Adsp Unit 3 5

12 POWER SPECTRUM ESTIMATION
12.1 Estimation of Spectra from Finite -Duration Observations of Signals 896

12.1.1 Computation of the Energy Density Spectrum. 897
12.1.2 Estimation of the Autocorrelation and Power Spectrum of Random Signals: The Periodogram. 902
12.1.3 The Use of the DFT in Power Spectrum Estimation, 906
12.2 Non parametric Methods for Power Spectrum Estimation 908
12.2.1 The Bartlett Method: Averaging Periodograms, 910
12.2.2 The Welch Method: Averaging Modified Periodograms, 911
12.2.3 The Blackman and Tukey Method: Smoothing the Periodogram, 913
12.2.4 Performance Characteristics of Nonparametric Power Spectrum Estimators, 916
12.2.5 Computational Requirements of Nonparametric Power Spectrum Estimates, 919
12.3 Parametric Methods for Power Spectrum Estimation 920

12.3.1 Relationships Between the Autocorrelation and the Model Parameters, 923
12.3.2 The Yule-Walker Method for the A R Model Parameters, 925
12.3.3 The Burg Method for the AR Model Parameters, 925
12.3.4 Unconstrained Least-Squares Method for the A R Model Parameters, 929
12.3.5 Sequential Estimation Methods for the A R Model Parameters, 930
12.3.6 Selection of AR Model Order, 931
12.3.7 MA Model for Power Spectrum Estimation, 933
12.3.8 ARM A Model for Power Spectrum Estimation, 934
12.3.9 Some Experimental Results, 936
a 12 Power Spectrum Estimation
In th is c h a p te r w e a r e c o n c e r n e d w ith th e e s tim a tio n o f th e s p e c t r a l c h a r a c te r is tic s

o f s ig n a ls c h a r a c te r iz e d as r a n d o m p r o c e s s e s . M a n y o f th e p h e n o m e n a th a t o c c u r
in n a tu r e a r e b e s t c h a r a c te r iz e d s ta tis tic a lly in te r m s o f a v e r a g e s . F o r e x a m p le ,
m e t e o r o lo g ic a l p h e n o m e n a s u c h a s th e flu c tu a tio n s in a ir t e m p e r a t u r e a n d p r e s s u re
a r e b e s t c h a r a c te r iz e d s ta tis tic a lly a s ra n d o m p r o c e s s e s . T h e r m a l n o is e v o lta g e s
g e n e r a te d in r e s is to r s a n d e le c t r o n i c d e v ic e s a r e a d d itio n a l e x a m p le s o f p h y s ic a l
s ig n a ls th a t a r e w e ll m o d e le d a s ra n d o m p r o c e s s e s .
D u e to th e r a n d o m f lu c tu a tio n s in s u ch s ig n a ls , w e m u s t a d o p t a s ta tis ti
c a l v ie w p o in t, w h ich d e a ls w ith th e a v e r a g e c h a r a c t e r is t ic s o f r a n d o m s ig n a ls . In
p a r tic u la r , th e a u t o c o r r e la tio n fu n c t io n o f a r a n d o m p r o c e s s is th e a p p r o p r ia te
s ta tis tic a l a v e r a g e th a t w e w ill u se fo r c h a r a c te r iz in g ra n d o m s ig n a ls in th e tim e
d o m a in , a n d th e F o u r i e r tr a n s fo r m o f th e a u t o c o r r e la t io n f u n c t io n , w h ic h y ie ld s
t h e p o w e r d e n s ity s p e c tr u m , p r o v id e s th e t r a n s fo r m a tio n fr o m t h e tim e d o m a in t o
th e f r e q u e n c y d o m a in .
P o w e r s p e c tr u m e s tim a tio n m e t h o d s h a v e a r e la tiv e ly lo n g h is to r y . For a
h is to r ic a l p e r s p e c tiv e , th e r e a d e r is r e f e r r e d to th e p a p e r b y R o b i n s o n ( 1 9 8 2 ) a n d
t h e b o o k b y M a r p le ( 1 9 8 7 ) . O u r t r e a t m e n t o f th is s u b je c t c o v e r s t h e c la s s ic a l p o w e r
s p e c tr u m e s tim a tio n m e th o d s b a s e d o n th e p e r io d o g r a m , o r ig in a lly in tr o d u c e d by
S c h u s t e r ( 1 8 9 8 ) , a n d b y Y u l e ( 1 9 2 7 ) , w h o o r ig in a te d t h e m o d e m m o d e l- b a s e d o r
p a r a m e t r ic m e th o d s . T h e s e m e t h o d s w e r e s u b s e q u e n tly d e v e lo p e d a n d a p p lie d b y
W a lk e r (1 9 3 1 ), B a r tle tt (1 9 4 8 ), P a rz e n (1 9 5 7 ), B la c k m a n an d T u k e y (1 9 5 8 ), B u rg
( 1 9 6 7 ) , a n d o th e r s . W e a ls o d e s c r ib e t h e m e t h o d o f C a p o n ( 1 9 6 9 ) a n d m e t h o d s
b a s e d o n e ig e n a n a ly s is o f th e d a ta c o r r e l a t io n m a tr ix .
12.1 ESTIMATION OF SPECTRA FROM FINITE-DURATION

