IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 44, NO.

9, SEPTEMBER 1996

The processing was carried out line by line and the reconstructed
image using BIRA on A,(m) - B,(m) obtained from (29) and
(30) is shown in Fig. l(c). The reconstructed image in Fig. l(c) is
appropriately scaled and displayed after 150 iterations.

VI. CONCLUSION
In this correspondence, we have presented a procedure for phaseOnly
deconvolution Of
that have been
with
linear-phase Or zero-phase sequence utilizing bicepstrum iterative
reconstruction algorithm. The method is computationally sxmpler,
since it does not require any phase unwrapping.
ACKNOWLEDGMENT

2359

Analysis of MUSIC and ESPRIT Frequency Estimates for

Sinusoidal Signals with Lowpass Envelopes
Olivier Besson and Petre Stoica

Abstract-In this correspondence, the MUSIC and ESPRIT frequency

estimates of sinusoidal signals with lowpass envelopes are analyzed. To
achieve computational simplicity, the frequency estimation is conducted
as if the signal had a constant amplitude. The aim of the correspondence is
to analyze the degradation of performance induced by the aforementioned
mismodeling. Unified expressions for the bias and variances of the MUSIC
and ESPRIT frequency estimators are derived under the hypothesis of
small bandwidth of the signal envelope. Numerical simulations illustrate
the agreement between theoretical and empirical results and study the
influence of the envelope bandwidth on the frequency estimation performance.

The authors would like to thank the anonymous reviewer for

valuable comments.

I. PROBLEM
STATEMENT
In many applications (see [2], [9] and references therein), it is
of interest to estimate the angular frequency W O of the following
sinusoidal signal with varying amplitude/envelope

REFERENCES
A. P. Petropulu and C. L. Nikias, Signal reconstruction from the phase
of the bispectrum, IEEE Trans. Signal Processing, vol. 40, no. 3, pp.
601-610, Mar. 1992.
C. L. Nikias and M. R. Raghuveer, Bispectrum estimation: A digital
signal processing framework, Pruc. IEEE, vol. 75, no. 7, pp. 869-891,
July 1987.
J. K. Tugnait, Approaches to FIR system identification with noisy
data using higher order statistics, IEEE Trans. Acoust., Speech, Signal
Processing, vol. 38, no. 7, pp. 1307-1317, July 1990.
G. Sundaramoorthy, M. R. Raghuveer, and S. A. Dianat, Bispectral
reconstruction of signals in noise: amplitude reconstruction issues,
IEEE Trans. Acoust., Speech, Signal Processing, vol. 38, no. 7, pp.
1297-1306, July 1990.
C. L. Nikias and A. P. Petropulu, Higher-Order Spectral Analysis:
A Nonlinear Signal Processing Framework. Englewood Cliffs, NJ:
Prentice-Hall, 1993.
D. Hatzinakos, Blind equalization using decision feedback prediction
and tricepstrum principles, Signal Processing, vol. 36, no. 3, pp.
261-276, 1994.
M. H. Hayes, J. S. Lim, and A. V. Oppenheim, Signal reconstruction
from the phase or magnitude, IEEE Trans. Acoust., Speech, Signal
Processing, vol. ASSP-28, pp. 672-680, Dec. 1980.
A. V. Oppenheim and R. W. Schafer, Discrete-Time Signal Processing.
Englewood Cliffs, NJ: Prentice-Hall, 1989.

y(t) =

a ( t ).

t = 1.2,. . .

(1)

