 28

Link between periodogram an correlogram

Link between ŜC (ω) and ŜP (ω)

ŜC (ω) = ŜP (ω)

Spectral estimators are random processes

Consequence: spectral estimation quality can be measured by means of performance indices

Periodogram and correlogram methods 29

Bias of the Periodogram

Let’s define the triangular window (also known as Bartlett window) as :

Properties of the Periodogram Method 30

Normalized DTFT of the Barlett window WB (f )/WB (0) nor N = 25 samples.

How close is this to a “Dirac” ?

The periodogram is an asymptotically unbiased spectral estimator

SMEARING : The main lobe of WB (f ) is approximately 1/N width

LEAKAGE : The spectrum leaks on the SIDELOBES

These two effects are important for PEAKY spectra.

Properties of the Periodogram Method 32

What happens if we take the unbiased ACS estimator ?

Then, from (5 ) :E{r̂ (k )} : r (k ), k ≥ 0. Hence

and we have a rectangular window :

Properties of the Periodogram Method 33

Unbiased ACS estimator : narrower Smearing - more leakage

Properties of the Periodogram Method 34

Variance of the Periodogram

The periodogram is an inconsistent estimator of the PSD

Properties of the Periodogram Method 35

Improved periodogram-based methods

Properties of the Periodogram Method 36

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