Spectral Estimation

Stationary and Non-stationary process:

We can also classify the random processes as stationary or non-stationary
random processes. If all the statistical properties namely the mean,
moments and variance, etc. for the random variables of the random process
are constant with respect to time, the process is said to be a stationary
random process. The two processes are said to be statistically independent
if random variable groups of one process are independent of random
variable groups of other process. We define different levels of stationarity
for a process namely first order stationarity and second order stationarity.
First order stationary process: A random process is said to stationary
to order one if its density function does not shift with the shift in time origin
and the mean value is constant, i.e.,

f X=
( x1 : t1 ) f X ( x1 : t1 + δ ) .

Second order stationary process: A random process is said to be

stationary to order two if its second order density function is invariant to a
time difference and if its autocorrelation function is a function of time
difference and not the absolute time, i.e.,
f X ( x1, x2 =
: t1, t2 ) f X ( x1, x2 : t1 + δ , t2 + δ )

If we put δ = −t1 , we can conclude that the second order density function is
a function of time difference.
Wide sense stationary process:
A random process is said to be wide sense stationary if the mean is constant
and the autocorrelation of a process is a function of time difference. The
process is said to be an ergodic process if the time average is equal to the
ensemble average and time average auto-correlation is equal to the
ensemble autocorrelation.

Periodogram: The estimation of power density spectrum of a signal is

known as the periodogram and mathematically it is defined as
2
1 N −1
Pxx ( f ) = ∑ x(n)e − j 2π fn .
N n =0

Periodogram can be computed by the use of DFT, which in turn is efficiently

computed by a FFT algorithm. If we have N data points, we compute as a

1
minimum the N -point DFT. For example, the computation yields samples
of the periodogram
2
1 N −1
x(n)e− j 2π kn
k
=
Pxx ( )
N
∑
N n =0
= /N
k 0,1, 2,..., N − 1

At the frequencies f k = k / N .

In practice, however, such a sparse sampling of the spectrum does not

provide a very good picture of the continuous spectrum estimate Pxx ( f ) .
This is easily, remedied by evaluating Pxx ( f ) at additional frequencies.
Equivalently, we can effectively increase the length of the sequence by
means of zero padding and then evaluating Pxx ( f ) at a more dense set of
frequencies.

There are two methods of power spectrum estimation:

i) Non-Parametric methods of power spectrum estimation
ii) Parametric method of power spectrum estimation

Non-parametric method of power spectrum estimation:

Non-parametric methods of power spectrum estimation make no
assumption about how the data were generated and therefore are known
as non-parametric methods.
In this technique the estimates are based on finite record of data, therefore,
the frequency resolution of these methods is, at best, equal to the spectral
width of the rectangular window of length N , which is approximately 1 / N
at the -3dB points.
The following are the non-parametric methods of power spectrum
estimation:
i) The Bratlett Method (Averaging periodogram)
ii) The Welch Method (Averaging modified periodogram)
iii) The Blackman and Tukey method (smoothing the periodogram)
Bratlett Power Spectrum Estimate:

0.9
FFT length= M =
∆f

N
Number of FFTs=
= 1.11N ∆f
M

2
Quality factor=
= Q 1.11N ∆f

N M  N 0.9 
Number of computations=  log 2 M  =  log 2 
M 2  2 ∆f 

Welch Power Spectrum Estimate (50% overlap):

1.28
FFT length= M =
∆f

2N
Number of FFTs== 1.56 N ∆f
M
Quality factor=
= Q 1.39 N ∆f

2N  M   1.28 
Number of computations=  log 2 M  = N  log 2 
M  2   ∆f 

2N
For windowing × M multiplications are needed.
M

 1.28  5.12
Total computations = 2 N + N  log 2 =N log 2
 ∆f  ∆f

Blackman-Tukey Power Spectrum Estimate:

1.28
FFT length= 2M =
∆f

 N  N N
Number of FFTs= 2k + 1= 2   + 1= +1 ≅
 2M  M M

Quality factor=
= Q 2.34 N ∆f

N  1.28 
Number of computations= ( M log 2 2M ) = N  log 2 
M  ∆f 

3
Limitations of Non-parametric Methods for Power Spectrum
Estimation:
These methods have the following limitations:
i) It needs long data sequences to obtain the necessary frequency
resolution.
ii) Spectral leakge effects due to windowing.
iii) The assumption of the autocorrelation estimate rxx ( m) to be zero
for m ≥ N . This assumption limits the frequency resolution and
quality of the power spectrum estimate.
iv) Assumption that the data are periodic with period N . These
assumptions may not be totally realistic.