where a ( f ) is a random process. Typically, the envelope a ( t ) in

(1) is lowpass (as for radar echoes returned by the track from anboard radar [l] or with slowly fluctuating targets). More exactly,
the cut-off frequency of the spectrum of a ( t ) is much smaller than
W O . In other words, ( I ) is a narrowband signal (but not a pure
sinewave). Although the estimation of the parameters of constant
amplitude sinusoidal signals has received considerable attention in
the literature for a long time (see, e.g., [6] and [7]), only recently
has attention been paid to signals of the form (1) (see [9] and the
references therein for related work). However, in the published studies
of (l), specific forms or properties of a ( t ) are assumed and used
in the frequency estimation. This generally leads to accurate but
computationally burdensome estimates. In some applications, cv( f)
in (1) is known to be very lowpass, and few methods exploit this
fact to advantage. Our main goal herein is to develop frequency
estimators that make use of the a priori information that a ( t ) is
very lowpass to acheive computational simplicity. More exactly, we
propose to estimate W O in (I) by using either MUSIC or ESPRIT
frequency estimators as if a ( t ) were constant (see [3] for a similar
approach). However, both are biased: The larger the bandwith of (1)
(compared with W O ) , the more heavily biased these estimators are. We
derive the bias of these frequency estimators under the assumption
of small envelope bandwith. Additionally, the analysis to follow
derives expressions for the asymptotic (large-sample) variances of
the estimates.

Manuscript received March 13, 1995; revised November 1, 1995. The

associate editor coordinating the review of this paper and approving it for
publication was Dr. Monique Fargues.
0. Besson is with the Department of Avionics and Systems, Jkole Nationale
Superieure dIng6nieurs de Constructions ACronautiques, 3 1056 Toulouse,
France (e-mail: besson@ensica.fr).
P. Stoica is with the Systems and Control Group, Uppsala University, Box
27, S 751 03 Uppsala, Sweden.
Publisher Item Identifier S 1053-587X(96)06652-4.

1053-5871(/96$05.00 0 1996 IEEE

2360

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00

m(tj =

(2)

hnejt - I ; )

R=

h=0

bl

-E

Y(t)

Y(f+1)

1=1

where the weighting coefficients { h k } decrease exponentially to

-!At

+m

1)-

(4) where ) :1 stands for the Hadamard matrix product and where the
The assumption that a ( t ) is a very slowly varying signal can be
k , p element of I? is given by r(I;,p)= /?k-l,,]-l
- 1. Under
expressed mathematically as 11 - p k 1 << 1, k = 1 . . . m for some
the assumption made, f. isAamatrix with small elements (or small
T I ) > 1. Let us define the sample autocorrelations of the process a ( t )
norm). Hence, the matrix R in (12) has the structure exploited by
MUSIC and other eigenanalysis-based frequency estimators: a low(5) rank term that uniquely determines the frequency plus a full-rank,
small perturbation term. Let S be the unit-norm principal eigenvector
The following proposition is needed in order to derive the variance of R. Then, spectral-MUSIC determines the frequency estimate as
of the proposed frequency estimates.
1
2 = argmaxf(W).
w
f(w) = 21aH(w).i/2
(13)
Proposition I [2], [8]: The asymptotic covariance matrix of the
errors { f l ( j k - p k ) } is given by
which, evidently, yields the true value W O in the limit as /\All+ 0.
For IlAll # 0, the MUSIC estimate above differs from W O , and
the purpose of the following analysis is to establish the asymptotic
bias (as llAll 3 0) and variance (as 1
1
4
1
1 -+ 0 and N 4 m )
of 3. According to a standard (asymptotic) Taylor series expansion
analysis [6],the estimation error in the MUSIC estimate 3 is (for
small \ \ A \ \ given
)
by

with
f r r ( d o )= Re[d"(cjo)Oi"d(wo)

+ d r H ( ~ O ) s ~ H a ( w ~ (16)
)].

The symbol z is used to denote a first-order approximate equality

1
4
1
1 -+ 0, at a faster rate
where the negelected terms tend to zero, as 1
than the retained terms. First, we derive an asymptotic approximation
of f " ( i j 0 ) . From (12), it is evident that i converges to a ( w o ) as
IlAll 4 0. Therefore, one can write

111. ANALYSIS
OF THE FREQUENCY
ESTIMATES

A. Analysis of MUSIC Frequency Estimate

Since a ( t )is nearly constant (in not too long a time interval), one
can try to use MUSIC [5], [6] for frequency estimation of the signal
in (1) in the conventional way (i.e., as if the sinusoidal signal had a
constant amplitude). First, observe that (for M = N - m 1)

f " ( ~ o )=: Re[dH ( W o ) a ( w ) a H (wo)d(wo)

+ d ' H ( i j )~a ( w ~ ) a ~ ( ~ o ) a ( u ~ ) ]

7n2 - 1
-~
12 .

