Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
Lecture 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L11
Given: A nite record of a signal. Determine: The distribution of signal power over frequency.
signal t t=1, 2, ... + spectral density
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L12
Applications Temporal Spectral Analysis Vibration monitoring and fault detection Hidden periodicity nding Speech processing and audio devices Medical diagnosis Seismology and ground movement study Control systems design Radar, Sonar
Deterministic Signals
fy(t)g1 ;1 = t=
If:
t=;1
jy(t)j2 < 1
X
Then:
Y (! ) =
t=;1
y(t)e;i!t
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L14
Parseval's Equality:
where
S (!) =
where
k=;1
X
(k)e;i!k
(k) =
t=;1
y(t)y (t ; k)
Slide L15
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Random Signals
Random Signal
random signal probabilistic statements about future variations t current observation time
Here:
t=;1
n
jy(t)j2 = 1
o
But:
E jy(t)j2 < 1
= Average power in y
(t)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L16
(! ) =
where r
k=;1
r(k)e;i!k
(k) is the autocovariance sequence (ACS) r(k) = E fy(t)y (t ; k)g r(k) = r (;k) r(0) jr(k)j
Z
Note that
r(k) = 21 ; (!)ei!k d!
n o
(Inverse DTFT)
Interpretation:
so
(!)d! =
! d! 2
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L17
8 > <
9 > = >
Note that
where
fy(t)g.
t=1
y(t)e;i!t
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L18
P1:
!2 ;
P2:
] () f 2 ;1=2 1=2]
P3: If y
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L19
H (q) =
k=0
hk q;k
e(t) e (! )
Then
!)
y(t) =
k=0
hk e(t ; k) hk e;i!k
H (! ) =
k=0
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L110
fy(1) : : : y(N )g
(!): f ^(!) ! 2 ; ]g
Find an estimate of
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L111
Lecture 2
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L21
8 > <
9 > = >
Given : Drop
fy(t)gN t=1
lim
and E
N !1
f g to get
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L22
Correlogram
(! ) =
P
k=;1 N ;1 X
r(k)e;i!k
(k) by ^(k): r
r ^(k)e;i!k
^c(!) =
k=;(N ;1)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L23
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L24
N ;1 X
= ^c(!)
k=;(N ;1)
r ^(k)e;i!k
^p(!) = ^c(!)
Consequence: Both p ! and
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Statistical Performance of ^p(! ) and ^c(! ) Summary: Both are asymptotically (for large N ) unbiased:
E ^p(!) ! (!) as N ! 1
n o
Intuitive explanation:
f^( ) ; ( )g
^ ( ) ; ( )]
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L26
E ^p(!) = E ^c(!) = E f^(k)g e;i!k r k=;(N ;1) N ;1 jkj r(k)e;i!k = 1; N k=;(N ;1) 1 = wB (k)r(k)e;i!k k=;1
n o n o X ! X
N ;1 X
wB (k) =
8 < :
=
Thus,
n o
k 1 ; jNj
jkj N ; 1 jkj N
E ^p(!) = 21 ; ( )WB (! ; ) d
Z
Ideally:
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Bartlett Window WB (! )
10
20
dB
30
40
50
60
1 0 1 ANGULAR FREQUENCY
1=N .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
<1/
Thus:
1=N .
^ ()W () B
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L29
Summary of Periodogram Bias Properties: For small N , severe bias As N , WB ! !, so ! is asymptotically unbiased.
!1 ^( )
( )! ( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L210
Periodogram Variance As N
io
^ () ^ ()
asymptotic mean = () + 1 st. dev = () too -
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L211
Finite DTFT: YN
(!) =
t=1
y(t)e;i!t
Y (k) =
t=1
y(t)W tk
k = 0 ::: N ; 1
( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L212
N = 2m N=2 N Y (k) = y(t)W tk + y(t)W tk t=1 t=N=2+1 N=2 2 = y(t) + y(t + N=2)W Nk ]W tk t=1 Nk +1 for even k with W 2 = ;1 for odd k
Assume:
X X X
Let N For k
Y (2p) =
For k
~ N
= 1 3 5 : : : N ; 1 = 2p + 1:
X
t=1
Y (2p + 1) =
Each is a N
~ N
t=1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Let ck Then
Thus,
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L214
Zero Padding Append the given data by zeros prior to computing DFT (or FFT):
fy(1) : : : y(N ) 0 : : : 0g
|
{z
= power of 2)
^(!): 2 k N ;1 N k=0
sampled, N=8
2 k N ;1 ! N k=0
^ ()
continuous curve
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L215
Lecture 3
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L31
Blackman-Tukey Method
Basic Idea: Weighted correlogram, with small weight applied to covariances r k with large k .
