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Adsp Unit 3 5
Adsp Unit 3 5
T h e b a s ic p r o b le m th a t w e c o n s id e r in th is c h a p t e r is th e e s t im a t io n o f th e p o w e r
d e n s ity s p e c tr u m o f a s ig n a l fr o m th e o b s e r v a t io n o f th e s ig n a l o v e r a fin ite tim e
in te r v a l. A s w e w ill s e e , th e fin ite r e c o r d le n g th o f t h e d a ta s e q u e n c e is a m a jo r
896
Sec. 12.1 Estimation of Spectra from Finite-Duration Observations of Signals 897
L e t us c o n s id e r th e c o m p u ta tio n o f th e s p e c tr u m o f a d e te r m in is tic s ig n a l f r o m
a f in ite s e q u e n c e o f d a ta . T h e s e q u e n c e jc (n ) is u s u a lly t h e re s u lt o f s a m p lin g a
c o n tin u o u s - tim e s ig n a l x a (t) a t s o m e u n ifo rm s a m p lin g r a t e F s . O u r o b je c t i v e is
to o b t a in a n e s tim a te o f t h e tr u e s p e c tr u m fr o m a f in ite - d u r a tio n s e q u e n c e x ( n ) .
R e c a l l t h a t if x ( t ) is a fin ite -e n e r g y s ig n a l, t h a t is,
CC
/ \xa (t)\2d t < oo
-00
th e n its F o u r i e r t r a n s f o r m e x is ts a n d is g iv e n a s
X a(F ) = f Xo( t ) e - j2 * F ,d t
J -OO
F r o m P a r s e v a l’s t h e o r e m w e h a v e
oo roc
/ •00
\xa ( t ) \2dt = /
J —oc
\ X a ( F ) l 2d F ( 1 2 .1 .1 )
T h e q u a n t it y |Xa (F )| 2 r e p r e s e n ts th e d is tr ib u tio n o f s ig n a l e n e r g y a s a f u n c
tio n o f fr e q u e n c y , a n d h e n c e it is c a lle d th e e n e r g y d e n s ity s p e c tr u m o f th e s ig n a l,
t h a t is,
SXA F ) = \ X e ( F ) \ 2 ( 1 2 .1 .2 )
a s d e s c r ib e d in C h a p te r 4 . T h u s t h e to t a l e n e r g y in t h e s ig n a l is s im p ly th e in te g r a l
o f SXX{ F ) o v e r a ll F [ i.e ., th e to t a l a r e a u n d e r SJtJt( F ) ] .
I t is a ls o in te r e s tin g t o n o te t h a t S XX( F ) c a n b e v ie w e d a s t h e F o u r i e r t r a n s
fo rm o f a n o t h e r fu n c t io n , R IX { t ) , c a lle d th e a u to c o rr e la tio n fu n c t io n o f th e
898 Power Spectrum Estimation Chap. 12
RxA*)= f x * { t) x a { t + x ) d t ( 1 2 .1 .3 )
J —OC
I n d e e d , it e a s ily fo llo w s th a t
R x x ( r ) e - J2jrFrd x = SXA F ) = l * „ ( F ) | 2
J —C/ ( 1 2 .1 .4 )
X { a i) = 22 x (n )e ~ J<°"
ns-cc
o r, e q u iv a le n tly ,
X (f) = 22 X ( n ) e - j2xfn ( 1 2 .1 .5 )
A! = — CC
R e c a l l th a t X { f ) c a n b e e x p r e s s e d in te r m s o f th e v o lta g e s p e c tr u m o f th e a n a lo g
s ig n a l jco ( 0 as
* ( £ ) = £ X “( F ~ k F ^ ( l 2 1 '6)
w h e r e / = F / F s is th e n o r m a liz e d f r e q u e n c y v a r ia b le .
