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Spectral Estimation

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Non-Parametric Methods

• Minimum Variance Method (MVSE)

LO-2.4.3, H-8.3

1/17

Recall: Family of Non-Parametric Methods

(FT-Based Methods) (Non-FT-Based Methods)

• Periodogram • Blackman-Tukey • Minimum Variance

• Modified

• Bartlett

• Welch

2/17

Minimum Variance Method

3/17

Minimum Variance Method – Terminology

The Minimum Variance Spectral Estimation (MVSE) method has

two other names:

• Maximum Likelihood Method (MLM)

• Capon’s Method

Note: The names MVSE and MLM are actually misnomers – this

method:

• does NOT minimize the variance of the estimate

• does NOT maximize the “likelihood function”

4/17

Recall: Filter Bank View of Periodogram

See Fig. 8.4 & 8.3 of Hayes

The problem is leakage from nearby frequencies:

|Hi(ω)|2

ω

Filter Sidelobes Leak

“Out-of-Band” Power

into Estimate at ωi

5/17

Goal for MVSE Method

Figure out a way to design each filter bank channel response to

minimize the leakage – this is thus a data-dependent design.

Collect Data Î “Design” Filters for Filter Bank

Want to “design” filters to minimize the sidelobes while keeping

the mainlobe height at 1:

“Design” Goals:

1. Want Hi(ωi) = 1 …to let through the desired Sx(ωi)

2. Minimize total output power in the filter:

π

1

∫

2

ρi = H i (ω ) S x (ω )dω

2π

−π

even though the integral includes the desired ωi

6/17

LO-2.4.3

Get Useable Form for ρ p −1

The frequency response of filter hi[n] is: H i (ω ) = ∑ hi [n ]e − jωn

n =0

Using this in the expression for ρ gives:

p = Filter Length

π ⎡ p −1 ⎤ ⎡ p −1 ⎤ p<N

1

∫ ⎢⎢ ∑ hi [k ]e ⎥⎥ ⎢⎢ ∑ hi [l ]e ⎥⎥ S x (ω )dω

− jωk jωl

ρi = *

2π ⎦ ⎣ l =0 ⎦

−π ⎣ k =0

p −1 p −1 π

∑ ∑ i i [l ]

1 jω ( l − k )

= ∫ ω dω

*

h [ k ]h S x ( ) e

k =0 l =0

2π

−π

Now… Recognize as

= rx [ l − k ] vector-matrix-vector

p −1 p −1 multiplication

= ∑ ∑ i i [l ]rx [l − k ]

h [ k ]h *

k =0 l =0 Rx = Autocorrelation Matrix

= h iH R x h i

“H” superscript = Hermitian Transpose

= Transpose & Conjugate 7/17

Autocorrelation Matrix

The AC matrix is the p×p matrix whose i,j element is rx[j – i].

Example for p = 4:

⎡ rx [0] rx [1] rx [2] rx [3]⎤

⎢ ⎥

⎢ ⎥

⎢ ⎥

⎢ rx [ −1] rx [0] rx [1] rx [2]⎥

⎢ ⎥

Rx = ⎢ ⎥

⎢ ⎥

⎢ r [ −2] r [ −1] r [0] rx [1] ⎥

⎢x x x

⎥

⎢ ⎥

⎢ ⎥

⎢ r [ −3] r [ −2] r [ −1] rx [0]⎥⎦

⎣ x x x

8/17

Not in Book

Now Minimize the Matrix Form:

For each i, minimize this: ρ i = h iH R x h i

Under this constraint:

H i (ω i ) = 1 ⇒ h iH e i = 1

Most common way to do constrained optimization is using the

Lagrange Multiplier method:

J = hi R x hi

H

−λ (H

hi ei −1 )

Lagrange says: Choose hi and λ to minimize J

9/17

Lagrange Minimization:

To find the hi and λ that minimizes J, in general set:

∂J ∂J

=0 T

& =0

∂h i ∂λ

But often an easier way is to do these two steps:

1. Do the partial w.r.t. hi and solve for hi

2. Then choose λ to ensure solution meets the constraint

So… we need: ∂J

= 0T

∂h i

w.r.t. a vector???!!!

It is called the Gradient.

