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Spectral Estimation

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You are on page 1of 9

Hayes: Ch. 8

Proakis & Manolakis Ch. 14

1/30

Introduction & Issues

2/30

Recall Definition of PSD LO-2.1

⎧ M

2⎫

⎪ 1 ⎪

S x (ω ) = lim E ⎨ 2 M +1

M →∞ ⎪

∑ x[n]e − jωn

⎬ ()

⎩ n=− M ⎪⎭

<< Warning: Ch. 2 of L&O uses “ω” for the DT frequency whereas Porat uses

“Ω”. Also, Hayes expresses DTFTs (and therefore PSDs) in terms of ejω; it

means the same thing – it is just a matter of notation. Hayes’ notation is

more precise when you consider going from the ZT H(z) to the frequency

response H(ejω) = H(z)|z=ejω >>

Recall the Wiener-Khinchine Theorem:

S x (ω ) = F {rx [k ]}

∞ ()

rx [k ] = E{x[n ] x * [n + k ]}

= ∑x

r [ k ]e − jωk

ACF of RP x[ n ]

k = −∞

3/30

Problem of PSD Estimation LO-2.2

practice we get only one realization from the ensemble

2. Both () & () use a Fourier transform of infinite length

BUT in practice we get only a finite number of samples.

(Note: a finite # of samples allows only a finite # of ACF values)

1. Compute the DFT of the signal and then do some form of

averaging

2. Compute and estimate of the ACF using some form of

averaging and then compute the DFT

Approaches – they strive to do the best with the available data

w/o making any assumptions other than that the underlying

process is WSS. 4/30

The “Modern” Parametric Approach LO-2.2

tries to deal with the issue of having only a finite # of samples:

Î Allows recursive extension of ACF using the known

values

Example Model

rx [k ] = − a1rx [k − 1] − a 2 rx [k − 2] − " − a p rx [k − p ], k ≥ p + 1

We’ll see that for this approach all we’ll need to do is estimate the

model parameters {ai} and then use them to get an estimate of

the PSD …. Thus, this approach is called “Parametric”

5/30

Review of Statistics LO-2.3

need to review a few issues from statistics.

What are we doing in PSD Estimation?

Given: Finite # of samples from one realization

Get: Something that “resembles” the PSD of the process

x(t) Sˆ x (ω )

PSD

t Estimation ω

Each

PSD Signal Realization

gives a different

t Estimation ω

PSD Estimate

Realization

PSD

t Estimation ω

Review of Statistics (Cont.)

Thus… must view PSD Estimate as a Random Process

Need to characterize its mean and variance:

• Want Mean of PSD Estimate = true PSD

• Want Var of PSD Estimate= “small”

To make things easier to discuss, we use a slightly different

estimation problem to illustrate the ideas… Consider the process

x[n ] = A + w[n ]

Constant AWGN, zero-mean, σ2

Given a finite set of data samples x[0],… x[N-1]…. estimate A.

Reasonable estimate is: N −1

∑ x[ n ]

1

Aˆ = “sample mean”

N n =0

For each realization of x[n] you get a different value for the

estimate of A. 7/30

Review of Statistics (Cont.)

We want two things for the estimate:

1. We want our estimate to be “correct on average”: E{ Aˆ } = A

(Ch. 2 of L&O shows that the sample mean is unbiased)

If it is not true then we say the estimate is biased.

If it is not true, but

lim E{ Aˆ } = A

N →∞

we say that the estimate is asymptotically unbiased.

var{ Aˆ } = small

Also, we’d like var{ Aˆ } → 0 as N → ∞

(Ch. 2 of L&O shows that this is true for the sample mean)

8/30

Review of Statistics (Cont.)

Can capture both mean and variance of an estimate by using

Mean-Square-Error (MSE):

MSE{ Aˆ } = var{ Aˆ } + B 2 { Aˆ }

where B{ Aˆ } = A − E{ Aˆ }

• Minimize Bias

• Minimize Variance

E{Sˆ x (ω )} = S x (ω )

var{Sˆ (ω )} = small

x

9/30

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