^( )
jj
^BT (!) =
M ;1 X k=;(M ;1)
w(k)^(k)e;i!k r
fw(k)g =
Lag Window
w(k)
1
-M
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L32
W (!) = =
Conclusion: Effect:
DTFT
fw(k)g
Spectral Window
= var + bias2 ! 0 as N ! 1
Slide L33
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
If W
Then:
Time-Bandwidth Product
M ;1 X
w (k )
Ne e = 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L34
e = 1=Ne = 0(1=M )
is the BT resolution threshold. As M increases, bias decreases and variance increases.
e) is essentially
Choose window shape to compromise between smearing (main lobe width) and leakage (sidelobe level).
The energy in the main lobe and in the sidelobes cannot be reduced simultaneously, once M is given.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L35
= 25
10
20
dB
30
40
50
60
1 0 1 ANGULAR FREQUENCY
Rectangular Window, M
0 10
= 25
20
dB
30
40
50
60
1 0 1 ANGULAR FREQUENCY
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L36
^1() ^2()
... average
^L()
^B()
Mathematically:
1 L ^ (!) ^B (!) = L j =1 j
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L37
1 L ^B (!) = L j =1
X
M ;1 X
'
Thus:
r ^j (k)e;i!k
9 =
9 > = >
L j =1
r ^j (k) e;i!k
r ^(k)e;i!k
()
^( )
High resolution (little smearing) Large leakage and relatively large variance
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L38
Welch Method Similar to Bartlett method, but allow overlap of subsequences (gives more subsequences, and thus better averaging) use data window for each periodogram; gives mainlobe-sidelobe tradeoff capability
])
Additional exibility: The data in each subsequence are weighted by a temporal window Welch is approximately equal to non-rectangular lag window.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Daniell Method
1,
(2 + 1)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L310
= 2J=N . Then, for N 1, ^D(!) ' 1 ^p(!)d! 2 ; Hence: ^D (! ) ' ^BT (! ) with a rectangular spectral
Let
Z
window.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L311
Modied periodograms
Attempt to reduce the variance at the expense of (slightly) increasing the bias.
BT periodogram
Local smoothing/averaging of spectral window.
^( )
Approximate interpretation: BT ! with a suitable lag window (rectangular for Bartlett; more general for Welch).
^ ()
Daniell Periodogram
Approximate interpretation: spectral window.
Lecture 4
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L41
Estimate PSD
^ ^ =(,) ()
Rational Spectra
By Weierstrass theorem, ! can approximate arbitrarily well any continuous PSD, provided m and n are chosen sufciently large. Note, however: choice of m and n is not simple some PSDs are not continuous
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L42
( )
(!) can be
B (!) 2 2 (!) = A(!) A(z) = 1 + a1z;1 + + anz;n B (z) = 1 + b1z;1 + + bmz;m and, e.g., A(! ) = A(z )jz =ei!
Signal Modeling Interpretation:
e(t) e (! ) =
B (q) A(q)
white noise
y(t)y (! ) =
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
y(t)+
i=1 n
aiy(t ; i) =
j =0
bj e(t ; j )
(b0 = 1)
Multiply by y
r (k ) +
i=1
air(k ; i) =
j =0
bj E fe(t ; j )y (t ; k)g
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L44
AR: m
= 0.
2 1 a1 = 0 . . . . an 0
3 7 7 7 5 2 6 6 6 4
32 6 6 6 4
3 7 7 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L45
(k) by r(k) and solve for f^ig and ^2: ^ a r ^(0) ^(;1) : : : ^(;n) 1 r r ^2 . . r ^(1) r(0) ^ ^.1 = 0 a . . . . . ^(;1) . . r . r ^(n) : : : r(0) ^ ^n a 0
32 7 7 7 5 6 6 6 4 3 7 7 7 5 2 6 6 6 4
3 7 7 7 5
^2 ^(!) = ^ 2 jA(!)j
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L46
e(t) = y(t) +
i=1
= a1 : : : an]T to minimize
f( ) =
X
This gives
2
y=6 4
t=n+1
je(t)j2
y(1) y(2) y(N ; n)
. . .
