2-FFT-Based Power Spectrum Estimation

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DSP
Professor A G Constantinides 1
Power Spectral Estimation

The purpose of these methods is to
obtain an approximate estimation of the
power spectral density of a
given real random process
) (
e j
yy
e u
} {
n
y
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DSP
Autocorrelation
The autocorrelation sequence is

The pivot of estimation is the Wiener-
Khintchine formula (which is also known
as the Einstein or the Rayleigh formula)
]} [ ] [ { ] [ n y n m y E m
yy
+ = |
= u
+
=

m
jm
yy
j
yy
e m e
e e
| ] [ ) (
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DSP
Classification
The crux of PSD estimation is the determination of
the autocorrelation sequence from a given process.
Methods that rely on the direct use of the given
finite duration signal to compute the autocorrelation
to the maximum allowable length (beyond which it
is assumed zero), are called Non-parametric
methods
Methods that rely on a model for the signal
generation are called Modern or Parametric
methods.
Personally I prefer the names Direct and Indirect
Methods
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Classification & Choice

The choice between the two options is
made on a balance between simple and
fast computations but inaccurate PSD
estimates Vs computationally involved
procedures but enhanced PSD estimates
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Direct Methods & Limitations
Apart from the adverse effects of noise,
there are two limitations in practice
Only one manifestation , known
as a realisation in stochastic processes, is
available
Only a finite number of terms, say ,
is available

]} [ { n y
1 2 + N
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DSP
Assumptions
Assume to be
Ergodic so that statistical expectations can
be replaced by summation averages
Stationary so that infinite averages can be
estimated from finite averages
Both of these averages are to be derived
from
]} [ { n y
]} [ { n y
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DSP
Windowing
Thus an approximation is necessary. In
effect we have a new signal given
by

where is a window of finite
duration selecting a segment of signal
from .
] [ ] [ ] [ n y n w n x

=
] [n w
]} [ { n y
]} [ { n x
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DSP
The Periodogram
The Periodogram is defined as

Clearly evaluations at

are efficiently computable via the FFT.
2
1
0
] [
1
) (

=

=

N
n
jn j
N
e n x
N
e I
e e
k
N
k
t
e e
2
= =

=

=
=

1
0
1
0
] [ ] [
1
) (
N
r
jr
N
n
jn j
N
e r x e n x
N
e I
e e e
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DSP
Limited autocorrelations
Let

which we shall call the autocorrelation
sequence of this shorter signal.
These are the parameters to be used
for the PSD estimation.
+ =

=
m N
n
xx
n x m n x m
1
0
] [ ] [ ] [
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DSP
PSD Estimator
It can be shown that

The above and the limited autocorrelation
expression, are similar expressions to the
PSD. However, the PSD estimates, as we
shall see, can be bad.
Measures of goodness are the bias and
the variance of the estimates?

=

=

1
) 1 (
] [
1
) (
N
N m
jm
xx
j
N
e m
N
e I
e e
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DSP
The Bias

The Bias pertains to the question:
Does the estimate tend to the correct
value as the number of terms taken
tends to infinity?
If yes, then it is unbiased, else it is biased.
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DSP
Analysis on Bias
For the unspecified window case
considered thus far, the expected value
of the autocorrelation sequence of the
truncated signal is

]} [ ] [ ] [ ] [ {
} ] [ ] [ { ]} [ {
1
0
1
0
n y n w m n y m n w E
n x m n x E m E
m N
n
m N
n
xx
+
+
=
+ =

=

=
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DSP
Analysis on Bias
or

Thus
2
1
) 1 (
) ( * ) (
2
1
]} [ {
1
)} ( {
e e
e e
t
j j
yy
N
N m
jm
xx
j
N
e W e
N
e m E
N
e I E
u =
=

=

=

=
m N
n
yy ww xx
m m m E
1
0
] [ ] [ ]} [ { |
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DSP
Analysis on Bias
The asterisk denotes convolution.
The bias is then given as the difference
between the expected mean and the
true mean PSDs at some frequency.