OBSERVATIONS OF SIGNALS
T h e b a s ic p r o b le m th a t w e c o n s id e r in th is c h a p t e r is th e e s t im a t io n o f th e p o w e r
d e n s ity s p e c tr u m o f a s ig n a l fr o m th e o b s e r v a t io n o f th e s ig n a l o v e r a fin ite tim e
in te r v a l. A s w e w ill s e e , th e fin ite r e c o r d le n g th o f t h e d a ta s e q u e n c e is a m a jo r
896
Sec. 12.1 Estimation of Spectra from Finite-Duration Observations of Signals 897
lim ita tio n o n th e q u a lity o f th e p o w e r s p e c tr u m e s t i m a t e . W h e n d e a lin g w ith

s ig n a ls t h a t a r e s ta tis tic a lly s ta tio n a r y , th e lo n g e r th e d a ta r e c o r d , t h e b e t t e r th e
e s t im a t e t h a t c a n b e e x t r a c t e d fr o m th e d a ta . O n t h e o t h e r h a n d , i f th e s ig n a l
s ta tis tic s a r e n o n s ta tio n a r y , w e c a n n o t s e le c t a n a r b itr a r ily lo n g d a ta r e c o r d to
e s tim a te t h e s p e c tr u m . In s u c h a c a s e , th e le n g th o f t h e d a ta r e c o r d t h a t w e
s e l e c t is d e te r m in e d b y th e ra p id ity o f th e tim e v a r ia tio n s in th e s ig n a l s ta tis tic s .
U l t i m a t e l y , o u r g o a l is t o s e le c t a s s h o r t a d a ta r e c o r d a s p o s s ib le t h a t s till a llo w s
u s t o r e s o lv e t h e s p e c tr a l c h a r a c te r is tic s o f d if f e r e n t s ig n a l c o m p o n e n ts in th e d a ta
r e c o r d t h a t h a v e c lo s e ly s p a c e d s p e c tr a .
O n e o f t h e p r o b le m s th a t w e e n c o u n t e r w ith c la s s ic a l p o w e r s p e c tr u m e s t im a
tio n m e t h o d s b a s e d o n a fin ite -le n g th d a ta r e c o r d is t h e d is to r tio n o f th e s p e c tr u m
t h a t w e a r e a tte m p tin g t o e s tim a te . T h i s p r o b le m o c c u r s in b o th th e c o m p u ta tio n
o f t h e s p e c tr u m f o r a d e te r m in is tic s ig n a l a n d th e e s t im a t io n o f th e p o w e r s p e c
tr u m o f a r a n d o m s ig n a l. S in c e it is e a s ie r to o b s e r v e t h e e f f e c t o f th e fin ite le n g th
o f th e d a ta r e c o r d o n a d e te r m in is tic s ig n a l, w e t r e a t th is c a s e firs t. T h e r e a f t e r , w e
c o n s id e r o n ly r a n d o m s ig n a ls a n d th e e s tim a tio n o f t h e i r p o w e r s p e c tr a .
12.1.1 Computation of the Energy Density Spectrum
L e t us c o n s id e r th e c o m p u ta tio n o f th e s p e c tr u m o f a d e te r m in is tic s ig n a l f r o m
a f in ite s e q u e n c e o f d a ta . T h e s e q u e n c e jc (n ) is u s u a lly t h e re s u lt o f s a m p lin g a
c o n tin u o u s - tim e s ig n a l x a (t) a t s o m e u n ifo rm s a m p lin g r a t e F s . O u r o b je c t i v e is
to o b t a in a n e s tim a te o f t h e tr u e s p e c tr u m fr o m a f in ite - d u r a tio n s e q u e n c e x ( n ) .