3 7 5
=4
y(N ; 1) y(N ; 2)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L47
LevinsonDurbin Algorithm
0 ;1 1 .0 .
.
..
... ...
{z
;n . ;1
. .
32 7 7 7 5 } 6 6 6 4
1
n
3 7 7 7 5
2 6 6 6 4
Rn+1
= 0 . . 0
2 n
3 7 7 7 5
O(n3) ops
= 1 : : : n: O(n4) ops
LevinsonDurbin Algorithm: Exploits the Toeplitz form of Rn+1 to obtain the solutions for k : : : n in O n2 ops!
=1
( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L48
Relevant Properties of R:
Rx = y $ Rx = y, where x = xn : : : x1]T ~ ~ ~
Nested structure
2
Rn+2 =
Thus,
2
Rn+1
n+1
r ~n
n+1 r ~n
0
3 5
r ~n =
6 4
. .
3 7 5
Rn+2 4
1 n = 0
3 5
2 4
Rn+1
n+1
r ~n
n+1 r ~n
0
32 54
1 n n = 0 0 n
3 5 2 4
3 5
where
r n = n+1 + ~n n
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L49
Rn+2 4
82 < 4 +2 :
1 n n = 0 0 n
3 5 2 4
3 5
Rn+2 4
39 = 5 2
0 ~n = 0n 2 1 n
3 5 2 4 3 5 2
3 5
Rn
0 1 n + kn ~n 0 1
3 5 2 4
n + kn n
2
0 n + kn
2 n
2 +1
3 5
0 0
Thus,
2 kn = ; n = n )
n+1 =
"
"
~n 1
2 )
n2 ops
!k+1 2 to determine f k
k gn=1 k
Slide L410
This is O
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
MA Signals
MA: n
+ bme(t ; m)
Thus,
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L411
^(!) is guaranteed to be 0
2. Insert sample covariances
(! ) =
This is length
f^(k)g in: r
r(k)e;i!k
k=;m
Both methods are special cases of ARMA methods described below, with AR model order n .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L412
ARMA Signals
ARMA models can represent spectra with both peaks (AR part) and valleys (MA part).
where
j =0 p=0
aj ap r(k + p ; j )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L413
Two Methods:
^(!) is guaranteed to be 0
2. Estimate
m ;i!k k=;m k e
jA(!)j2
A e(t) = B(q) y(t) (q ) = y(t) + 1y(t ; 1) + 2y(t ; 2) + = AR(1) with j kj ! 0 as k ! 1 Step 1: Approximate, for some large K e(t) ' y(t) + 1y(t ; 1) + + K y(t ; K )
1a) Estimate the coefcients modelling techniques.
f kgK=1 by using AR k
+ ^K y(t ; K )
^2 =
N 1 j^(t)j2 e N ; K t=K +1
X
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L415
fe(t)g by ^(t) in the ARMA equation, e A(q)y(t) ' B (q)^(t) e and obtain estimates of fai bj g by applying least squares
Step 2: Replace techniques. Note that the ai and bj coefcients enter linearly in the above equation:
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L416
r(k) +
2 6 4
i=1
air(k ; i) = 0 k > m
3 7 5 "
r(m) r(m + 1)
. . .
: : : r(m ; n + 1) r(m ; n + 2)
... . . .
= m + 1 ::: m + M
a1 an
. . .
#
r(m + M ; 1) : : : r(m ; n + M )
;6 4
Replace
. 5 . . r(m + M )
r(m + 1) r(m + 2)
3 7
If M n, fast Levinson-type algorithms exist for obtaining ai . If M > n overdetermined squares solution for ai .
f^ g
f^ g
Note: For narrowband ARMA signals, the accuracy of ai is often better for M > n
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L417
MA: BT
ARMA: MYW
ARMA: 2-Stage LS
Use for Spectra with (narrow) peaks but no valley Broadband spectra possibly with valleys but no peaks Spectra with both peaks and (not too deep) valleys As above
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L418
Lecture 5
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L51
Line Spectra Many applications have signals with (near) sinusoidal components. Examples: communications radar, sonar geophysical seismology ARMA model is a poor approximation Better approximation by Discrete/Line Spectrum Models
2 6(2 1) 2
(!)