I n th e a b s e n c e o f a lia s in g , w ith in th e f u n d a m e n ta l ra n g e l^ l < F J 2 , w e h a v e
X a ( F ) , |Fj < F J 2 ( 1 2 .1 .7 )
W e c a n p r o c e e d f u r t h e r b y n o tin g t h a t th e a u t o c o r r e la t io n o f t h e s a m p le d
s ig n a l, w h ich is d e fin e d as
OO
rxx ( k ) = 2 2 * » * ( « + *) (1 2 - 1 .9 )
#*= —00
h a s th e F o u r i e r tr a n s fo r m ( W i e n e r - K h i n t c h i n e t h e o r e m )
X i f ) = * ( / ) * W{ f )
(12.1.13)
- 1/2
X ( k ) = 2 2 , x ( n ) e - J2nkn/N (12.1.15)
ji=Q
Then
and hence
—j 2 n k n / N
(12.1.17)
yxx(r) = E [ x * ( t ) x ( t + t )] (12.1.18)
R x A r ) = r ^ r f ° x *{ t ) x ( t + x) dt (12.1.20)
J - T0
w h ere 27o is th e o b se rv a tio n in te rv a l. I f th e sta tio n a ry r a n d o m p ro cess is ergodic
in th e first a n d se co n d m o m e n ts (m e a n a n d a u to c o rre la tio n fu n c tio n ), th e n
X ut(r) = lim R x x i r )
To-*oo
7b (12.1.21)
= lim — I
To-+oc 27b /_ jc*(r)jc (r + r )dt
To
s p e c tru m , th a t is,
•7b
Pxx(F) = [ ° R xx{ T ) e - j:brFrd r
J- T7b
q
i T° rr rr7b
frTo * . 1
= t t / / x ^ x ^ + T^d t
e-pxFx dT (12.1.22)
-^ o J-T q U - T q
1 I f T°
= r - / x ( t ) e - * ” F' d t
-iio \J-To
T h e a c tu a l p o w e r d e n sity sp e c tru m is th e e x p e c te d v a lu e o f PXX( F) in th e lim it as
7b -► oo,
r„ (F ) = lim £ [ / > „ ( £ ) ]
Til- • oo
(12.1.23)
=
To-^oc a i [ / :;
lim £ j —J— I / x( t ) e j27rF’dt
AA
= T,-----r 7
A/ — lm I
Jl x ‘(n)x(n+m) m = -1 , - 2 ,..., 1 - N
= Yxx(m)
w h e re yxx( m) is th e tr u e (statistical) a u to c o rre la tio n s e q u e n c e o f x ( n) . H e n c e
rxx(m) is a n u n b ia s e d e s tim a te o f th e a u to c o rre la tio n fu n c tio n yxx( m). T h e v a ria n c e
904 Power Spectrum Estimation Chap. 12
o f th e e stim a te rxx(m) is a p p ro x im a te ly
N ^
v a r [r i j ( m )] ^ _ |m |]2 22 [\Yx*(n)\2 + y * A n - m ) y xx(n + m) ] (12.1.27)
E[rIX(m)] - — 22 E[ x* ( n) x ( n + m)]
n=0 (12.1.30)
W -_M yjrjr(m)
= _
, , = ^ _ _
| m |j\ yx A m )
—J2nfm
E [ p xx( f ) ] = 22 f 1 “ “J r ) Y xim )e (12.1.35)
m = - ( N - 1) ^ '
N -1
lim E 2 2 rx x ( m ) e ' j2nfm = £ Yxx{m)e-J2* fm = TxA f )
N-t-cc
(12.1.38)
lim v a r [ P „ ( / ) ] = ^ l x ( f ) (12.1.39)
N - + oo
* = 0 ,1 ,..., JV -1 (12.1.40)
a t th e fre q u e n c ie s /* = k / N .
In p ra c tic e , h o w ev er, such a sp a rs e sa m p lin g o f th e sp e c tru m d o e s n o t p ro v id e
a v ery g o o d re p re s e n ta tio n o r a g o o d p ic tu re o f th e c o n tin u o u s sp e c tru m estim ate
* > „ ( /). T h is is easily re m e d ie d b y e v a lu a tin g Pxx( f ) a t a d d itio n a l freq u e n cies.
E q u iv a le n tly , w e can effectiv ely in c re a se th e le n g th o f th e se q u e n c e by m e a n s o f
z e ro p a d d in g a n d th e n e v a lu a te Pxx{ f ) at a m o re d en se se t o f freq u e n cies. T h u s
if w e in crease th e d a ta se q u e n c e le n g th to L p o in ts by m e a n s o f z e ro p a d d in g an d
e v a lu a te th e L -p o in t D F T , we h av e
(12.1.41)
_S___ B___ S_
t L I .. T
32
^mTTTTnK/f I^WrffTllnaa
128
x,(n) = x( n + i M ) i = 0, I, . . . . K — 1 (12.2.1)
n = 0 , 1 .........M - l
F o r ea c h se g m en t, w e c o m p u te th e p e rio d o g ra m
M-l
p i 'v = _L E * . '< n ) e - J2nfn\ i= 0 ,l,...,J f - l (12.2.2)
" M
(1 2 2 4 )
= £ [* £ (/)]
F ro m (12.1.35) an d (12.1.37) w e h ave th e e x p e c te d v a lu e fo r th e single p e rio d o g ra m
as
Af-1
= E f1- y ^ e~s2nfm
(12.2.5)
M J _-i]/2
r- \ s in ;r ( / - a) J
w h ere
1 / s in jr/M V . _ .
B(f) = t ; — :— ( 12. 2. 6)
M V s ni f f / /
is th e fre q u e n c y c h aracteristics o f th e B a rtle tt w indow
m,
] ------ — , |m| < M —1
w B(n) = M ’ 11 ~ " (12.2.7)
0, o th e rw ise
F ro m (12.2.5) w e o b se rv e th a t th e tru e sp e c tru m is no w c o n v o lv e d w ith th e
fre q u e n c y c h a ra c te ristic W a i f ) o f th e B a rtle tt w indow . T h e e ffe c t o f re d u c in g th e
le n g th o f th e d a ta fro m N p o in ts to M = N / K re su lts in a w in d o w w hose sp e c tra l
Sec. 12.2 Nonparametric Methods for Power Spectrum Estimation 911
var[ / £ ( / ) ] =
K2 I=U
( 12.2 .8 )
= ^ v a r [/> « (/)]
If w e m a k e u se o f (12.1.38) in (12.2.8), w e o b ta in
/ sin I n f M ' V
v ar [ / > * ( / ) ] = j T l x { f ) 1+ (12.2.9)
\M s in 2 ;r/ J
i = 0 . 1 .........L - l
w h e re i D is th e sta rtin g p o in t fo r th e /th se q u e n c e . O b s e rv e th a t if D = M ,
th e se g m en ts d o n o t o v e rla p an d th e n u m b e r L o f d a ta se g m e n ts is id e n tic a l to
th e n u m b e r K in th e B a rtle tt m e th o d . H o w e v e r, if D = M /2 , th e r e is 50%
o v e rla p b e tw e e n su ccessive d a ta se g m e n ts a n d L = 2 K se g m e n ts a re o b ta in e d .