R e c a l l t h a t if x ( t ) is a fin ite -e n e r g y s ig n a l, t h a t is,
CC
/ \xa (t)\2d t < oo
-00
th e n its F o u r i e r t r a n s f o r m e x is ts a n d is g iv e n a s
X a(F ) = f Xo( t ) e - j2 * F ,d t
J -OO
F r o m P a r s e v a l’s t h e o r e m w e h a v e
oo roc
/ •00
\xa ( t ) \2dt = /
J —oc
\ X a ( F ) l 2d F ( 1 2 .1 .1 )
T h e q u a n t it y |Xa (F )| 2 r e p r e s e n ts th e d is tr ib u tio n o f s ig n a l e n e r g y a s a f u n c
tio n o f fr e q u e n c y , a n d h e n c e it is c a lle d th e e n e r g y d e n s ity s p e c tr u m o f th e s ig n a l,
t h a t is,
SXA F ) = \ X e ( F ) \ 2 ( 1 2 .1 .2 )
a s d e s c r ib e d in C h a p te r 4 . T h u s t h e to t a l e n e r g y in t h e s ig n a l is s im p ly th e in te g r a l
o f SXX{ F ) o v e r a ll F [ i.e ., th e to t a l a r e a u n d e r SJtJt( F ) ] .
I t is a ls o in te r e s tin g t o n o te t h a t S XX( F ) c a n b e v ie w e d a s t h e F o u r i e r t r a n s
fo rm o f a n o t h e r fu n c t io n , R IX { t ) , c a lle d th e a u to c o rr e la tio n fu n c t io n o f th e
898 Power Spectrum Estimation Chap. 12
fin ite - e n e r g y s ig n a l x a (t), d e fin e d as
RxA*)= f x * { t) x a { t + x ) d t ( 1 2 .1 .3 )
J —OC
I n d e e d , it e a s ily fo llo w s th a t
R x x ( r ) e - J2jrFrd x = SXA F ) = l * „ ( F ) | 2
J —C/ ( 1 2 .1 .4 )
s o t h a t R x x (?) a n d SXX( F ) a r e a F o u r i e r t r a n s fo r m p a ir.

N o w s u p p o s e th a t w e c o m p u te th e e n e r g y d e n s ity s p e c tr u m o f th e s ig n a l x a (t )
f r o m its s a m p le s t a k e n a t th e r a t e F s s a m p le s p e r s e c o n d . T o e n s u r e th a t th e r e is
n o s p e c tr a l a lia s in g re s u ltin g f r o m th e s a m p lin g p r o c e s s , th e s ig n a l is a s s u m e d to
b e p r e filte r e d , s o th a t, f o r p r a c tic a l p u r p o s e s , its b a n d w id th is lim ite d to B h e r tz .
T h e n th e s a m p lin g fr e q u e n c y F s is s e le c te d s u c h th a t F s > 2 B .
T h e s a m p le d v e r s io n o f x a (t) is a s e q u e n c e * { « ) , - o c < n < o c , w h ich h a s a
F o u r i e r tr a n s fo r m ( v o lta g e s p e c tr u m )
OC
X { a i) = 22 x (n )e ~ J<°"
ns-cc
o r, e q u iv a le n tly ,
X (f) = 22 X ( n ) e - j2xfn ( 1 2 .1 .5 )
A! = — CC
R e c a l l th a t X { f ) c a n b e e x p r e s s e d in te r m s o f th e v o lta g e s p e c tr u m o f th e a n a lo g
s ig n a l jco ( 0 as
* ( £ ) = £ X “( F ~ k F ^ ( l 2 1 '6)
w h e r e / = F / F s is th e n o r m a liz e d f r e q u e n c y v a r ia b le .
I n th e a b s e n c e o f a lia s in g , w ith in th e f u n d a m e n ta l ra n g e l^ l < F J 2 , w e h a v e
X a ( F ) , |Fj < F J 2 ( 1 2 .1 .7 )
H e n c e th e v o lta g e s p e c tru m o f th e s a m p le d s ig n a l is id e n tic a l to t h e v o lta g e s p e c