6
(2 2) 2
(2 2) 3
!
Slide L52
; !1
!2
!3
Line Spectral Signal Model Signal Model: Sinusoidal components of frequencies !k and powers 2 , superimposed in white noise of k 2. power
f g
f g
k>0
!k 2 ;
A3:
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Note that:
E E
Hence,
and
(! ) = 2
p=1
2 (! ; !p) + 2 p
Slide L54
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
f!k
k 'k gn=1 k
(Signal Model)
f!k 2gn=1 2 k k
Once
(PSD Model)
f ^2g can be obtained by a least squares method from k n 2ei!pk + residuals ^ ^ r(k) = p
p=1
OR: Both k and 'k can be derived by a least squares method from
f^ g
f^ g
X
y(t) =
with
k=
k=1 k ei'k .
^ ei!k t + residuals k
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L55
min' g f!
Let:
k k k t=1 |
y(t) ;
k=1 {z F (! ')
k ei(!k t+'k )
2
}
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L56
Then:
^ = (B B);1B Y !=^ !
and
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L57
NLS Properties
Excellent Accuracy:
1)
Then
var
(^k ) 10;5. !
Difcult Implementation: The NLS cost function F is multimodal; it is difcult to avoid convergence to local minima.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L58
For a single (complex) sinusoid, the maximum of the unwindowed periodogram is the NLS frequency estimate: Assume: Then:
n=1
X
B B=N
N t=1
BY=
y(t)e;i!t = Y (!)
(nite DTFT)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L59
Assume: Then:
n>1
^( )
largest
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L510
Let
B (q) = 1 +
4 bk q;k = A(q)A(q) k=1 A(q) = (1 ; ei!1 q;1) (1 ; ei!n q;1) A(q) = arbitrary
X
Then B
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L512
ARMA covariance:
r (k ) +
i=1
bir(k ; i) = 0 k > L
= L + 1 ::: L + M
3 7 7 7 5 2 6 6 6 4 3 7 7 7 5 }
r(L) r(L + 1)
This is a high-order (if L > n) and overdetermined (if M > L) system of YW equations.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L513
( )=n =U V
U = (M n) with U U = In V = (n L) with V V = In
(U V )b = ;
The Minimum-Norm solution is
b = ; y = ;V ;1U Important property: The additional (L ; n) spurious zeros of B (q ) are located strictly inside the unit circle, if the Minimum-Norm solution b is used.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L514
Let
^= ^ ^ ^ ^
Then !k n=1 are found from the n zeroes of B k are closest to the unit circle.
f^ g
When the SNR is low, this approach may give spurious frequency estimates when L > n; this is the price paid for increased accuracy when L > n.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L515
Lecture 6
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L61
Note: Dene
(A) = n
y(t) y(t ; 1)
(for m
3 7 7 7 5
n)
46 y(t) = 6 ~
6 4
y(t ; m + 1)
. .
= Ax(t) + ~(t) ~ e
where
Then
with
2
P = E fx(t)~ (t)g = ~ x
6 4
2 1
...
0
2 n
3 7 5
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L62
R = APA + 2I (m > n)
Let:
2 :::
m: eigenvalues of R
fs1 : : : sng: orthonormal eigenvectors associated with f 1 : : : ng fg1 : : : gm;ng: orthonormal eigenvectors associated with f n+1 : : : m g S = s1 : : : sn] (m n) G = g1 : : : gm;n] (m (m ; n))
Thus,
2
R = S G]
6 4
"
...
7 5
S G
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L63
Note:
RS = APA S + 2S = S
...
0
n
3 7 5
j j 6= 0
4 ;1) = AC S = A(PA S
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
MUSIC Method
Thus,
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L65
1 ^G a(!) ! 2 ; a (!)G ^
Root MUSIC Method:
Pisarenko Method
Pisarenko is a special case of MUSIC with m (the minimum possible value). If:
=n+1
m=n+1
Then:
n+1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L67
Min-Norm Method
Goals: Reduce computational burden, and reduce risk of false frequency estimates. Uses m n (as in MUSIC), but only one vector in G (as in Pisarenko).