A lte rn a tiv e ly , w e can fo rm K d a ta se g m en ts ea c h o f le n g th 2 M .
T h e se c o n d m o d ifica tio n m a d e by W elch to th e B a rtle tt m e th o d is to w indow
th e d a ta se g m e n ts p rio r to c o m p u tin g th e p e rio d o g ra m . T h e re su lt is a “m o d ifie d ”
p e rio d o g ra m
1
* * £ (/) = ( 12.2. 11)
~MU n=0
w h e re U is a n o rm a liz a tio n fa c to r f o r th e p o w e r in th e w in d o w fu n c tio n a n d is
se le c te d as
1 M-l
u /(n ) ( 12. 2 . 12)
^ . =o (12.2.14)
= * « ( /)]
B u t th e e x p e c te d v alu e o f th e m od ified p e rio d o g ra m is
i M -l M-\
Since
r ia
Vjcx(n) = j r xx(a)el27!anda (12.2.16)
J - 1/2
s u b s titu tio n fo r y ^ n ) fro m (12.2.16) in to (12.2.15) yields
M - 1 M -l
*«?</>]=
• 1/2
da
m j- 1/2l r “ w E E
n = 0 m =0
■ 1 /2
(12.2.17)
f
= / r„ (a )W (/-a )rfa
•'-1/2
w h e re , by d efin itio n ,
-jZnfn
E u>(n)e (12.2.18)
3 # 17
n=0
T h e n o rm a liz a tio n fa c to r U e n s u re s th a t
,
1/2
/ W (/W / = 1 (12.2.19)
J —1/2
v a r |P * ( / ) J = i v a r [ P “ ' ( / ) l
, (12.2.21)
* zr“(/)
Sec. 12.2 Nonparametric Methods for Power Spectrum Estimation 913
v a r [ / > £ ( / ) ] * ^ r * T( / ) (12.2.22)
E r , A m ) w { m ) e - J2*fm (12.2.23)
m=—(M—1)
w h e re th e w in d o w fu n c tio n w( n) h as length 2 M — 1 a n d is z e ro fo r \m\ > M .
W ith th is d e fin itio n fo r w( n) , th e lim its o n th e sum in (12.2.23) can b e e x te n d e d to
( —oo, oo). H e n c e th e fre q u e n c y -d o m a in e q u iv a le n t ex p re ssio n fo r (12.2.23) is th e
c o n v o lu tio n in teg ral
yl/2
* * //(/)= / P*A<x)W{f-a)da (12.2.24)
J- 1/2
w h e re Pxx( f ) is th e p e rio d o g ra m . It is clear from (12.2.24) th a t th e effe ct o f w in
d o w in g th e a u to c o r re la tio n is to sm o o th th e p e rio d o g ra m e s tim a te , th u s d e creasin g
th e v a rian ce in th e e s tim a te a t th e e x p en se o f re d u c in g th e re so lu tio n .
T h e w in d o w s e q u e n c e w( n) sh o u ld be sy m m e tric (e v e n ) a b o u t m = 0 to
e n s u re th a t th e e stim a te o f th e p o w e r sp e c tru m is re a l. F u rth e rm o r e , it is d e sirab le
to se lect th e w in d o w sp e c tru m to b e n o n n eg ativ e, th a t is,
wB(m) —
0, o th e rw ise
C learly , w e sh o u ld select th e w in d o w le n g th fo r w( n) such th a t M << N , th a t
is, w( n) sh o u ld b e n a rro w e r th a n w B(m) to p ro v id e a d d itio n a l sm o o th in g o f the
p e rio d o g ra m . U n d e r th is c o n d itio n , (12.2.28) b e c o m e s
, 1/2
E lP f/if)}* VxA 0 ) W { f - d ) d d (12.2.31)
J - 1/2
since
/
, 1/2
WB(a - d ) W { f - a ) d a = /
,1/2
W B( a ) W ( f - 9 - a)doc
J - 1/2 J - 1/2 (12.2.32)
^ w (f-e)
w h e re th e m e a n can b e a p p ro x im a te d as in (12.2.31). T h e se c o n d m o m e n t in
(11.2.33) is
rl/2 fl/2
E{[PxBxT ( f ) ] 2) = / / E [ P xx( a ) P xx( . e ) ] W( f -6)dade (12.2.34)
J - 1/2 J-\f2
O n th e a s su m p tio n th a t th e ra n d o m p ro c e ss is G a u ssia n (see P ro b le m 12.5), w e
find th a t
sin7r(0 + a ) N sin7r(0 — a ) N
E [ P xA a ) P xA&)] = r „ (a )r „ (0) 1 +
_Ns i n7 r ( 8 + a)_ N s i n n ( 6 — a) _
(12.2.35)
S u b stitu tio n o f (12.2.35) in to (12.2.34) yields
-1/2 -.2
E { [ P ? / ( f ) ] 2} = r xA 0 ) W ( f - e ) d e
- 1/2
,1 [2 , 1/2
+ / / r xA<*)rxA e ) W ( f - a ) W ( f - d )
J - 1/2 J -l/2
-a)N
r
y _ i /2
- n {[L N s m n ( 8 + a;)J
+ r
[ _ ^ sin 7 r(0 ~—a j
de
(12.2.37)
% r xA - a ) W ( f + c c ) + r xA<x)W( f - a)
N
W ith th is a p p ro x im a tio n , th e v a ria n c e o f PXJ i f ) b ec o m e s
1 Cxn