tr u m o f th e a n a lo g s ig n a l. A s a c o n s e q u e n c e , th e e n e r g y d e n s it y s p e c tr u m o f th e
s a m p le d s ig n a l is
2
= F } \X a ( F ) \2 ( 1 2 .1 .8 )
W e c a n p r o c e e d f u r t h e r b y n o tin g t h a t th e a u t o c o r r e la t io n o f t h e s a m p le d
s ig n a l, w h ich is d e fin e d as
OO
rxx ( k ) = 2 2 * » * ( « + *) (1 2 - 1 .9 )
#*= —00
h a s th e F o u r i e r tr a n s fo r m ( W i e n e r - K h i n t c h i n e t h e o r e m )
S „ (/)= j t r*Ak )e~j2*kf (12.1.10)

H e n c e th e e n e rg y d e n s ity sp e c tru m c a n b e o b ta in e d by th e F o u rie r tra n s fo rm o f

th e a u to c o rre la tio n o f th e se q u e n c e {Jt(n)}.
T h e r e la tio n s a b o v e le a d us to d istin g u ish b e tw e e n tw o d istin ct m e th o d s fo r
co m p u tin g th e en e rg y d e n s ity sp e c tru m o f a signal x„(t) fro m its sa m p le s Jt(n). O n e
is th e direct method, w hich involves co m p u tin g th e F o u rie r tra n s fo rm o f {*(«)], a n d
th e n
SxA f ) = l * ( / ) l 2
OO 2 (12.1.11)
2 2 X( n) e~j2*fn
T h e se co n d a p p ro a c h is c a lle d th e indirect method b e c a u s e it re q u ire s tw o ste p s.

F irst, th e a u to c o r re la tio n rxx(k) is c o m p u te d fro m x(rt) a n d th e n th e F o u rie r tr a n s
fo rm o f th e a u to c o rre la tio n is c o m p u te d as in (12.1.10) to o b ta in th e e n e rg y d e n sity
sp e ctru m .
In p ra c tic e , h o w e v e r, only th e fin ite -d u ra tio n se q u e n c e x (n ), 0 < n < N - 1 , is
a v ailab le fo r c o m p u tin g th e sp e c tru m o f th e signal. In effe ct, lim itin g th e d u ra tio n
o f th e se q u e n c e x ( n ) t o N p o in ts is e q u iv a le n t to m u ltip ly in g x ( n ) b y a re c ta n g u la r
w ind o w . T h u s w e h av e
0 < n < N —1
(12.1.12)
o th e rw ise
F ro m o u r d iscu ssio n o f F I R filter design b ased o n th e u se o f w indow s to lim it th e
d u ra tio n o f th e im p u lse re sp o n s e , w e recall th a t m u ltip lic a tio n o f tw o se q u e n c e s is
e q u iv a le n t to co n v o lu tio n o f th e ir v o ltag e sp e c tra . C o n s e q u e n tly , th e freq u e n cy -
d o m a in r e la tio n c o rre sp o n d in g to (12.1.12) is
X i f ) = * ( / ) * W{ f )
(12.1.13)
- 1/2
R e call fro m o u r d iscussion in S ectio n 8.2.1 th a t c o n v o lu tio n o f th e w indow

f u n c tio n W ( f ) w ith X ( f ) s m o o th s th e sp e c tru m X ( f ) , p ro v id e d th a t th e sp e c tru m
W ( f ) is re la tiv e ly n a rro w c o m p a re d to X ( / ) . B u t th is c o n d itio n im plies th a t
th e w in d o w w i n ) b e su fficiently long (i.e., N m u st b e sufficiently la rg e ) such th a t
W ( f ) is n a rro w c o m p a re d to X ( / ) . E v e n if W ( f ) is n a rro w c o m p a re d to X ( f ) ,
th e co n v o lu tio n o f X ( f ) w ith th e sid e lo b e s o f W ( f ) re su lts in sid e lo b e en erg y in
X ( f ) , in fre q u e n c y b a n d s w h e re th e tr u e signal sp e c tru m X ( / ) = 0. T h is sid e lo b e
en e rg y is called leakage. T h e follow ing ex a m p le illu stra te s th e le a k a g e p ro b le m .
Example 12.1.1
A signal with (voltage) spectrum
l/l< 0 .1
otherwise
is convolved with the rectangular window of length N = 61. D eterm ine the spectrum
o f X ( f ) g iv e n b y (1 2 .1 .1 3 ).
Figure 1Z1 Spectrum obtained by convolving an M = 61 rectan g u lar window

