Introduction to Power Spectrum

Estimation
Prepared by: Jignesh
Chikhaliya

Outline
Introduction
Nonparametric Methods
Parametric Methods
Conclusion

Introduction
Estimate spectrum from finite number of noisy
measurements
From spectrum estimate, extract
Disturbance parameters (e.g. noise variance)
Signal parameters (e.g. direction of arrival)
Signal waveforms (e.g. sum of sinusoids)

Applications
Beamforming and direction of arrival estimation
Channel impulse response estimation
Speech compression
3

Power Spectrum
Deterministic signal x(t)
Assume Fourier transform X(f) exists
Power spectrum is square of absolute value of
magnitude response (phase is ignored)
2

Px ( f ) X ( f ) X ( f ) X * ( f )

Multiplication in Fourier domain is convolution in

time domain
Conjugation in Fourier domain is reversal and
conjugation in time

Px ( f ) X ( f ) X * ( f ) F x( ) * x* ( )
autocorrelation

Autocorrelation
Autocorrelation of x(t): rx ( ) x( ) * x* ( )
Slide x() against x*() instead of flip-and-slide
Maximum value at rx(0) if rx(0) is finite
Even symmetric, i.e. rx() = rx(-)
rx()

x(t)
1
0

Ts

Discrete-time:

-Ts

Ts
Ts

rx (k ) x(k ) * x* ( k )

Alternate definition:

N
1

*
rx (k ) lim
x
(
n

k
)
x
(
n
)

N 2 N 1
n N

Power Spectrum
Estimate spectrum if signal known at all time
Compute autocorrelation
Px ( f ) F rx ( )
Compute Fourier transform of autocorrelation

Autocorrelation of random signal n(t)

rn ( ) E n(t ) n (t ) n(t ) n* (t ) dt

rn ( ) E n(t ) n* (t ) n(t ) n* (t ) dt n( ) * n* ( )

For zero-mean Gaussian random process n(t) with

variance 2

rn ( ) E n(t ) n* (t ) 2 ( ) Pn ( f ) 2

Spectral Estimation Techniques

Spectral Estimation
Parametric

Non Parametric
Ex: Periodogram
and Welch
method

AR, ARMA based

Model fitting based
Ex: Least Squares

Subspace Based
(high-resolution)
Ex: MUSIC
and
ESPRIT

AR:
Autoregressive (all-pole IIR)
ARMA: Autoregressive Moving Average (IIR)
MUSIC: MUltiple SIgnal Classification
ESPRIT: Estimation of Signal Parameters using Rotational Invariance
Techniques
7
Slide by Kapil Gulati, UT Austin, based on
slide by Alex Gershman, McMaster University

Periodogram
Power spectrum for wide-sense stationary
random process:
P e r (k )e
j

jk

For ergodic process with unlimited amount

N
1

*
of data:
rx (k ) lim
x ( n k ) x ( n)
N

2 N 1 n N

Truncate data using rectangular window

x N (n) wR (n) x(n)

1
j
j 2

Pper (e )
X N (e )
N

N number of samples
wR(n) rectangular window
N = 16384; % number of samples
gaussianNoise = randn(N,1);
plot( abs(fft(gaussianNoise)) .^ 2 );

approximate
noise floor
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Evaluating Spectrum Estimators

As number of samples grows, estimator
should approach true spectrum
Unbiased:
Variance:

lim E Pper (e j ) Px (e j )

lim Var Pper (e j ) 0

Periodogram (unbiased)
Bias
Variance
Resolution

Barlett window is
centered at origin and
has length of 2N+1
(endpoints are zero)

1
j

E Pper (e )
Px (e j ) *WBartlett (e j )
2
Var Pper (e j ) Px2 (e j )
2
0.89

Modified Periodogram
Window data with general window
Trade off main lobe width with side lobe attenuation
Loss in frequency resolution

Modified periodogram (unbiased)

Bias
Variance
Resolution

1
j
j 2
Px (e ) * W (e )
2 N Ew
Var Pmod (e j ) Px2 (e j )
Ew is normalized
2
energy in window
Cbw

E Pmod (e j )

Cbw is 0.89 rectangular, 1.28 Bartlett, 1.30 Hamming

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