Parametric Methods for Power Spectrum Estimation:

Parametric methods provide better frequency resolution, because this
modelling does not require window function and the assumptions that
autocorrelation sequence to be zero for m ≥ N is not needed.

It extrapolates the values for m ≥ N . However, it requires prior information

about the generation of data sequence. A model for the signal generation
may be obtained from the observed data. These methods are quite useful
for data sequence which are short.
The parametric spectral estimation has the following three steps:
i) First of all select the model.
ii) Estimate the model parameters from the observed measured data
or the correlation sequence that is estimated from the data.
iii) Obtain the power spectral estimate with the help of the estimated
model parameters.

Example:
1. Determine the frequency resolution of the Bartlett, Welch and
Blackman-Tukey methods of power spectrum estimation for quality
factor Q = 10. Assume that overlap in Welch’s method is 50%. Given
the length of the sample sequence is 1000.
Solution: Data given:
Quality factor Q = 10.

Length of the sample sequence, N = 1000

4
 Overlap in Welch’s method=50%
Bartlett Method:
Quality factor==
QB 1.11N ∆f

QB 10
=⇒ ∆f frequency
= resolution= = 0.009 .
1.11N 1.11× 1000

Welch Method:
Quality factor==
QW 1.39 N ∆f

QW 10
=⇒ ∆f frequency
= resolution= = 0.0072 .
1.39 N 1.30 × 1000

Blackman-Tukey Method:
Quality factor==
QBT 2.34 N ∆f

QBT 10
=⇒ ∆f frequency
= resolution= = 0.0042 .
2.34 N 2.34 × 1000
2. A continuous-time signal xa (t ) is band limited to 5 kHz, i.e., xa (t ) has
a spectrum X a ( f ) that is zero for f > 5 kHz. Only 10 seconds of the
signal has been recorded and is available for processing. We would
like to estimate the power spectrum of xa (t ) using the available data
in a radix-2 FFT algorithm, and it is required that the estimate have
a resolution of at least 10 Hz. Suppose that we use Bartlett’s method
of periodogram averaging.
(a) If the data is sampled at the Nyquist rate, what is the minimum
section length that you may use to get the desired resolution?
(b) Using the minimum section length determined in part (a), with
10 seconds of data, how many sections are available for
averaging?
(c) How does your choice of sampling rate affect the resolution and
variance of your estimate? Are there any benefits to sampling
above the Nyquist rate?
Solution:
(a) If we sample at Nyquist rate, f s = 10 kHz, then a resolution of
∆f =10 Hz (in analog frequency) implies that we want a resolution
(in radian) of

5
 ∆f
∆ω = 2π = 2π × 10−3 .
fs
0.9
Now, for Bartlett’s method, ∆ω =2π .
L
0.9
So, we want to use a section length of L ≥ 2π
900 samples.
=
∆ω
(b) Sampling at 10 kHz, 10 seconds of data corresponds to
N= (10)(10 × 103 )= 105 samples.
Therefore, with a 1024-point DFT the number of sections we may
N
have in Bartlett’s method = is k = 98 .
1024
(c) If the sampling rate is increased then ∆ω decreases which, in turn,
requires a longer section length for a given resolution. However,
an increase in the sampling rate produces a corresponding
increase in the total number of samples within a T second interval.
Therefor, since the variance (normalized) is
L
V=
N
increasing the sampling rate has no effect. Thus, provided that the
sampling rate is not less than the Nyquist frequency, the
resolution and the variance do not depend on the sampling rate.