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Autocorrelation
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yy (e ) yy [m]e
jm
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Classification
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Assumptions
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Assume { y[n]} to be
{ y [n]}
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Windowing
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The Periodogram
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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
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PSD Estimator
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1 N 1
jm
I N (e )
[
m
]
e
xx
N m ( N 1)
j
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The Bias
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Analysis on Bias
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N 1 m
n 0
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Analysis on Bias
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or
N 1 m
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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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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sin(
/
2
)
j 2
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Example
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we have
lim E{I N (e )} yy (e )
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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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w [ n] N
2
n 0
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The Variance
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Analysis on Variance
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where
1
j
j ( )
*
j ( )
A
(
e
)
W
(
e
)
W
(
e
)d
yy
2N
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Analysis
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Example
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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
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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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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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N 1
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Welch-Bartlett Procedure
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Comments
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N 2 /
is required.
(Uncertainty Principle)
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Narrowband Signals
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