(17)

Next, we derive a more convenient asymptotic approximation of

./'(do), in which the dependence on B is replaced by an explicit
dependence on the error A . We have
f'(u~0)

where

= Re[dH(~o)SBHa(wo)]
"N

(10)

Clearly, f i k , p is close to 5 k - p : They only differ from one another

by a term that is of order 1l-V in probability. Hence, fib+ and b h - p

Re[,\dH (

L . ~ ) B S ~ ~ ( W ~ ) ]

= Re[dx ( w o ) R s s H a ( ~ )]
o

+ A]ssHa(wo)]
)SI2 + d H ( w ~ ) A s s H a ( w o ) ]

= Re[dH(wo)[a(wo)af'(wo)
= Re[dH (wo)a(W O )(a(W O

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IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 44, NO. 9, SEPTEMBER 1996

MSE OF ESPRIT FREQUENCY ESTIMATE

1.0aE-03

rho1=rh02=0.98

N=400
m=10

** *

f 1 =6e-3

'* *

2.mE-03

1 .XIEM

8.00E-03

6.ooE-03

4.0aE-03

f2
-

Theory

Simulation

Fig. 1. Theoretical and empirical MSE of ESPRIT frequency estimate in case 1 versus

Re[dH (w0)Aa(wo)aH( W O

)]

Inserting (17) and (18) in (14) leads to

;-WOE

4 & c;.

(18)

12.Re[dH(wo). A.a(wo)]
m2 - 1

N = 400, m = 10, pi = p 2 = 0.98,

The ESPRIT estimate of

equation:

= Re[dH(~o)AsiHa(~o)]

= Re[dH (wo)Aa(wo )] .

fi.

(19)

?J'

WO

fi

= -0 006

is obtained from the following

p1 s 2 .

(SHA
1 s1) - I ,

(25)

As 11 All decreases, th,e vectors i 1 , i ~converge, respectively, to ai

and a 2 . Accordingly, q5 above converges to e J W o .A first-order Taylor
series expansion allows us to write

fi . e''

From the definitions of a(w) and A , it is readily verified that

- eJ-0 z eJwO . { p - 1

+j(& -

WO)}

(26)

Hence, we finally obtain

($ - e J d o

With qH ( a r a l ) - l a p { [ O
observe that
From (6) and (7) and (21) and (22), along with the fact that
{ I ~ [ z ] }=~$Re[m*- 2 1 , the asymptotic variance of the frequency
estimate is obtained as
as var(h) =

72
'

7n4(m2 -

( k - 1)(2 - 1)

#a(uo)

= (a?al)-'aP{[o
-1

- eJWo[Im-l 01)

L-11

I ~ . , -~ IeJwOIIm--l

= (aFa1) a, {a2- ~

. a1}
~
O = o

which in tum implies that

J=l

q H R= qNa(Wo)aH(uo) qHa= q H ~ .

Under the hypothesis of small A , we therefore can write

B. Analysis of ESPRIT Frequency Estimate

In this section, we derive expressions for the mean and variance

of the ESPRIT frequency estimate of the signal in (1) (see, e.g., [4]
and [6] for general discussions on ESPRIT). Define
a1 = [ITn-,O]a(wo)
SI

= [Im-l 01s

az = [O Iln--l] a ( ~ o )
s 2 = [O
Im-1 ]B.

(29)

(24)

8- p

qffs

qff&

=vH.A.5
M

qH . A . a(wo)

(30)

where to obtain the second equality, we made use of the fact that
the principal eigenvalue of R associated with B goes to one as

IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 44, NO. 9, SEPTEMBER 1996

2362

1.00E-03

rhoI=rho2=0.98
fl=-6e-3

N=400
m=10
D U O

2.00E-03

O.COE+CQ

4.COE-03

1O
. OEM

B.CQE-03

6.00E-03

f2
Theory

Simulation

Fig. 2. Theoretical and empirical MSE of MUSIC frequency estimate in case 1 versus

f2.

N = 400,

172

= 10,p~ = pz = 0.98,f l = -0.006.

