2-FFT-based Power Spectrum Estimation

AGC
DSP Power Spectral Estimation
The purpose of these methods is to

obtain an approximate estimation of the
j
power spectral density yy (e ) of a
given real random process { yn }
Professor A G Constantinides 1
AGC
DSP Autocorrelation
The autocorrelation sequence is
yy [m] E{ y[m n] y[n]}
The pivot of estimation is the Wiener-
Khintchine formula (which is also known
as the Einstein or the Rayleigh formula)

j jm
yy (e ) yy [m]e
m
AGC
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
AGC
DSP 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
AGC
DSP Direct Methods & Limitations
Apart from the adverse effects of noise,
there are two limitations in practice
Only one manifestation { y [ n]} , known

as a realisation in stochastic processes, is
available
Only a finite number of terms, say 2 N 1 ,
is available
AGC
DSP Assumptions
Assume { y[n]} 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
{ y [n]}
AGC
DSP Windowing
Thus an approximation is necessary. In
effect we have a new signal {x[n]} given
by
x[n] w[n] y [n]
where w[n] is a window of finite

duration selecting a segment of signal
from { y [n]}.
AGC
DSP The Periodogram
The Periodogram is defined as
N 1 2
1
I N (e j ) x[ n ]e jn
N n 0
j1 N 1 jn
N 1
jr
I N (e ) x[n]e x[r ]e
N n 0 r 0
Clearly evaluations at
2
k k
N
are efficiently computable via the FFT.
AGC
DSP Limited autocorrelations
Let
N 1 m
xx [m] x[n m ]x[n]
n 0
which we shall call the autocorrelation

sequence of this shorter signal.
These are the parameters to be used
for the PSD estimation.
AGC
DSP PSD Estimator
It can be shown that
j 1 N 1 jm
I N (e ) xx [ m ]e
N m ( N 1)
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?
AGC
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.
AGC
DSP Analysis on Bias
For the unspecified window case
considered thus far, the expected value
of the autocorrelation sequence of the
truncated signal is
N 1 m
E{ xx [m]} E{ x[n m ]x[n]}
n 0
N 1 m
E{w[n m ] y[n m ]w[n] y[n]}
n 0
AGC
N 1 m
or
E{ xx [m]} ww [m] yy [m]
n 0
Thus
j 1 N 1 jm
E{I N (e )} E { xx [ m ]}e
N m ( N 1)
1 j j 2
yy (e ) * W (e )
2N
AGC
The asterisk denotes convolution.
The bias is then given as the difference
between the expected mean and the
true mean PSDs at some frequency.
j k j k
B E{I N (e ) yy (e )
1
yy (e ) * W (e ) yy (e jk )
j j 2
2N
AGC
DSP Example
For example take a rectangular window
then ,
2
j 2 sin( N / 2)
W (e )
sin( / 2)
which, when convolved with the true
PSD, gives the mean periodogram, ie a
smoothed version of the true PSD.
AGC
DSP Example
Note that the main lobe of the window has a

width of 2 / N
and hence as N
j j
we have lim E{I N (e )} yy (e )
N
at every point of continuity of the PSD.
AGC
DSP Asymptotically unbiased
j
Thus NI ( e ) is an asymptotically
unbiased estimator of the true PSD.
The result can be generalised as
follows.
AGC
DSP Windows & Estimators
For the window to yield an unbiased
estimator it must satisfy the following:
1) Normalisation condition
N 1
w [ n] N
2
n 0
2) The main lobe width must decrease

as 1/N
AGC
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?
j j j
var{I N (e )} E{( I N (e )) } ( E{I N (e )})
2 2
AGC
DSP Analysis on Variance
If the process is Gaussian then (after
very long and tedious algebra) it can be
shown that
var{I N (e j )} ( E{I N (e j )}) 2 A
where
2
1 j j ( ) j ( )
A
yy ( e )W ( e )W *
( e )d
2N
AGC
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.
AGC
DSP Example
For example for the rectangular window
taken earlier we have
j j
var{I N (e )} ( E{I N (e )}) C
2
where
sin ( N m )
2
N 1
C yy [m]
m ( N 1) N sin
AGC
DSP Decaying Correlations
If yn has yy 0 for m m0
then for N m0 we can write above
j j sin N
2
var{I N (e )} yy (e ) 1
2

N sin
From which it is apparent that
j
j
yy (e ) 0,
2
var{I N (e )} j
2 yy (e ) elsewhere
2
AGC
DSP Variance is large
Thus even for very large windows the

variance of the estimate is as large
as the quantity to be estimated!
AGC
DSP 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
AGC
DSP Welch-Bartlett Procedure
Typical is the Welch-Bartlett procedure as
follows.
Let yn be an ergodic process from which we
are given M data points for the signal y[n] .
1) Divide the given signal into K M / N
blocks each of length N .
2) Estimate the PSD of each block
3) Take the average of these estimates
AGC
Step 2 can take different forms for
different authors.
For the Welch-Bartlett case the
periodogram is suggested as
N 1 2
j 1 jn
r
IN (e ) xr [m]e
N n 0
AGC
where the segment xr [n] is a
windowed portion of yn
xr [n] w[n] y[n r ( N N0 )]
And N0 is the overlap.

(Strictly the Bartlett case has a
rectangular window and no overlap).
AGC
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
N 2 /
is required.
(Uncertainty Principle)
AGC
DSP 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

2-FFT-based Power Spectrum Estimation

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AGC

DSP Power Spectral Estimation

The purpose of these methods is to

The choice between the two options is

where w[n] is a window of finite

which we shall call the autocorrelation

The Bias pertains to the question:

Note that the main lobe of the window has a

at every point of continuity of the PSD.

2) The main lobe width must decrease

Hence it is evident that as the length of

Thus even for very large windows the

And N0 is the overlap.

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