with the ideal lowpass spectrum in Exam ple 12.1.1.
Solution The spectral characteristic W ( f ) for the length N = 61 rectangular window

is illustrated in Fig. 8.2(b). Note that the width of the main lobe of the window
function is Aw = 4^/61 or A/ = 2/61, which is narrow compared to X ( f ) .
The convolution of X ( f ) with W ( f ) is illustrated in Fig. 12.1. We note that
energy has leaked into the frequency band 0.1 < | / | < 0.5. where X ( f ) = 0. A part
of this is due to the width of the main lobe in VV(/), which causes a broadening or
smearing of X ( f ) outside the range \ f \ < 0.1. However, the sidelobe energy in X ( f )
is due to the presence of the sidelobes of W (/), which are convolved with X ( f ) .
The smearing of X ( f ) for | / | > 0.1 and the sidelobes in the range 0.1 < | / | < 0.5
constitute the leakage.
Ju s t as in th e case o f F IR filter d esig n , w e can re d u c e sid e lo b e le a k a g e by

selectin g w in d o w s th a t h av e low sid e lo b e s. T h is im p lies th a t th e w in d o w s h av e a
sm o o th tim e -d o m a in cu to ff in ste a d o f th e a b ru p t cu to ff in th e re c ta n g u la r w indow .
A lth o u g h such w in d o w fu n ctio n s re d u c e sid e lo b e le a k a g e , th ey re s u lt in an in crease
in sm o o th in g o r b ro a d e n in g o f th e s p e c tra l c h a ra c te ristic X ( f ) . F o r ex am p le, the
use o f a B lac k m a n w in d o w o f le n g th N = 61 in E x a m p le 12.1.1 re su lts in th e
sp e c tra l c h a ra c te ristic X ( / ) sh o w n in F ig. 12.2. T h e sid e lo b e le a k a g e h as c e rta in ly
b e e n re d u c e d , b u t th e sp e c tra l w id th h a s b e e n in c re a se d by a b o u t 5 0 % .
T h e b ro a d e n in g o f th e s p e c tru m b e in g e s tim a te d d u e to w in d o w in g is p a rtic u
larly a p ro b le m w h e n w e w ish to reso lv e signals w ith closely sp a c e d fre q u e n c y co m
p o n e n ts . F o r ex a m p le , th e signal w ith sp e ctral c h a ra c te ristic X ( / ) = { f ) + X i { f ),
as sh o w n in Fig. 12.3, c a n n o t b e reso lv ed as tw o se p a ra te sig n a ls u n le ss th e w idth
o f th e w in d o w fu n c tio n is significantly n a r ro w e r th a n th e fre q u e n c y se p a ra tio n A f .
T h u s w e o b se rv e th a t u sing sm o o th tim e -d o m a in w indow s re d u c e s le ak ag e a t th e
ex p en se o f a d e c re a s e in fre q u e n c y re so lu tio n .
Figure 12.2 Spectrum obtained by convolving an M = 61 B lackm an window w ith

the ideal lowpass spectrum in Exam ple 12.1.1.
I t is c le a r fro m th is discussion th a t th e e n e rg y d en sity s p e c tru m o f th e w in

d o w ed se q u e n c e {*(«)} is an a p p ro x im a tio n o f th e d e s ire d sp e c tru m o f th e se q u en ce
{jc(n)J. T h e sp e c tra l d en sity o b ta in e d fro m {Jc(«)} is
2
Sisif) = W ) \ 2 = j2nfn (12.1.14)
T h e sp e c tru m given by (12.1.14) can be c o m p u te d n u m erically a t a set of N

fre q u e n c y p o in ts by m e a n s o f th e D F T . T h u s
X ( k ) = 2 2 , x ( n ) e - J2nkn/N (12.1.15)
ji=Q
Then
|X(fc)|2 = Si-Af)\j-k/N = Sri (12.1.16)

and hence
—j 2 n k n / N
(12.1.17)
w hich is a d isto rte d v ersio n o f th e tru e s p e c tru m Sxx( k / N ) .
12.1.2 Estimation of the Autocorrelation and Power