ar[ /» " ( / ) ] » - / r „ ( a ) W ( / - a ) [ r „ ( - a ) W ( / + a) + r„ (o )W (/-o ()]rfa
" J - 1/2
1/2 -
i r lfl
(12.2.38)
J i L 1/2 rZ^
-
w^ f ~ a)da
w h e re in th e last s te p w e m a d e th e a p p ro x im a tio n
• 1/2
r z, ( a ) r „ ( - c r ) V ( / - a ) W ( f + a ) d a » 0 (12.2.39)
■1/2
916 Power Spectrum Estimation Chap. 12
v a r[/> //(/)] * r2
xx(f) f '* W2(0)d0j
1/2
M-l (12.2.40)
H A f) - £ w 2( m )
(Af—1)
iE[P?Af)}}2
Q a = (12.2.41)
t>ar [ P £ ( f ) ]
w h e re A = B , W , o r B T fo r th e th re e p o w e r s p e c tru m estim ates. T h e recip ro c al o f
th is q u a n tity , called th e variability, can also be u se d as a m e a s u re o f p e rfo rm a n c e .
F o r re fe re n c e , th e p e rio d o g ra m has a m e a n a n d v arian ce
i-l/2
E [ P * i ( f ) ] -+ r „ (/) / w B( d ) d e = u>,(0) r „ ( / ) = r „ ( / )
J - 1/2 (12.2.45)
var[/>„(/)] -► r l x( f )
H e n c e , as in d ic a te d p rev io u sly , th e p e rio d o g ra m is an asy m p to tically u n b ia se d
e stim a te o f th e p o w e r sp e c tru m , b u t it is n o t c o n siste n t becau se its v arian ce d o es
n o t a p p ro a c h z e ro as N in c re a se s to w a rd infinity.
A sy m p to tically , th e p e rio d o g ra m is c h a ra c te riz e d by th e q u a lity fa c to r
r\ 2 (f )}
_ r xx^J 1
Qp = z.1-, = 1 (12.2.46)
rlA f)
T h e fact th a t Qp is fixed a n d in d e p e n d e n t o f th e d a ta le n g th N is a n o th e r in d ic a tio n
o f th e p o o r q u ality o f th is e stim a te .
Sec. 12.2 Nonparametric Methods for Power Spectrum Estimation 917
/ s in 2 jr /A f V
v a r[/£ (/)] = - r 1 ( f ) (12.2.48)
^ \ M sin 2 n f )
an d
1 / sin n f M \ 2
W B( f ) = — . J . (12.2.49)
M \ s in ^ / /
A s N —y oo a n d M —y oo, w hile K = N / M rem ain s fixed, w e find th a t
r 1/2
£ [ * * « < /) ] r „ ( /) / w ,(/)r f/ = r xx( f ) w B(0) = r „ (/)
7 - -1/2
1 /2
(12.2.50)
v a r [P /x( / ) ] rL (/)
W e o b se rv e th a t th e B a rtle tt p o w e r sp e c tru m e s tim a te is asy m p to tically u n b i
ased a n d if K is allo w ed to in crease w ith an in crease in N , th e e s tim a te is also c o n
sisten t. H e n c e , asy m p to tically , th is e stim a te is c h a ra c te riz e d b y th e q u a lity fa c to r
N
Qb = K = — (12.2.51)
M
T h e fre q u e n c y re so lu tio n o f th e B a rtle tt e s tim a te , m e a s u re d by tak in g th e
3-dB w id th o f th e m ain lo b e o f th e re c ta n g u la r w indow , is
0.9
A/ = — (12.2.52)
J M
H e n c e , M = 0 .9 /A / a n d th e q u ality fa c to r b eco m es
N
Qb = = l.IN A f (12.2.53)
0 .9 /A /
w h ere
2 2 w ( n ) e - j2*f * (12.2.55)
and
fo r no o v e rla p
v a r [ j£ ( /)] = (12.2.56)
9 , fo r 50% o v e rla p a n d
— r 2 (f),
8L xx tria n g u la r w indow
918 Power Spectrum Estimation Chap. 12
As N oo an d M - * oo, th e m e a n co n v e rg e s to
N
L = —, fo r n o o v e rla p
Qw = S L = 16N fo r 5 0 % o v e rla p a n d (12.2.58)
9 — 9M ' tria n g u la r w indow
O n th e o th e r h a n d , th e sp e ctral w idth o f th e tr ia n g u la r w indow a t th e 3-dB p o in ts is
A/ = — (12.2.59)
M
C o n se q u e n tly , th e q u ality fa c to r e x p re ss e d in te rm s o f A f a n d N is
0.78N A /, fo r n o o v e rla p
- r
1 >7—1
v a r[P //(/)] * r;x(f) w (m)
N
L m=-(W -1)
w h e re u>(m) is th e w in d ow se q u e n c e u se d to ta p e r th e e s tim a te d a u to c o rre la tio n
se q u e n c e . F o r th e re c ta n g u la r an d B a rtle tt (tria n g u la r) w in d o w s w e h av e
1 r * '1 2/ s (2 M/N, re c ta n g u la r w in d o w ^
N ” < ")= { 2U/3N. tr ia n g u la r w in d o w (12'2 '62)
Q bt = 1 - 5 ^ (12.2.63)
M
