Spectrum Estimation

Presentation by
Dr. K.Muthumeenakshi Asso.Prof / ECE
SSN College of Engineering
 Spectral Estimation
• Non Parametric Methods
– Periodogram method
– Modified periodogram method
– Bartlett’s method
– Welch method
– Blackmann Tukey method
• Parametric Methods
– ARMA model
– AR model
– MA model
 Spectral Estimation
• Non parametric method /Classical method
– Find autocorrelation from the data set
– Use Wiener Khinchine theorem to find its power
spectrum
• Parametric / Non classical method
– Use of a model to estimate the power spectrum
– ARMA
– AR
– MA
 Performance of an Estimator
• Based on
– Bias
– Variance
 Performance of an Estimator
• Based on
– Bias
– Variance
• Bias
Bias is defined as,

Estimator is said to be unbiased if,

Estimator is said to be asymptotically unbiased if,

 Performance of an Estimator
• Variance:
If the variance goes to zero as N -> , then the
estimator is said to be consistent.
 Performance of an Estimator
• Variance:
If the variance goes to zero as N -> , then the
estimator is said to be consistent.

• Another form of convergence: Mean square sense

 Periodogram Estimator
• The power spectrum of a WSS process is the Fourier transform
of the autocorrelation sequence,

• Spectrum estimation – autocorrelation estimation problem.

 Periodogram Estimator
• The power spectrum of a WSS process is the Fourier transform
of the autocorrelation sequence,

• Spectrum estimation – autocorrelation estimation problem.

• For an autocorrelation ergodic process with large data records,
 Periodogram Estimator
• For finite data,
 Periodogram Estimator
• For finite data,

• To exclude data that falls outside [0, N-1],

 Periodogram Estimator
• Using conjugate symmetry of autocorrelation,

• is defined as the estimate of the power spectrum and

called periodogram.
 Periodogram Estimator
• To express the periodogram in terms of x[n],
 Periodogram Estimator
• To express the periodogram in terms of x[n],
 Periodogram Estimator
• To express the periodogram in terms of x[n],
 Periodogram Estimator
• To express the periodogram in terms of x[n],
 Periodogram Estimator
• To express the periodogram in terms of x[n],

where,
 Periodogram Estimator
Thus the periodogram is proportional to the squared magnitude of the DTFT of
xN(n) and may be computed using a DFT as follows:
 Example 1
white noise process
amplitude 5

-5
0 5 10 15 20 25 30 35 40 45 50
samples
autocorrelation
100
amplitude

50

-50
-50 -40 -30 -20 -10 0 10 20 30 40 50
samples
power spectrum
magnitude(dB)

-2

-4

0 0.5 1 1.5 2 2.5 3 3.5

frequency(units of pi)
 Example 1
white noise process
amplitude 5

-5
0 20 40 60 80 100 120 140 160 180 200
samples
autocorrelation
200
amplitude

100

-100
-200 -150 -100 -50 0 50 100 150 200
samples
power spectrum
2
magnitude(dB)

-2

-4

0 0.5 1 1.5 2 2.5 3 3.5

frequency(units of pi)
 Example 2
sine (200Hz) + white noise process
amplitude 2

-2
0 10 20 30 40 50 60 70 80 90 100
samples
autocorrelation
100
amplitude

50

-50
-100 -80 -60 -40 -20 0 20 40 60 80 100
samples
power spectrum
0.06
magnitude(dB)

0.04

0.02

0
0 50 100 150 200 250 300 350 400 450 500
frequency
 Example 2
sine (200Hz) + white noise process
amplitude 2

-2
0 50 100 150 200 250 300 350 400 450 500
samples
autocorrelation
500
amplitude

-500
-500 -400 -300 -200 -100 0 100 200 300 400 500
samples
power spectrum
0.2
magnitude(dB)

0.1

0
0 50 100 150 200 250 300 350 400 450 500
frequency
 Performance of the Periodogram
• Mean square convergence,
 Performance of the Periodogram
• Mean square convergence,

which implies,
 Periodogram bias
• To compute the bias, we first evaluate the
expected value of
 Periodogram bias
• To compute the bias, we first evaluate the
expected value of
 Periodogram bias
• To compute the bias, we first evaluate the
expected value of
 Periodogram bias
• Using the conjugate symmetry of
 Periodogram bias
• Using the conjugate symmetry of
 Periodogram bias
• Using the conjugate symmetry of

Therefore, is a biased estimate.

 Periodogram bias
• The expected value of the periodogram is,
 Periodogram bias
• The expected value of the periodogram is,
 Periodogram bias
• The expected value of the periodogram is,
 Periodogram bias
• The expected value of the periodogram is,
 Periodogram bias
• The FT of the Bartlett’s window is,
 Periodogram bias
• The FT of the Bartlett’s window is,
 Periodogram bias
• The FT of the Bartlett’s window is,
 Variance of the Periodogram
• Variance of the periodogram depends on the fourth
order moments, so we consider x[n] as a white noise
process,
 Variance of the Periodogram
• Variance of the periodogram depends on the fourth
order moments, so we consider x[n] as a white noise
process,
 Variance of the Periodogram
• Variance of the periodogram depends on the fourth
order moments, so we consider x[n] as a white noise
process,
 Variance of the Periodogram
• The second order moment of the periodogram,
 Variance of the Periodogram
• The second order moment of the periodogram,

• Using moment factoring theorem,

 Variance of the Periodogram
• The first term becomes,
 Variance of the Periodogram
• The first term becomes,

• The second term,

 Variance of the Periodogram
• The first term becomes,

• The second term,

 Variance of the Periodogram
• The first term becomes,

• The second term,

 Variance of the Periodogram
• Combining the first and second terms,
 Variance of the Periodogram
• Combining the first and second terms,

• We have the covariance of the periodogram,

 Variance of the Periodogram
• As,
 Variance of the Periodogram
• As,

• Setting
Performance of the Periodogram