Spectrum of Random Signals: The Periodogram
T h e fin ite-en erg y signals c o n s id e re d in th e p re c e d in g se c tio n possess a F o u rie r

tra n sfo rm an d a re c h a ra c te riz e d in th e sp e c tra l d o m a in by th e ir e n e rg y d en sity
sp e ctru m . O n th e o th e r h a n d , th e im p o rta n t class o f signals c h a ra c te riz e d as s ta
tio n a ry ra n d o m p ro c e sse s d o n o t h a v e finite e n e rg y a n d h e n c e d o n o t po ssess a
F o u rie r tran sfo rm . S uch signals h a v e finite a v e ra g e p o w e r a n d h en c e a re c h a ra c
te riz e d by a p o w e r density spect rum. If x ( t ) is a s ta tio n a ry ra n d o m p ro cess, its
a u to c o rre la tio n fu n ctio n is
yxx(r) = E [ x * ( t ) x ( t + t )] (12.1.18)
w h ere £[■] d e n o te s th e sta tistical a v e ra g e . T h e n , via th e W ie n e r-K h in tc h in e th e

o re m , th e p o w e r d e n sity sp e c tru m o f th e sta tio n a ry ra n d o m p ro c e ss is th e F o u rie r
tra n sfo rm o f th e a u to c o rre la tio n fu n c tio n , th a t is,
/ OC
yxA T ) e ~ j2* FTd t (12.1.19)
-oc
In p ra c tic e , w e d e a l w ith a single re a liz a tio n o f th e ra n d o m p ro cess fro m
w hich w e e stim a te th e p o w e r sp e c tru m o f th e p ro cess. W e d o n o t k n o w th e tru e
a u to c o rre la tio n fu n ctio n yxx( t ) a n d as a c o n se q u e n c e , w e c a n n o t c o m p u te th e
F o u rie r tra n sfo rm in (12.1.19) to o b ta in rjx(F). O n th e o th e r h a n d , fro m a single
re a liz a tio n o f th e ra n d o m p ro c e ss w e c a n c o m p u te th e tim e -a v e ra g e a u to c o rre la
tio n fu n ctio n
R x A r ) = r ^ r f ° x *{ t ) x ( t + x) dt (12.1.20)
J - T0
w h ere 27o is th e o b se rv a tio n in te rv a l. I f th e sta tio n a ry r a n d o m p ro cess is ergodic
in th e first a n d se co n d m o m e n ts (m e a n a n d a u to c o rre la tio n fu n c tio n ), th e n
X ut(r) = lim R x x i r )
To-*oo
7b (12.1.21)
= lim — I
To-+oc 27b /_ jc*(r)jc (r + r )dt
To
T h is re la tio n ju stifies th e u se o f th e tim e -a v e ra g e a u to c o rre la tio n Rxx( r ) as

a n e stim a te o f th e sta tistical a u to c o r re la tio n fu n c tio n yxx(r ) . F u rth e rm o r e , th e
F o u rie r tra n sfo rm o f R xx(r ) p ro v id e s a n e s tim a te PXX( F ) o f th e p o w e r d en sity
s p e c tru m , th a t is,
•7b
Pxx(F) = [ ° R xx{ T ) e - j:brFrd r
J- T7b
q
i T° rr rr7b
frTo * . 1
= t t / / x ^ x ^ + T^d t
e-pxFx dT (12.1.22)
-^ o J-T q U - T q
1 I f T°
= r - / x ( t ) e - * ” F' d t
-iio \J-To
T h e a c tu a l p o w e r d e n sity sp e c tru m is th e e x p e c te d v a lu e o f PXX( F) in th e lim it as
7b -► oo,
r„ (F ) = lim £ [ / > „ ( £ ) ]
Til- • oo
(12.1.23)
=
To-^oc a i [ / :;
lim £ j —J— I / x( t ) e j27rF’dt
F ro m (12.1.20) an d (12.1.22) w e again n o te th e tw o p o ssib le a p p ro a c h e s to