R( )
Let
"
1 = the vector in R(G), with rst element equal ^ ^ to one, that has minimum Euclidean norm. g
#
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L68
Spectral Min-Norm
f!gn=1 = ^k
2 1 = a (!) 1 ^ g
" #
Root Min-Norm
f!gn=1 = ^k
aT (z;1) 1 ^ g
"
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L69
Let S
^= S g1 ;1 gm
" # " #
Then:
1 2 R(G) ) S 1 = 0 ^ ^ ^ ^ g g ) S ^= ; g
" #
^ = ;S(S S );1 g
ESPRIT Method
Let
Then A2
Also, let
3 7 5
Recall S
is uniquely
= (S1S1);1S1S2
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L611
where
f!kgn=1 = ; arg(^k ) ^ k
ESPRIT Advantages: computationally simple no extraneous frequency estimates (unlike in MUSIC or MinNorm) accurate frequency estimates
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L612
Computational Accuracy / Risk for False Burden Resolution Freq Estimates small medium-high medium very high very high very high medium high medium small low none high high medium medium high small medium very high none
Recommendation:
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Lecture 7
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L71
Basic Ideas
Two main PSD estimation approaches: 1. Parametric Approach: Parameterize nite-dimensional model.
(!) by a
2. Nonparametric Approach: Implicitly smooth ! !=; by assuming that ! is nearly constant over the bands
f ( )g
( )
!;
!+ ] N >1
=2 2 =1
!c
-!
Filtered Signal
y (t)
- with varying !
Power Calculation
^(!c )
6
y
(! )
;
!c
@Q Q -!
;
Z
6 ~ (! ) @ -!
(b)
Z
!c
jH ( )j2 ( )d = ' 21
!+ !;
c ( )d = (') (!)
(c)
( ) constant on 2 ! ; 2 ! + 2 ]
Note that assumptions (a) and (b), as well as (b) and (c), are conicting.
Slide L73
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
= N
where
(
k=0
hk y(N ; k)
1 ei!k k = 0 : : : N ; 1 ~ hk = N otherwise 0
1
(!) = ! ~
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
15 dB
20
25
30
35
40
1 0 1 ANGULAR FREQUENCY
Conclusion: The periodogram p ! is a lter bank PSD estimator with bandpass lter as given above, and: narrow lter passband, power calculation from only 1 sample of lter output.
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L75
Possible Improvements to the Filter Bank Approach 1. Split the available sample, and bandpass lter each subsample. more data points for the power calculation stage. This approach leads to Bartlett and Welch methods. 2. Use several bandpass lters on the whole sample. Each lter covers a small band centered on ! .
provides several samples for power calculation. This multiwindow approach is similar to the Daniell method.
Both approaches compromise bias for variance, and in fact are quite related to each other: splitting the data sample can be interpreted as a special form of windowing or ltering.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L76
Capon Method
yF (t) =
k=0
|
hk y(t ; k)
2 6 4 |
y(t)
H (! ) =
where a
(! ) = 1
hk e;i!k = h a(!)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L77
min(h Rh) h
Solution:
subject to h
a(!) = 1
h0 = R;1a=a R;1a
o
E jyF (t)j2 = h0Rh0 = 1=a (!)R;1a(!) which should be the power of y (t) in a passband centered on ! .
n
The Bandwidth
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L78
Capon Properties
Capon uses one bandpass lter only, but it splits the N -data point sample into (N m) subsequences of length m with maximum overlap.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L79
Consider
^BT (!) with Bartlett window: m m + 1 ; jkj ^BT (!) = r(k)e;i!k ^ k=;m m + 1 1 m m ^(t ; s)e;i!(t;s) = m+1 r t=0 s=0 ^ a (!)Ra(!) R = ^(i ; j )] ^ r = m+1
X X X
Then we have
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L710
^C (!) =
1 1 m 1= ^AR(!) m + 1 k=0 k
X
Consequences: Due to the average over k, C ! generally has less statistical variability than the AR PSD estimator. Due to the low-order AR terms in the average, C ! generally has worse resolution and bias properties than the AR method.