S ince th e w in d o w le n g th is 2M — 1, th e fre q u e n c y re so lu tio n m e a s u re d a t th e 3-dB
p o in ts is
A/ = ^ = — (12.2.64)
2M M
and hence
Q b t = x r i N & f = 2 .3 4 W A / (12.2.65)
U.64
Sec. 12.2 N onparametric Methods for Power Spectrum Estimation 919
Bartlett l.UNAf
Welch 1.39NA/
(50% overlap)
Blackman-Tukey 2.34AfA/
N u m b e r o f F F T s = — = 1.11W A f
M J
N u m b e r o f F F T s = — = 1. 56N A f
M
F F T len g th = 2 M = 1 .2 8 /A /
/ N \ N
N um ber o f FFT s = 2 K + 1 = 2 { — ) + 1 ^ —
\2M J M
(12.3.1)
w h e re w( n) is th e in p u t se q u e n c e to th e system a n d th e o b se rv e d d a ta , x( n ) ,
re p re s e n ts th e o u tp u t se q u e n c e .
In p o w e r sp e c tru m e stim a tio n , th e in p u t se q u e n c e is n o t o b se rv a b le . H o w
e v e r, if th e o b se rv e d d a ta a re c h a ra c te riz e d as a s ta tio n a ry ra n d o m p ro cess, th e n
th e in p u t se q u e n c e is also assu m ed to b e a s ta tio n a ry ra n d o m process. In such a
case th e p o w e r d e n s ity sp e c tru m o f th e d a ta is
r „ ( / ) = \ n ( f ) \ 2r ww( f )
w h e re r ,*„*,(/) is th e p o w e r d en sity sp e c tru m o f th e in p u t se q u e n c e a n d H ( f ) is
th e fre q u e n c y re sp o n s e o f th e m o d el.
9 22 Power Spectrum Estimation Chap. 12
T h e re la tio n sh ip s in (12.3.4) p ro v id e a fo rm u la fo r d e te rm in in g th e m o d el
p a ra m e te rs {ak} by re stric tin g o u r a tte n tio n to th e case m > q. T h u s th e se t o f
lin e a r e q u a tio n s
- Yx xi q + P ) -
can b e u se d to so lv e fo r th e m o d e l p a ra m e te rs {ak} by u sin g e s tim a te s o f th e
a u to c o rre la tio n se q u e n c e in place o f Yxx ) fo r m > q. T h is p ro b le m is d iscussed
in S e ctio n 12.3.8.
A n o th e r in te r p re ta tio n o f th e re la tio n sh ip in (12.3.5) is th a t th e v alu es o f
th e a u to c o rre la tio n Yxx ) iox m > q a re u n iq u e ly d e te rm in e d fro m th e p o le
p a ra m e te rs {ak} a n d th e v alu es o f y xx(m) fo r 0 < m < p. C o n s e q u e n tly , th e lin e a r
sy stem m o d e l a u to m a tic a lly e x te n d s th e v alu es o f th e a u to c o rre la tio n se q u e n c e
Yxx(m) fo r m > p.
If th e p o le p a ra m e te rs {a*} a re o b ta in e d fro m (12.3.5), th e re su lt d o e s n o t
h e lp u s in d e te rm in in g th e M A p a r a m e te r s {i*}, b e c a u se th e e q u a tio n
q-m p
I f w e a d o p t a n A R ( p ) m o d e l fo r th e o b se rv e d d a ta , th e re la tio n s h ip b e tw e e n
th e A R p a ra m e te rs a n d th e a u to c o rre la tio n se q u e n c e is o b ta in e d by se ttin g q = 0
in (12.3.4). T h u s w e o b ta in
p
= Yxxi® ) + Y 2 a k Y x x i ~ k ) (12.3.8)
1 < m < p
n=m
can b e e x p re ss e d as
- 1)
Km = m = 1, 2 , . . . , p (12.3.18)
2 (12.3.20)
p
1 + j 2 a p( k ) e - W ‘
T h e m a jo r a d v a n ta g e s o f th e B u rg m e th o d fo r e stim a tin g th e p a ra m e te rs o f
th e A R m o d e l a re (1) it resu lts in high fre q u e n c y re so lu tio n , (2) it yields a sta b le
A R m o d el, an d (3) it is c o m p u ta tio n a lly efficient.
T h e B u rg m e th o d is k n o w n to h av e se v e ra l d isa d v a n ta g e s, h o w ev er. F irst,
it ex h ib its sp e c tra l lin e sp littin g a t high sig n a l-to -n o ise ratio s, [see th e p a p e r by
F o u g e re e t al. (1976)]. B y line sp littin g , w e m e a n th a t th e sp e c tru m o f x( n) m ay
h a v e a sin g le sh a rp p e a k , b u t th e B u rg m e th o d m ay re s u lt in tw o o r m o re closely
sp a ced p e a k s. F o r h ig h -o rd e r m o d els, th e m e th o d also in tro d u c e s sp u rio u s p eak s.
