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INTRODUCTION TO SPECTRAL

ESTIMATION

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Outline
Introduction

Nonparametric Methods
Parametric Methods

Conclusion

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Introduction
Estimate spectrum from finite number of
noisy measurements
From spectrum estimate, extract
Disturbance parameters (e.g. noise variance)
Signal parameters (e.g. direction of arrival)
Signal waveforms (e.g. sum of sinusoids)

Applications
Beam forming and direction of arrival estimation
Channel impulse response estimation
Speech compression
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Power Spectrum
Deterministic signal x(t)
Assume Fourier transform X(f) exists
Power spectrum is square of absolute value of
magnitude response (phase is ignored)
Px ( f ) X ( f ) X ( f ) X * ( f )
2

Multiplication in Fourier domain is convolution in


time domain
Conjugation in Fourier domain is reversal and
conjugation in time

Px ( f ) X ( f ) X * ( f ) F x( ) * x* ( )
autocorrelation

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Autocorrelation
Autocorrelation of x(t):

rx ( ) x( ) * x * ( )

Slide x() against x*() instead of flip-and-slide


Maximum value at rx(0) if rx(0) is finite
Even symmetric, i.e. rx() = rx(-)
rx()

x(t)
1
0

Ts

Discrete-time:

-Ts

Ts
Ts

rx (k ) x(k ) * x* (k )

Alternate definition:

N
1

*
rx (k ) lim
x
(
n

k
)
x
(
n
)

N 2 N 1
n N

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Power Spectrum
Estimate spectrum if signal known at all time

Compute autocorrelation
Px ( f ) F rx ( )
Compute Fourier transform of autocorrelation

Autocorrelation of random signal n(t)

rn ( ) E n(t ) n (t ) n(t ) n* (t ) dt
*

rn ( ) E n(t ) n* (t ) n(t ) n* (t ) dt n( ) * n* ( )

For zero-mean Gaussian random process n(t) with


variance s2
rn ( ) E n(t ) n* (t ) s 2 ( ) Pn ( f ) s 2
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Spectral Estimation Techniques


Spectral Estimation
Parametric

Non Parametric

Ex: Periodogram
and Welch method

AR, ARMA based


Model fitting based

Ex: Least Squares

Subspace Based
(high-resolution)

Ex: MUSIC
and ESPRIT

AR:
Autoregressive (all-pole IIR)
ARMA: Autoregressive Moving Average (IIR)
MUSIC: MUltiple SIgnal Classification
ESPRIT: Estimation of Signal Parameters using Rotational Invariance Techniques
Slide by Kapil Gulati, UT Austin, based on
slide by Alex Gershman, McMaster University

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Periodogram
Power spectrum for wide-sense stationary
random process:
P e r (k )e

jk

For ergodic process with unlimited amount


N
1

*
of data:
rx (k ) lim
x(n k ) x (n)
N

2 N 1 n N

Truncate data using rectangular window


xN (n) wR (n) x(n)

1
j
j 2

Pper (e )
X N (e )
N

N number of samples
wR(n) rectangular window
N = 16384; % number of samples
gaussianNoise = randn(N,1);
plot( abs(fft(gaussianNoise)) .^ 2 );

approximate
noise floor
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Evaluating Spectrum Estimators


As number of samples grows, estimator
should approach true spectrum

lim E Pper (e j ) Px (e j )

Unbiased:

Variance:

lim Var Pper (e j ) 0

Periodogram (unbiased)
Bias
Variance
Resolution

Barlett window is
centered at origin and
has length of 2N+1
(endpoints are zero)

1
j

E Pper (e )
Px (e j ) *WBartlett (e j )
2
Var Pper (e j ) Px2 (e j )
2
0.89
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Modified Periodogram
Window data with general window
Trade off main lobe width with side lobe attenuation
Loss in frequency resolution

Modified periodogram (unbiased)


Bias
Variance

Resolution

E Pm od (e j )

1
j
j 2
Px (e ) * W (e )
2 N Ew

Var Pmod (e j ) Px2 (e j )


2
Cbw

Ew is normalized
energy in window

Cbw is 0.89 rectangular, 1.28 Bartlett, 1.30 Hamming


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Averaging Periodograms
Divide sequence into nonoverlapping blocks
K blocks, each of length L, so that N = K L
2
K 1 L 1
jn
Average K periodograms P (e j ) 1
x
(
n

iL
)
e

B
N
i 0 n 0
of L samples each
Trade off consistency for frequency resolution

Periodogram averaging (consistent)


Bias
Variance
Resolution

1
j

E PB (e )
Px (e j ) *WB (e j )
2
L 2 j
j

Var PB (e ) Px (e )
N

0.89K

2
N

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Averaging Modified Periodograms


Divide sequence into overlapping blocks
K blocks of length L, offset D: N = L + D (K - 1)
Average K modified periodograms of L samples each
PW (e j )

K 1 L 1

1
jn
w
(
n
)
x
(
n

iD
)
e

K L Ew i 0 n 0

Trade off variance reduction for decreased resolution

Modified periodogram averaging (consistent)


Bias
Variance
Resolution

1
j
j 2
Px (e ) * W (e )
2 L Ew
9 L 2 j
Var PW (e j )
Px (e )
Assuming 50%
16 N
overlap and
E PW (e j )

1.28

2
L

Bartlett 13
window
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Minimum Variance Estimation


For each frequency i computed in spectrum
Apply pth-order narrowband bandpass filter to signal
No distortion at center frequency i (gain is one)
Reject maximum amount of out-of-band power

Scale result by normalized filter bandwidth / 2

Estimator

R x E xxH

p 1
PMV (e j ) H 1
e Rx e

rx (0)
rx* (1)
rx* (2)

*
r
(
1
)
r
(
0
)
r
x
x (1)
x
rx (2)
rx (1)
rx (0)


r ( p) r ( p 1) r ( p 2)
x
x
x

rx* ( p)

rx* ( p 1)
rx* ( p 2)

rx (0)

1
e j

e

j p
e
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Minimum Variance Estimation


Data dependent processing
FIR filter for each frequency depends on Rx
Rx may be replaced with estimate if not known

Resolution dependent on FIR filter order p


and not number of samples: 2
p 1
Filter order p
Larger means better frequency resolution
Larger means more complexity as Rx is (p+1) (p+1)
Upper bound is number of samples: p N
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