^( )
^( )
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L711
Lecture 8
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L81
vSource 2
B B B B N B cccc ccc c c c c c
@ ,,, @, ,,@ , ,R , , ,@ ,
v Source n
@; @;
Sensor 1
@; @; @; @;
Sensor 2 Sensor
Problem: Detect and locate n radiating sources by using an array of m passive sensors. Emitted energy: Acoustic, electromagnetic, mechanical Receiving sensors: Hydrophones, antennas, seismometers Applications: Radar, sonar, communications, seismology, underwater surveillance Basic Approach: Determine energy distribution over space (thus the name spatial spectral analysis)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L82
Simplifying Assumptions
Far-eld sources in the same plane as the array of sensors Non-dispersive wave propagation
Hence: The waves are planar and the only location parameter is direction of arrival (DOA) (or angle of arrival, AOA). The number of sources n is known. (We do not treat the detection problem) The sensors are linear dynamic elements with known transfer characteristics and known locations (That is, the array is calibrated.)
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L83
x(t) =
k=
the signal waveform as measured at a reference point (e.g., at the rst sensor) the delay between the reference point and the kth sensor the impulse response (weighting function) of sensor k noise at the kth sensor (e.g., thermal noise in sensor electronics; background noise, etc.)
hk (t) = ek (t) =
Note:
t 2 R (continuous-time signals). Then the output of sensor k is yk (t) = hk (t) x(t ; k) + ek (t) ( = convolution operator).
Basic Problem: Estimate the time delays known but x t unknown.
()
f kg with hk(t)
Narrowband Assumption
Assume: The emitted signals are narrowband with known carrier frequency !c . Then:
x(t) = (t) cos !ct + '(t)] where (t) '(t) vary slowly enough so that (t ; k) ' (t) '(t ; k ) ' '(t) Time delay is now ' to a phase shift !c k : x(t ; k ) ' (t) cos !ct + '(t) ; !c k ] hk (t) x(t ; k ) ' jHk (!c)j (t)cos !ct + '(t) ; !c k + argfHk (!c)g]
where Hk function
yk (t) = jHk (!c)j (t) cos !ct + '(t) ; !c k + arg Hk (!c)] + ek(t)
Slide L85
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
z(t) = (t) cos !ct + (t)] = = (t) ei !ct+ (t)] + e;i !ct+ (t)] 2 Demodulate z (t) (translate to baseband): 2z(t)e;!ct = (t)f ei (t) + e;i 2!ct+ (t)] g
n o | {z } | {z }
Lowpass lter
lowpass
highpass
yk (t)=2 = yk(t)e;i!ct ~ = yk(t) cos(!ct) ; iyk(t) sin(!ct) we get the complex representation: (for t 2 Z ) yk (t) = (t) ei'(t) jHk (!c)j ei arg H (! )] e;i! + ek (t)
|
s(t)
{z
} |
Hk (!c)
{z
c k
yk (t) = s(t)Hk (!c) e;i!c k + ek (t) where s(t) is the complex envelope of x(t).
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L86
or
Let
= m =
a( ) =
2 6 4
H1(!c) e;i!c
. .
3 7 5
3 7 5
Then
()
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L87
A/D CONVERSION
Internal Noise External Noise XXXXX ? XX ll z l - Cabling and , Filtering : ,, Incoming Transducer Signal x(t ; k )
Re yk (t)] Lowpass Re yk (t)] - !! ~ Filter A/D cos(!ct) 6 y k (t) Oscillator -sin(!ct) ? ~ - Im yk (t)] Lowpass Im yk (t)] - !! Filter A/D
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L88
fsk(t)gn=1 k
Linear sensors
) y(t) = a( 1)s1(t) +
+ a( n)sn(t) + e(t)
Let
Source h
JJ J J
J J
JJ J ^ J
JJ
JJ+ JJ
JJ
2
] J d sin J ^ JJ J JJ 3 J J
v
4
v ]? v
d -
ppp
vSensor
ULA Geometry Sensor #1 = time delay reference Time Delay for sensor k:
d sin k = (k ; 1) c
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L810
Spatial Frequency
Let:
sin 4 !s = !c d sin = 2 dc=f = 2 d sin c c = c=fc = signal wavelength a( ) = 1 e;i!s : : : e;i(m;1)!s ]T By direct analogy with the vector a(! ) made from
uniform samples of a sinusoidal time series,
=2
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Lecture 9
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L91
Spatial Filtering
Spatial ltering useful for DOA discrimination (similar to frequency discrimination of time-series ltering) Nonparametric DOA estimation
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L92
m;1 X
a(!) = 1 e;i! : : : e;i(m;1)! ]T We can select h to enhance or attenuate signals with different frequencies ! .