F u rth e rm o r e , fo r sin u so id al signals in n o ise , th e B u rg m e th o d ex h ib its a sensitivity
to th e in itial p h a se o f a sinusoid, esp ecially in s h o rt d a ta reco rd s. T h is sensitivity
is m a n ife st as a fre q u e n c y shift fro m th e tru e freq u e n cy , re su ltin g in a p h a se d e
p e n d e n t fre q u e n c y b ias. F o r m o re d etails o n so m e o f th e s e lim ita tio n s th e r e a d e r
is r e fe rr e d to th e p a p e rs o f C h e n a n d S te g e n (1974), U lry c h a n d C lay to n (1976),
F o u g e re e t al. (1976), K ay a n d M a rp le (1979), S w ingler (1979a, 1980), H e rrin g
(1980), a n d T h o rv a ld s e n (1981).
S ev eral m o d ifica tio n s h av e b e e n p ro p o se d to o v e rc o m e so m e o f th e m o re
im p o rta n t lim ita tio n s o f th e B u rg m e th o d : n a m ely , th e lin e sp littin g , sp u rio u s
p e a k s , a n d fre q u e n c y bias. B asically, th e m o d ifica tio n s inv o lv e th e in tro d u c tio n
o f a w eig h tin g (w in d o w ) se q u e n c e o n th e sq u a re d fo rw a rd a n d b ack w a rd e r
ro rs . T h a t is, th e le a st-sq u a re s o p tim iz a tio n is p e rfo rm e d o n th e w e ig h te d s q u a re d
928 Power Spectrum Estimation Chap. 12
e rro rs
N-1
£™ b = £ wm( n) [ \ f m(n)\2 + |gm(n)[2] (12.3.21)
A s d e sc rib e d in th e p re c e d in g se ctio n , th e B u rg m e th o d f o r d e te rm in in g th e p a
r a m e te rs o f th e A R m o d e l is basically a le a st-sq u a re s la ttic e a lg o rith m w ith th e
a d d e d c o n s tra in t th a t th e p re d ic to r coefficients satisfy th e L e v in so n re c u rsio n . A s
a re su lt o f th is c o n s tra in t, a n in crease in th e o r d e r of th e A R m o d e l re q u ire s only
a sin g le p a r a m e te r o p tim iz a tio n a t e a c h stage. In c o n tr a s t to th is a p p ro a c h , w e
m ay use an u n c o n s tra in e d le a st-sq u a re s alg o rith m to d e te rm in e th e A R p a r a m e
ters.
T o e la b o ra te , w e fo rm th e fo rw a rd an d b ac k w a rd lin e a r p re d ic tio n e stim a te s
an d th e ir c o rre sp o n d in g fo rw a rd a n d b ac k w a rd e r ro r s as in d ic a te d in (12.3.14) a n d
(12.3.15). T h e n w e m in im ize th e sum o f sq u a re s o f b o th e rro rs , th a t is,
N -1
£p - Y l ^ f p ^ 2+
n=p
2 2"
p P
x ( n ) + ' Y \ ap ^ x ^n ~ k ) + x ( n - p) + 2 2 Op(k ) x( n + k - p)
„ *=i k=1
(12.3.25)
w h ich is th e sa m e p e rfo rm a n c e in d ex as in th e B u rg m e th o d . H o w e v e r, w e d o n o t
im p o se th e L e v in s o n - D u rb in re c u rsio n in (12.3.25) fo r th e A R p a ra m e te rs. T h e
u n c o n s tra in e d m in im iz atio n o f £p w ith re sp e c t to th e p re d ic tio n co effic ie n ts yields
th e se t o f lin e a r e q u a tio n s
£ M * ) ^ ( U ) = - r „ ( l , 0) l = l,2,...,p (12.3.26)
k=l
w h e re , by d efin itio n , th e a u to c o rre la tio n rxx( l , k ) is
JV-1
r „ ( / , k) = ~ k ) x *(n — 0 + x ( n - P + l)x*(n — p + £)] (12.3.27)
n—p
T h e re su ltin g re sid u a l le a st-sq u a re s e r r o r is
p
e pL s = r „ ( 0 ,0 ) + £ t f , ( * ) r „ ( 0 , k ) (12.3.28)
t-i
930 Power Spectrum Estimation Chap. 12
£ ls
P ^ i f ) = ----------------E---------------T (12.3.29)
1 + i 2 a p( k ) e - J^ k
k=l
T h e c o rre la tio n m a trix in (12.3.27), w ith e le m e n ts rxx(l, k) , is n o t T o e p litz , so
th a t th e L e v in s o n -D u rb in alg o rith m c a n n o t b e a p p lie d . H o w e v e r, th e c o rre la tio n
m atrix h a s su fficien t s tru c tu re to m a k e it p o ssib le to d ev ise c o m p u ta tio n a lly effi
cien t a lg o rith m s w ith c o m p u ta tio n a l co m p lex ity p ro p o rtio n a l to p 2. M a rp le (1980)
d ev ised such an a lg o rith m , w hich h a s a lattice s tru c tu re a n d em p lo y s L e v in so n -
D u rb in -ty p e o r d e r re c u rsio n s a n d a d d itio n a l tim e recu rsio n s.