(Comes from Multi-D Calculus) 10/17

Aside: Gradient

If g(x) is a scalar-valued function of a real-valued vector x,

Then the gradient of g(x) is defined as:

∂g ( x ) ⎡ ∂g ( x ) ∂g ( x ) ∂g ( x ) ⎤

∇x ( g ) = =⎢ " ⎥

∂x ⎣ 1∂x ∂x 2 ∂x N ⎦

Gradient here is nothing more than: the vector whose elements

are the partials w.r.t. each element of x.

(Note: There are similar definitions when g(x) is vector-valued.)

N

“Example” g ( x ) = c x = ∑ ci xi = c1 x1 + c2 x2 + " + cn x N

T

i =1

∂g ( x ) ⎡ ∂g ( x ) ∂g ( x ) ∂g ( x ) ⎤

=⎢ " ⎥

∂x ⎣ 1∂x ∂x 2 ∂x N ⎦

= [c1 c2 " c N ]

= cT 11/17

Lagrange Minimization (cont.):

Step #1: For our scalar-valued function J we get: Subscript “o”

∂J set indicates

= h iH,o R x − λe iH = 0T “Optimal” – the h

∂h i needed to get 0T

−1

Now solve this for hi,o: h i ,o = λe i R x

H H

But…Depends on λ!!

H

(

H −1

)

h i ,o e i = 1 ⇒ λe i R x e i = 1 ⇒ λ = H −1

1

ei R x ei

…. Now use this λ in optimal hi,o:

e iH R −x 1 R −x 1e i

h iH,o = h i ,o =

e iH R −x1e i e iH R −x1e i 12/17

LO-2.4.3

MVSE – Filter Solution

e iH R −x 1 R −x 1e i

h iH,o = h i ,o =

e iH R −x1e i e iH R −x1e i

This gives the optimal filter for estimating the power at the

frequency ωi

which we wish to get a PSD estimate.

that would be our PSD estimate.

13/17

MVSE – Power Estimate in Each Channel

The estimate of the power at ωi is nothing more than the

minimized value of ρi:

ρ i ,o = h iH,o R x h i ,o

H

⎡ e iH R −x1 ⎤ ⎡ e iH R −x1 ⎤ ⎡ e iH R −x1 ⎤ ⎡ R −x1e i ⎤

= ⎢ H −1 ⎥ R x ⎢ H −1 ⎥ = ⎢ H −1 ⎥ R x ⎢ H −1 ⎥

⎢⎣ e i R x e i ⎥⎦ ⎢⎣ e i R x e i ⎥⎦ ⎢⎣ e i R x e i ⎥⎦ ⎢⎣ e i R x e i ⎥⎦

e iH R −x1R x R −x1e i e iH R −x1e i

= =

(e iH R −x1e i )(e iH R −x1e i ) (e iH R −x1e i )(e iH R −x1e i )

1

σˆ x2 (ω i ) =

e iH R −x1e i

14/17

MVSE – PSD Estimate in Each Channel

To get the power spectral density we need to divide by the

filter’s bandwidth – for a filter of length p the BW is

approximately 1/p so our MVSE PSD estimate is:

p

Sˆ MV (ω i ) =

e iH R −x1e i

if we had it we’d probably know what the PSD is, too!!!

15/17

MVSE – Estimating The AC Matrix

⎢ ⎥ N − k −1

ˆ =⎢

R

⎢ rˆx [ −1] rˆx [0] % ⎥

⎥

rˆx [k ] = 1

N ∑ x[n + k ]x*[m]

x n=0

⎢ # % % rˆx [1] ⎥

⎢ ⎥

⎢ rˆx [ − p + 1] " rˆx [ −1] rˆx [0] ⎥⎦

⎣

Note: The p× p

AC Matrix

MUST

be Estimated

p

Sˆ MV (ω i ) = Choose p < N so that high-order ACF lag

ˆ −1e

eH R estimates are reasonably accurate.

i x i

MVSE – Comments

Implementation of MVSE:

Generally done directly on the data matrix X for efficiency

(see more advanced books)

Even with that, it is more complex than classical methods

Performance of MVSE:

Provides better resolution than classical methods

Mostly used when spiky spectra are expected

(Although, the AR methods are usually better in that case)

If not – consider either MVSE or Parametric Methods.

17/17

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