co m p u tin g PXX(F) , th e d ire c t m e th o d as given by (12.1.22) o r th e in d ire c t m e th o d ,
in w hich w e o b ta in ^ ( r ) first a n d th e n c o m p u te th e F o u rie r tra n sfo rm .
W e sh all c o n s id e r th e e stim a tio n o f th e p o w e r d e n s ity sp e c tru m fro m sa m p le s
o f a sin g le re a liz a tio n o f th e ra n d o m process. In p a rtic u la r, w e assu m e th a t x a ( t )
is sa m p le d a t a ra te Fs > 2 B, w h e re B is th e h ig h est fre q u e n c y c o n ta in e d in th e
p o w e r d e n sity sp e c tru m o f th e ra n d o m p ro cess. T h u s w e o b ta in a fin ite -d u ra tio n
s e q u e n c e x ( n ), 0 < n < N — 1, by sa m p lin g x a(t). F ro m th e s e sa m p le s w e can
co m p u te th e tim e -a v e ra g e a u to c o rre la tio n se q u e n c e
j A '- m - l
r' (m) = ---------- Y x*(n)x{n+m) m = 0 ,1 , —1
N —m “n=Q
(12.1.24)
x N- 1
AA
= T,-----r 7
A/ — lm I
Jl x ‘(n)x(n+m) m = -1 , - 2 ,..., 1 - N
a n d th e n c o m p u te th e F o u rie r tra n sfo rm

A '- l
P^ ( f ) = E r'x x { m ) e - M * (12.1.25)
m=—N+l
T h e n o rm a liz a tio n fa c to r N — |m | in (12.1.24) re su lts in an e s tim a te w ith m e a n
v a lu e
^ N- m- l
E [r x' A m )] = r; — r~, 22 E[x*(n)x{n + m)]
N ~ M to (12.1.26)
= Yxx(m)
w h e re yxx( m) is th e tr u e (statistical) a u to c o rre la tio n s e q u e n c e o f x ( n) . H e n c e
rxx(m) is a n u n b ia s e d e s tim a te o f th e a u to c o rre la tio n fu n c tio n yxx( m). T h e v a ria n c e
o f th e e stim a te rxx(m) is a p p ro x im a te ly
N ^
v a r [r i j ( m )] ^ _ |m |]2 22 [\Yx*(n)\2 + y * A n - m ) y xx(n + m) ] (12.1.27)
w hich is a resu lt given by J e n k in s a n d W a tts (1968). C learly,

lim v a r [r ' (m)] = 0 (12.1.28)
N — oc
p ro v id e d th a t
3C
22 \Yxx(n)\2 < oo
n—-oc
S ince E[r'xx{m)\ = y xx(m) a n d th e v a ria n c e o f th e e stim a te c o n v e rg e s to z e ro as

N oc, th e e stim a te r'xx(m) is said to b e consistent.
F o r larg e v alu es o f th e lag p a r a m e te r m, th e e s tim a te r'xx(m) g iv en by (12.1.24)
h as a larg e v arian ce, esp ecially as m a p p ro a c h e s N . T h is is d u e to th e fact th a t
few er d a ta p o in ts e n te r in to th e e stim a te fo r larg e lags. A s an a lte rn a tiv e to
(12.1.24) w e can u se th e e s tim a te
I w -» -i
rxx{m) = — Y jt*(n)jt(ii + m) 0 < m < JV — 1
N t=o
(12.1.29)
| N-1
^ r(m ) = — y x *( n ) x ( n + m) m = —1. —2 ........ 1 — N
N
n=\m\
w hich h a s a b ias o f \m\yxx( m ) / N , since its m e a n v alu e is
| A '- m - l
E[rIX(m)] - — 22 E[ x* ( n) x ( n + m)]
n=0 (12.1.30)
W -_M yjrjr(m)
= _
, , = ^ _ _
| m |j\ yx A m )
H o w e v e r, th is e stim a te h a s a sm a ller v arian ce, given a p p ro x im a te ly as