T h is fo rm o f th e u n c o n s tra in e d le a st-sq u a re s m e th o d d e s c rib e d h a s also b e e n
called th e u n w i n d o w e d data le a st-sq u a re s m e th o d . I t h a s b e e n p ro p o s e d fo r sp e c
tru m e s tim a tio n in se v era l p a p e rs, in clu d in g th e p a p e rs b y B u rg (1967), N u tta ll
(1976), an d U lry ch an d C la y to n (1976). Its p e rfo rm a n c e c h a ra c te ristic s h av e b e e n
fo u n d to b e s u p e rio r to th e B u rg m e th o d , in th e se n se th a t th e u n c o n s tra in e d least-
sq u a re s m e th o d d o e s n o t e x h ib it th e sa m e sen sitiv ity to such p ro b le m s as line sp lit
ting, fre q u e n c y b ias, a n d sp u rio u s p eak s. In view o f th e c o m p u ta tio n a l efficiency o f
M a rp le ’s a lg o rith m , w hich is c o m p a ra b le to th e efficiency o f th e L e v in s o n -D u rb in
alg o rith m , th e u n c o n s tra in e d le a st-sq u a re s m e th o d is very a ttr a c tiv e . W ith this
m e th o d th e re is n o g u a ra n te e th a t th e e stim a te d A R p a r a m e te r s yield a sta b le
A R m o d el. H o w e v e r, in sp e c tru m e s tim a tio n , th is is n o t c o n s id e re d to be a
p ro b le m .
FPE('’,=<(^373t) d2'3-30*
w h e re a 2p is th e e s tim a te d v a rian ce o f th e lin e a r p re d ic tio n e r ro r . T h is p e rfo r
m a n ce in d ex is b a s e d o n m in im izin g th e m e a n -s q u a re e r ro r fo r a o n e -ste p p re d ic to r.
T h e seco n d c rite rio n p r o p o s e d by A k a ik e (1974), called th e A k a i k e i n f o r ma
t ion criterion (A IC ), is b a se d o n se lectin g th e o r d e r th a t m in im iz es
A I C ( p ) = In a l p + 2 p / N (12.3.31)
N o te th a t th e te rm a 2p d e c re a s e s a n d th e r e fo r e In er2p also d e c re a s e s as th e o rd e r
o f th e A R m o d e l is in crease d . H o w e v e r, 2 p / N in c re a se s w ith an in crease in p.
H e n c e a m in im u m v alu e is o b ta in e d fo r so m e p.
A n a lte rn a tiv e in fo rm a tio n c rite rio n , p ro p o s e d by R is sa n e n (1983), is b ased
o n se lectin g th e o r d e r th a t m i n i mi z e s the description l ength (M D L ), w h e re M D L
is d efin ed as
M D L (/j) = N \ r \ a 2p + p i n N (12.3.32)
C A T (p) = ( I £ _L ) - J - (12.3.33)
w h ere
(12.3.34)
T h e o rd e r p is se le c te d to m in im ize C A T (/?).
In ap p ly in g th is crite ria , th e m e a n sh o u ld b e re m o v e d fro m th e d a ta . Since
a 2k d e p e n d s o n th e ty p e o f sp e c tru m e s tim a te w e o b ta in , th e m o d e l o rd e r is also
a fu n ctio n o f th e c riterio n .
T h e e x p e rim e n ta l re su lts given in th e re fe re n c e s ju s t c ite d in d ic a te th a t
th e m o d e l-o rd e r se lectio n c rite ria d o n o t y ield d efin itiv e re su lts. F o r ex am p le,
U lry ch an d B ish o p (1975), J o n e s (1976), a n d B e rry m a n (1978), fo u n d th a t th e
F P E ( p ) c rite rio n te n d s to u n d e re s tim a te th e m o d e l o rd e r. K a s h y a p (1980) sh o w ed
th a t th e A IC c rite rio n is sta tistically in c o n s is te n t as N — oo. O n th e o th e r
h a n d , th e M D L in fo rm a tio n c rite rio n p ro p o s e d b y R issan n is statistically c o n
sisten t. O th e r e x p e rim e n ta l re su lts in d ic a te th a t fo r sm a d a ta len g th s, th e o r
d e r o f th e A R m o d e l sh o u ld b e se le c te d to b e in th e ra n g e N /3 to N f l fo r
g o o d resu lts. I t is a p p a r e n t th a t in th e a b se n c e o f any p r io r in fo rm a tio n r e
g ard in g th e p h y sical p ro c e ss th a t re su lte d in th e d a ta , o n e sh o u ld tr y d iffer
e n t m o d e l o r d e rs a n d d iffe re n t c rite ria an d , finally, c o n s id e r th e d iffe re n t
resu lts.
