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Power Spectral Estimation

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The purpose of these methods is to


obtain an approximate estimation of the
j
power spectral density yy (e ) of a
given real random process { yn }

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Autocorrelation

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The autocorrelation sequence is


yy [m] E{ y[m n] y[n]}

The pivot of estimation is the WienerKhintchine formula (which is also known


as the Einstein or the Rayleigh formula)
j

yy (e ) yy [m]e

jm

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Classification

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The crux of PSD estimation is the determination of


the autocorrelation sequence from a given process.
Methods that rely on the direct use of the given
finite duration signal to compute the autocorrelation
to the maximum allowable length (beyond which it
is assumed zero), are called Non-parametric
methods
Methods that rely on a model for the signal
generation are called Modern or Parametric
methods.
Personally I prefer the names Direct and Indirect
Methods
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Classification & Choice

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The choice between the two options is


made on a balance between simple and
fast computations but inaccurate PSD
estimates Vs computationally involved
procedures but enhanced PSD estimates

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Direct Methods & Limitations

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Apart from the adverse effects of noise,


there are two limitations in practice
Only one manifestation { y [ n ]}
,

known as a realisation in stochastic


processes, is available
Only a finite number of terms, say 2 N 1 ,
is available

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Assumptions

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Assume { y[n]} to be

Ergodic so that statistical expectations can


be replaced by summation averages
Stationary so that infinite averages can be
estimated from finite averages
Both of these averages are to be derived
from

{ y [n]}

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Windowing

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Thus an approximation is necessary. In


effect we have a new signal {x[n]} given
by
x[n] w[n] y [n]
where w[n] is a window of finite
duration selecting a segment of signal
from { y [n]}.
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The Periodogram

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The Periodogram is defined as


2
N 1
1
jn
I N ( e j )
x
[
n
]
e

N n 0

N 1
1 N 1
jn
jr
I N (e ) x[n]e
x[r ]e
N n 0
r 0

Clearly evaluations at

2
k k
N the FFT.
are efficiently computable via
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Limited autocorrelations

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Let

N 1 m

xx [m] x[n m ]x[n]


n 0

which we shall call the autocorrelation


sequence of this shorter signal.
These are the parameters to be used
for the PSD estimation.
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PSD Estimator

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It can be shown that

1 N 1
jm
I N (e )

[
m
]
e
xx
N m ( N 1)
j

The above and the limited autocorrelation


expression, are similar expressions to the PSD.
However, the PSD estimates, as we shall see,
can be bad.
Measures of goodness are the bias and the
variance of the estimates?
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The Bias

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The Bias pertains to the question:


Does the estimate tend to the correct
value as the number of terms taken
tends to infinity?
If yes, then it is unbiased, else it is
biased.

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Analysis on Bias

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For the unspecified window case


considered thus far, the expected value
of the autocorrelation sequence of the
truncated signal is
N 1 m

E{ xx [m]} E{ x[n m ]x[n]}


n 0

N 1 m

E{w[n m ] y[n m ]w[n] y[n]}

n 0

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Analysis on Bias

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or

N 1 m

E{ xx [m]} ww [m] yy [m]


n 0

Thus
1 N 1
jm
E{I N (e )}
E
{

[
m
]}
e

xx
N m ( N 1)
1
j
j 2

yy (e ) * W (e )
2N
j

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Analysis on Bias

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The asterisk denotes convolution.


The bias is then given as the difference
between the expected mean and the
true mean PSDs at some frequency.
B E{I N (e

j k

) yy (e

j k

1
j k
j
j 2
yy (e ) * W (e ) yy (e )
2N
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Example

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For example take a rectangular window


then ,
sin( N / 2)
W (e )

sin(

/
2
)

j 2

which, when convolved with the true


PSD, gives the mean periodogram, ie a
smoothed version of the true PSD.
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Example

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Note that the main lobe of the window has a


2 / N
width of
and hence as N

we have

lim E{I N (e )} yy (e )

at every point of continuity of the PSD.


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Asymptotically unbiased

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Thus I N (e ) is an asymptotically
unbiased estimator of the true PSD.
The result can be generalised as
follows.

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Windows & Estimators

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For the window to yield an unbiased


estimator it must satisfy the following:
1) Normalisation condition
N 1

w [ n] N
2

n 0

2) The main lobe width must decrease


as 1/N
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The Variance

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The Variance refers to the question on


the goodness of the estimate:
Does its variance of the estimate
decrease with N? ie does the
expression below tend to zero as N
tends to infinity?
j

var{I N (e )} E{( I N (e )) } ( E{I N (e )})


2

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Analysis on Variance

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If the process is Gaussian then (after


very long and tedious algebra) it can be
shown that
j
j
2
var{I N (e )} ( E{I N (e )}) A

where

1
j
j ( )
*
j ( )
A

(
e
)
W
(
e
)
W
(
e
)d
yy
2N
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Analysis

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Hence it is evident that as the length of


data tends to infinity the first term
remains unaffected, and thus the
periodogram is an inconsistent
estimator of the PSD.

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Example

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For example for the rectangular window


taken earlier we have
j
j
2
var{I N (e )} ( E{I N (e )}) C

where
sin ( N m )
C
yy [m]
N sin
m ( N 1)
N 1

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Decaying Correlations
If yn has yy 0 for m m0
then for N m0 we can write above
2

sin N

j
2
j
var{I N (e )} yy (e ) 1

N sin

From which it is apparent that


2
j
yy (e ) 0,
j
var{I N (e )}
2
j
2 yy (e ) elsewhere
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Variance is large
Thus even for very large windows
the variance of the estimate is as
large as the quantity to be estimated!

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Smoothed Periodograms

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Periodograms are therefore inadequate for


precise estimation of a PSD.
To reduce variance while keeping estimation
simplicity and efficiency, several modifications
can be implemented
a) Averaging over a set of periodograms of
(nearly) independent segments
b) Windowing applied to segments
c) Overlapping the windowed segments for
additional averaging
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Welch-Bartlett Procedure
Typical is the Welch-Bartlett procedure as
follows.
Let yn be an ergodic process from which we
are given M data points for the signal y[n] .
1) Divide the given signal into K M / N
blocks each of length N .
2) Estimate the PSD of each block
3) Take the average of these estimates
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Welch-Bartlett Procedure

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Step 2 can take different forms for


different authors.
For the Welch-Bartlett case the
periodogram is suggested as
1
jn
I (e )
xr [m]e
N n 0
r
N

N 1

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Welch-Bartlett Procedure

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where the segment xr [n] is a


windowed portion of yn
xr [n] w[n] y[n r ( N N 0 )]

And N 0 is the overlap.


(Strictly the Bartlett case has a
rectangular window and no overlap).
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Comments

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FFT-based Spectral estimation is limited by

a) the correlation assumed to be zero beyond the


measurement length and
b) the resolution attributes of the DFT.

Thus if two frequencies are separated by


then a data record of length

N 2 /

is required.
(Uncertainty Principle)
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Narrowband Signals

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The spectrum to be estimated is some cases


may contain narrow peaks (high Q
resonances) as in speech formants or
passive sonar.
The limit on resolution imposed by window
length is problematic in that it causes bias.
The derived variance formulae are not
accurate
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