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ESTIMATION
13 - 1
Outline
Introduction
Nonparametric Methods
Parametric Methods
Conclusion
13 - 2
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
13 - 3
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
Px ( f ) X ( f ) X * ( f ) F x( ) * x* ( )
autocorrelation
13 - 4
Autocorrelation
Autocorrelation of x(t):
rx ( ) x( ) * x * ( )
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
rn ( ) E n(t ) n (t ) n(t ) n* (t ) dt
*
rn ( ) E n(t ) n* (t ) n(t ) n* (t ) dt n( ) * n* ( )
Non Parametric
Ex: Periodogram
and Welch method
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
13 - 7
Periodogram
Power spectrum for wide-sense stationary
random process:
P e r (k )e
jk
*
of data:
rx (k ) lim
x(n k ) x (n)
N
2 N 1 n 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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lim E Pper (e j ) Px (e j )
Unbiased:
Variance:
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
13 - 9
Modified Periodogram
Window data with general window
Trade off main lobe width with side lobe attenuation
Loss in frequency resolution
Resolution
E Pm od (e j )
1
j
j 2
Px (e ) * W (e )
2 N Ew
Ew is normalized
energy in window
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
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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K 1 L 1
1
jn
w
(
n
)
x
(
n
iD
)
e
K L Ew i 0 n 0
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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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
13 - 13