Sec. 12.3 Parametric Methods for Power Spectrum Estimation 933
(12.3.35)
(12.3.37)
(12.3.38)
(12.3.39)
which is minimized by selecting the MA(?) parameters {£*}. The result of this
9 34 Power Spectrum Estimation Chap. 12
minimization is
b = - R ►~i
J r aa (12.3.42)
w h ere th e e le m e n ts o f a n d raa a re given as
p-tf-jl
R aa(\i ~ y |) = 22 i,j = l,2,...,q
n=0
(12.3.43)
p-i
raa 0 ) = 2 2 n+ ' I = 1, 2, . . . ,
T h is least sq u a re s m e th o d fo r d e te rm in in g th e p a r a m e te r s o f th e MA(<j)
m o d el is a ttr ib u te d to D u rb in (1959). I t h as b e e n sh o w n by K a y (1988) th a t this
e s tim a tio n m e th o d is a p p ro x im a te ly th e m ax im u m lik e lih o o d u n d e r th e a ssu m p tio n
th a t th e o b se rv e d p ro c e ss is G au ssian .
T h e o r d e r q o f th e M A m o d e l m a y b e d e te rm in e d e m p iric a lly b y se v era l
m e th o d s. F o r e x a m p le , th e A IC fo r M A m o d els h a s th e sa m e fo rm as fo r A R
m o d els,
A lC (tf) = l n < 4 + ^ (12.3.44)
r ’Az) = J u m ? T )+ "’
(12.3.45)
_ a l +<t„2A ( z ) A ( z j)
R r r S --- Tr (12.3.47)
^ A( / ) = L rw ( m ) e ~ ^ (12.3.51)
936 Power Spectrum Estimation Chap. 12
1+E a
T h e p ro b le m o f o rd e r se lectio n fo r th e A R M A ( p , g ) m o d e l h as b e e n in v es
tig a te d by C how (1972a, b) a n d B ru z z o n e a n d K a v e h (1980). F o r th is p u rp o s e th e
m in im u m o f th e A IC in d ex
A I C ( p , q) = I n a l " + ~ ~ (12.3.53)
//II — LS
-1 0 Burg II
20 points
4 poles
SNR = 20 dB
E N-------- Yule-Walker — ^ ^
—3 5 r I i i i i m j i i i i l i i i i j j n j i l - I i l l n i i i i i . i j l i i l i i - L l i i i x i j . j . i l i j i l j i i i i i i j i l i m i i i i i l n m i n | J | n t u n i ___ f
.20 .22 .24 .26 .28 .30 .32 .34 .36 .38 .40
Frequency (cycles/sample)
d e c re a s e d to A f = 0.07, th e Y u le -W a lk e r m e th o d n o lo n g e r reso lv es th e p e a k s as
illu stra te d in Fig. 12.7. S o m e b ias is also e v id e n t in th e B u rg m e th o d . O f c o u rse , by
in c re a sin g th e n u m b e r o f d a ta p o in ts th e Y u le -W a lk e r m e th o d e v e n tu a lly is able
to reso lv e th e p eak s. H o w e v e r, th e B u rg a n d le a st-s q u a re s m e th o d s a re clearly
s u p e rio r fo r s h o rt d a ta reco rd s.
T h e effe ct o f ad d itiv e n oise o n th e e s tim a te is illu stra te d in Fig. 12.8 fo r th e
le a s t-s q u a re s m e th o d . T h e effect o f filter o rd e r o n th e B u rg a n d le a st-sq u a re s
m e th o d s is illu stra te d in F igs. 12.9 a n d 12.10, resp ec tiv ely . B o th m e th o d s ex h ib it
s p u rio u s p e a k s as th e o r d e r is in crease d to p = 12.
T h e effe ct o f in itial p h a se is illu stra te d in Figs. 12.11 a n d 12.12 fo r th e B u rg
an d le a s t-s q u a re s m e th o d s. I t is clear th a t th e le a st-sq u a re s m e th o d ex h ib its less
se n sitiv ity to in itial p h a s e th a n th e B u rg alg o rith m .
A n e x a m p le o f lin e sp littin g fo r th e B u rg m e th o d is sh o w n in Fig. 12.13 w ith
p = 12. It d o e s n o t o c c u r fo r th e A R (8 ) m o d el. T h e le a st-sq u a re s m e th o d d id
n o t e x h ib it lin e sp littin g u n d e r th e sa m e co n d itio n s. O n th e o th e r h a n d , th e line
sp littin g o n th e B u rg m e th o d d isa p p e a re d w ith an in crease in th e n u m b e r o f d a ta
p o in ts N .
F ig u re s 12.14 a n d 12.15 illu stra te th e re so lu tio n p r o p e rtie s o f th e B u rg an d
le a st-s q u a re s m e th o d s f o r A f = 0.07 a n d N = 20 p o in ts a t low S N R (3 dB ).
S ince th e ad d itiv e n o ise p ro c e ss is A R M A , a h ig h e r-o rd e r A R m o d e l is re q u ire d
t o p ro v id e a g o o d a p p ro x im a tio n a t low S N R . H e n c e th e fre q u e n c y re so lu tio n
im p ro v e s as th e o r d e r is in crease d .
938 Power Spectrum Estimation Chap. 12
Frequency (cycles/sample)
Frequency (cycles/sample)
/
Frequency (cycles/sample)
—2
20 points
4 poles
-6 SNR = 15 dB
/ , = -23
f l = -36
16 sinusoid phases
-1 2
_ J4 r Hi !■ I11111l1
.20 .22 .26 .28 .30 .32 .34 .36 .38 .40
Frequency (cycles/sample)
(dB)
Normalized power spectrum
Frequency (cycles/sample)
Frequency (cycles/sample)