MSE OF ESPRIT FREQUENCY ESTIMATE

1.00E-03 -

m=IO

rho1d.98

fl=-6e-3

1.WE44

2.CQE-03

O.CQE+OO

4.CQE-03

6.CQE-03

1.CQEU2

8.00E-93

f2

Fig 3

Theory

Simulation

Theoretical and empirical MSE of ESPRIT frequency estimate in case 2 versus f z

\\All i0. Inserting the previous equation in (26) leads to the

following expression for the error of the ESPRIT frequency estimate
.A

G - W O N Im{,P

. a(w,)}

(31)

with d A e l w o . q = f
i. [-1 0 . . . 0 eJ(n-l)wo]T By using the
m--1
expressions of q ,al,az, one can show that

in

= 10, p i = 0 98,pz = 0 95,fl = -0 006

From (32), we also obtain the asymptotic variance of the ESPRIT

frequency estimate
as var(&)

1
2m2(?ik -

Therefore, the asymptotic bias of ESPRIT estimate is given by

N = 400,

1%-p

772-n

Ul-p,m--tL

U1-p.1--n

- l--p,l--7,]

p n=1

as bias(&) N
-

1
N771 -

1)

Im

.{

(34)
l - ~ ]

p=l

E
m ( m - 1)
2

[p77z--p- ~

~m[p~~-~].

(33)

In closing this section, we note that the previous bias analysis results
can be presented in a unified manner as follows. Defining y 5
[Im(pl).. . . . Im(p7n-I) I T , a 2i [ a l , .. . .
the bias expressions

IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 44, NO. 9, SEPTEMBER 1996

2363

MSE OF MUSIC FREQUENCY ESTIMATE

Nd00

rho2=0.95

m=10

rho1=0.98

bo

fl=-6e-3

1 00E-04

0.00E+M3

4 00E-03

2.00E-03

1.ooE-o2

8.OoEd3

6.ooE-03

f2
-

Theory

Simulation

Fig 4 Theoretical and empirical MSE of MUSIC frequency estimate in case 2 versus

f2

N = 400, m = 10, p 1

= 0 98, p 2 = 0 95, f l = -0.006

INFLUENCE OF m ON THE BIAS

-1 SOE-02

NA00

rho1=0.98,rho2=0.95

- I ,758-02

.....

..-

.- ..

f 1=-6e-3,fMe-3
-2.00E-02

-2.258-02

-2.50E-02

10

30

20

m
ESPRlTTheory

----C

Simulation

MUSICTheory

Simulation

Fig. 5. Theoretical and empirical bias of ESPRIT and MUSIC frequency estimates versus 972. N = 400, p1 = 0.98, p2 = 0.95, f l = -0.006,

(22) and (33) can be rewritten in the form

as bias(;)

=aTy

(35)

&

where a , = ~
~ for MUSIC
~
and ~at = ~
for~ESPRIT.'
Remark: Note that for m = 2, the MUSIC estimate is known
as the Pisarenko frequency estimate. Additionally, for m = 2, the
MUSIC estimate is equivalent to an autoregressive estimate of order
1.

IV. NUMERICAL
RESULTS

In this section, numerical simulations are presented to illustrate a)

the validity of the theoretical results and b) the relative performance
of the two estimates. To this end, Monte-Carlo simulations were run.
The envelope was chosen as a complex AR(2) process with poles

f2

= 0.004

{ p l . e 3 2 T f 1 . p 2 . e J Z T f z }The
.
frequency UJO was equal to 2 ~ 0 . 1 8 .
The number of samples was selected as N = 400, and the value of
T I L was fixed to ni = 10. Two cases are considered:
Case 1: p l = p~ = 0.98, f l = -0.006.
~ 0.95, fl = -0.006. f 2 was varied
Case
~ 2: p1l = 0 . 9 8 , ~=
between 0 and 0.01. Two hundred Monte Carlo simulations were run
to estimate the MSE of the estimators. Figs. 1 4 show the MSE's for
ESPRIT and MUSIC for varying f 2 .
As can be seen from these figures, the empirical results are in good
agreement with the theory. In addition, note the different forms of the
curves from case 1 to case 2. In the first case, when f~ z - f l , the
estimates are unbiased: This corresponds to a real-valued envelope
correlation. It should be pointed out that the squared bias term is
larger than the variance when f ~is, not too close to - f l . In case 2,
it can be observed that the squared bias is more severe than in case
1 and always constitutes the predominant term of the MSE. This is

IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 44, NO. 9, SEPTEMBER 1996

2364

INFLUENCE OF m ON THE VARIANCE

rhol=0.98, rho2=0.95
fl=-6e-3, f2=4e-3

1.OOE-05

10

15

20

25

30

m
ESPRIT Theory

--e--

Simulation

MUSIC Theory

Simulation

Fig 6 Theoretical and empirical variance of ESPRIT and MUSIC frequency estimates versub m fV = 400, p1 = 0 98,
f z = 0 004

due to the fact that the envelope varies faster and that the envelope
correlation can no longer be real-valued.
Next, we study the influence of m on the bias of ESPRIT
and MUSIC. The envelope parameters are now p l = 0 . 9 8 . ~=~
0.95.fl = - 0 . 0 0 6 , f . ~ = 0.004. The number of data samples is
AT = 400, and m is varied between 2 and 30. Figs. 5 and 6 display
the bias and variance of the estimates.
It is observed that increasing m does not significantly improve
the estimation, in contrast to what has been noticed in the constant
amplitude case. The empirical bias is shown to increase with m,
whereas the variance slightly decreases. In addition, the agreement
between theoretical and empirical results becomes poorer as m
increases (especially for the bias, which theoretically decreases as
m increases). This is due to the fact that as m increases, the
assumption of a constant envelope over m samples is increasingly
less valid. Consequently, the theoretical analysis does not predict
well the empirical results for large m.

V. CONCLUSION
In this correspondence, we analyzed the MUSIC and ESPRIT
estimates of sinusoidal signals with lowpass envelopes. The frequency
estimation was conducted as if the envelope was constant, hence,
leading to a modeling error. Under the assumption of slowly varying envelope, theoretical expressions for the bias and variance of
the estimates were derived. Unified expressions for the bias were
proposed. Numerical simulations showed a good agreement between
theoretical and empirical results. The bias of the estimates was seen to
be important. It was also observed that the squared bias is generally
superior to the variance, especially when the envelope is not slow
or when it is not circularly symmetric. Finally, to circumvent the
modeling error and improve the estimator performance, MUSIC and
ESPRIT should be modified to take into account the variation of the
envelope.
REFERENCES
[ l ] 0 Besson and F Castanik, On estimating the frequency of a sinusoid
in autoregressive multiplicative noise, Signal Processing, vol 30, pp
65-83, Jan 1993

p2

= 0 95,

fl

= -0 006,

0. Besson and P. Stoica, Modeling errors in AR, MUSIC and ESPRIT

frequency estimators for sinusoidal signals with lowpass envelopes,
Tech. Rep. 95097R, Uppsala Univ., Sept. 1995.
W. Chen, G. Zhou, and G. B. Giannakis, Velocity and acceleration
estimation of Doppler weather radadlidar signals in colored noise, in
Proc. ICASSP95, May 1995, pp. 2052-2055.
R. Roy and T. Kailath, ESPRIT-estimation of signal parameters via
rotational invariant techniques, IEEE Trans. Acoust., Speech, Signal
Processing, vol. 37, no. 7, pp. 984-995, July 1989.
R. 0. Schmidt, Multiple emitter location and signal parameter estimation, IEEE Trans. Antennas Propagut., vol. AP-34, pp. 276-280, Mar.
1986.
P. Stoica and T. Soderstrom, Statistical analysis of MUSIC and
subspace rotation estimates of sinusoidal frequencies, IEEE Trans.
Signal Processing, vol. 39, no. 8, pp. 1836-1847, Aug. 1991.
P. Stoica, T. Soderstrom, and F. Ti, Asymptotic properties of the highorder Yule-Walker estimates of sinusoidal frequencies, IEEE Trans.
Acoust., Speech, Signal Processing, vol. 37, no. 11, pp. 1721-1734,
Nov. 1989.
T. Soderstrom and P. Stoica, System Identificution. London: PrenticeHall Int., 1989.
G. Zhou, Random amplitude and polynomial phase modeling of
nonstationary processes using higher-order and cyclic statistics, Ph.D.
Dissertation, Univ. of Virginia, Jan. 1995.