) ( ) ( * ) (
2
1
) ( ) ( {
2
k
j
yy
j j
yy
k
j
yy
k
j
N
e e W e
N
e e I E B
e e e
e e
t
u u
= u =
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DSP
Example
For example take a rectangular window
then ,

which, when convolved with the true
PSD, gives the mean periodogram, ie a
smoothed version of the true PSD.
2
2
) 2 / sin(
) 2 / sin(
) (
(
=
e
e
e
N
e W
j
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DSP
Example

Note that the main lobe of the window has a
width of
and hence as

we have

at every point of continuity of the PSD.
N / 2t
N
) ( )} ( { lim
e e j
yy
j
N
N
e e I E u =

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DSP
Asymptotically unbiased

Thus is an asymptotically
unbiased estimator of the true PSD.
The result can be generalised as
follows.
) (
e j
N
e I
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Windows & Estimators
For the window to yield an unbiased
estimator it must satisfy the following:
1) Normalisation condition

2) The main lobe width must decrease
as 1/N
=
1
0
2
] [
N
n
N n w
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DSP
The Variance
The Variance refers to the question on
the goodness of the estimate:
Does its variance of the estimate
decrease with N? ie does the
expression below tend to zero as N
tends to infinity?
2 2
)}) ( { ( } )) ( {( )} ( var{
e e e j
N
j
N
j
N
e I E e I E e I =
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DSP
Analysis on Variance
If the process is Gaussian then (after
very long and tedious algebra) it can be
shown that

where
A e I E e I
j
N
j
N
=
2
)}) ( { ( )} ( var{
e e
2
) ( * ) (
) ( ) ( ) (
2
1
q
t
e q
t
t
e q q
d e W e W e
N
A
j j j
yy
+
}
u =
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DSP
Analysis

Hence it is evident that as the length of
data tends to infinity the first term
remains unaffected, and thus the
periodogram is an inconsistent
estimator of the PSD.
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DSP
Example
For example for the rectangular window
taken earlier we have

where
C e I E e I
j
N
j
N
+ =
2
)}) ( { ( )} ( var{
e e
2
1
) 1 (
] [
sin
) ( sin

=

=
N
N m
yy
m
N
m N
C |
e
e
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DSP
Decaying Correlations
If has for
then for we can write above

From which it is apparent that
n
y 0 ~
yy
|
0
m m >
0
m N >>
(
|
.
|
\
|
+ u ~
2
2
sin
sin
1 ) ( )} ( var{
e
e
e e
N
N
e e I
j
yy
j
N
elsewhere e
e
e I
j
yy
j
yy j
N
t e
e
e
e
, 0
) ( 2
) (
)} ( var{
2
2
=
u
u
~
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DSP
Variance is large

Thus even for very large windows the
variance of the estimate is as large
as the quantity to be estimated!
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Smoothed Periodograms
Periodograms are therefore inadequate for
precise estimation of a PSD.
To reduce variance while keeping estimation
simplicity and efficiency, several modifications
can be implemented
a) Averaging over a set of periodograms of
(nearly) independent segments
b) Windowing applied to segments
c) Overlapping the windowed segments for
additional averaging

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DSP
Welch-Bartlett Procedure
Typical is the Welch-Bartlett procedure as
follows.
Let be an ergodic process from which we
are given data points for the signal .
1) Divide the given signal into
blocks each of length .
2) Estimate the PSD of each block
3) Take the average of these estimates

n
y
M ] [n y
N M K / =
N
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DSP
Step 2 can take different forms for
different authors.
For the Welch-Bartlett case the
periodogram is suggested as

2
1
0
] [
1
) (

=

=

N
n
jn
r
j r
N
e m x
N
e I
e e
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DSP
where the segment is a
windowed portion of

And is the overlap.
(Strictly the Bartlett case has a
rectangular window and no overlap).

] [n x
r
n
y
)] ( [ ] [ ] [
0
N N r n y n w n x
r
+ =
0
N
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DSP
Comments
FFT-based Spectral estimation is limited by
a) the correlation assumed to be zero beyond the
measurement length and
b) the resolution attributes of the DFT.
Thus if two frequencies are separated by
then a data record of length

is required.
(Uncertainty Principle)
e A
e t A > / 2 N
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Narrowband Signals
The spectrum to be estimated is some cases
may contain narrow peaks (high Q
resonances) as in speech formants or
passive sonar.
The limit on resolution imposed by window
length is problematic in that it causes bias.
The derived variance formulae are not
accurate

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