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L93
fyk(t)gm=1 = k
yF (t) =
k=1
hk yk (t) = h y(t)
Narrowband Wavefront: The array's (noise-free) response to a narrowband ( sinusoidal) wavefront with complex envelope s t is:
z
1
s q; s qq
h
-
?
1
m;1
q ;1
? -
1)
(Temporal sampling)
Z ~ aa 1reference !!
0 1 B aa 2- B ;i! Be 2 B !! B B B B .. B . B B @ ;i! m | e {z a( ) aa m!
point
( )
( )
1 C C C C C Cs(t) C C C C C A }
? @ ? @ @
h
-
@ R @ -
h a( )]s(t) -
hm;
?
(Spatial sampling)
Example: The response magnitude h a of a spatial lter (or beamformer) for a 10-element ULA. Here, h a 0 , where 0
j ( )j
= ( )
= 25
30
30
Th et a (d eg )
60
60
90 0 2 4 6 Magnitude 8 10
90
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L96
Spatial Filters can be used To pass the signal of interest only, hence ltering out interferences located outside the lter's beam (but possibly having the same temporal characteristics as the signal). To locate an emitter in the eld of view, by sweeping the lter through the DOA range of interest (goniometer).
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L97
6=
Sweep the lter through the DOA range of interest, and evaluate the powers of the ltered signals:
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Beamforming Method
Then:
Hence: In direct analogy with the temporally white assumption for lter bank methods, y t can be considered as impinging on the array from all DOAs.
()
Filter Design:
min (h h) h
Solution:
subject to
h a( ) = 1
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L99
Implementation of Beamforming
f^kg =
( )^ ( )
This is the direct spatial analog of the Blackman-Tukey periodogram. Resolution Threshold:
inf j k ; pj > =
= 1, but
Slide L910
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Implementation:
f^kg =
^ 1=a ( )R;1a( ):
Performance: Slightly superior to Beamforming. Both Beamforming and Capon are nonparametric approaches. They do not make assumptions on the covariance properties of the data (and hence do not depend on them).
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L911
E fe(t)e (t)g = 2I
The signal covariance matrix
P = E fs(t)s (t)g
is nonsingular.
Then:
f ( s)
{z
Then
1 N k I ; A(A A);1A ]y(t)k2 f ( ^) = N s t=1 1 N y (t) I ; A(A A);1A ]y(t) = N t=1 ^ = trf I ; A(A A);1A ]Rg ^ Thus, f ^k g = arg max trf A(A A);1A ]Rg
X
f kg
For N , this is precisely the form of the NLS method of frequency estimation.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L913
=1
Properties of NLS: Performance: high Computational complexity: high Main drawback: need for multidimensional search.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L914
Yule-Walker Method
Assume: Then:
E fe(t)~ (t)g = 0 e
4 E fy(t)~ (t)g = AP A ~ ;= y
(M L)
Also assume:
~ (A) = rank(A) = n
" # " #
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L915
f^kg =
where
2n
f ( )g
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L916
Both MUSIC and Min-Norm methods for frequency estimation apply with only minor modications to the DOA estimation problem. Spectral forms of MUSIC and Min-Norm can be used for arbitrary arrays Root forms can be used only with ULAs MUSIC and Min-Norm break down if the source signals are coherent; that is, if rank
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L917
ESPRIT Method Assumption: The array is made from two identical subarrays separated by a known displacement vector. Let
m = # sensors in each subarray A1 = Im 0]A (transfer matrix of subarray 1) A2 = 0 Im]A (transfer matrix of subarray 2)
Then
A2 = A1D, where e;i!c ( 1) 0 ... D= 0 e;i!c ( n) ( ) = the time delay from subarray 1 to
2 6 4
3 7 5
subarray 2 for a signal with DOA = : where d is the subarray separation and is measured from the perpendicular to the subarray displacement vector.
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997 Slide L918
( ) = d sin( )=c
known
subarray 1
displac ement v
ector
subarray 2
;1
;1 A1 = Im;1 0]A
= ;1 A2 = 0 Im;1]A
Lecture notes to accompany Introduction to Spectral Analysis by P. Stoica and R. Moses, Prentice Hall, 1997
Slide L919