1 1X1
v a r[rJJt(m )] » — 2 2 [Xr.r(n)|2 + Yx x (n - m ) y xx(n + m )] (12.1.31)
n—~oo
W e o b se rv e th a t rxx(m) is asympt ot i cal l y u n b i a s e d , th a t is,
lim E[rxx{m)] = yxx(m) (12.1.32)
H-+x
an d its v arian ce c o n v erg es to z e ro as N -*■ oo. T h e re fo re , th e e s tim a te rxx(m) is
also a consi st ent est imate o f yxx(m).
W e sh all u se th e e stim a te rxx( m ) given by (12.1.29) in o u r tr e a tm e n t o f p o w e r
sp e c tru m e s tim a tio n . T h e c o rre sp o n d in g e s tim a te o f th e p o w e r d e n s ity sp e c tru m is
N -1
/» « (/)= 22 r* A m ) e - M m (12.1.33)
m = - ( N - 1)
I f w e su b s titu te fo r rxx(m) fro m (I2 .I.2 9 ) in to (12.1.33), th e e s tim a te Pxx( f ) can

also b e e x p re ss e d as
2
-jln fn
Pxx ( / ) - N (12.1.34)
w h e re X ( / ) is th e F o u rie r tra n sfo rm o f th e sam p le se q u e n c e x{n) . T h is w ell kno w n

fo rm o f th e p o w e r d en sity sp e c tru m e s tim a te is called th e periodogram. I t w as o rig
in ally in tro d u c e d by S c h u ste r (1898) to d e te c t a n d m e a s u re “ h id d e n p e rio d ic itie s”
in d a ta .
F ro m (12.1.33), th e av e ra g e v alu e o f th e p e rio d o g ra m e s tim a te PxA f ) is
22 rx A m ) e ,2jrfn = J2 E[rxA m ) ] e - * " ' ”

m = - ( N - 1) m= —(/V—1)
—J2nfm
E [ p xx( f ) ] = 22 f 1 “ “J r ) Y xim )e (12.1.35)
m = - ( N - 1) ^ '
T h e in te r p re ta tio n th a t w e give to (12.1.35) is th a t th e m e a n o f th e e stim a te d

sp e c tru m is th e F o u rie r tra n sfo rm o f th e w in d o w ed a u to c o rre la tio n fu n ctio n
Yxx(m) Y xx(m ) (12.1.36)
w h e re th e w in d o w fu n c tio n is th e (tria n g u la r) B a rtle tt w in d o w . H e n c e th e m e a n

o f th e e s tim a te d sp e c tru m is
E[PxA f ) } = J 2 Y‘A m ) e - i2nfm

m=—oc0
(12.1.37)
/ if*
1/2
r xx( a ) W B( f - a ) d a
•1/2
w h e re W B( f ) is th e sp e c tra l ch a ra c te ristic o f th e B a rtle tt w indow . T h e re la tio n

(12.1.37) illu stra te s th a t th e m e a n o f th e e s tim a te d sp e c tru m is th e co n v o lu tio n o f
th e tr u e p o w e r d en sity sp e c tru m T „ ( / ) w ith th e F o u rie r tra n sfo rm W B( f ) o f th e
B a rtle tt w in d o w . C o n se q u e n tly , th e m e a n o f th e e s tim a te d s p e c tru m is a sm o o th e d
v e rsio n o f th e tr u e s p e c tru m a n d su ffers fro m th e sa m e sp e c tra l le a k a g e p ro b le m s
w h ich a re d u e to th e fin ite n u m b e r o f d a ta p o in ts.
W e o b s e rv e th a t th e e stim a te d sp e c tru m is asy m p to tically u n b ia s e d , th a t is,
N -1
lim E 2 2 rx x ( m ) e ' j2nfm = £ Yxx{m)e-J2* fm = TxA f )
N-t-cc
H o w e v e r, in g e n e ra l, th e v a ria n c e o f th e e s tim a te Pxx( f ) d o e s n o t d ec a y to zero

as N -► oo. F o r ex a m p le , w h e n th e d a ta se q u e n c e is a G a u s sia n ra n d o m process,
the variance is easily shown to be (see Problem 12.4)
(12.1.38)
w hich , in th e lim it as N —>■ oo, b ec o m e s
lim v a r [ P „ ( / ) ] = ^ l x ( f ) (12.1.39)
N - + oo
H e n c e w e c o n clu d e th a t th e p e r i o d o g r a m is n o t a consi st ent est imate o f the true

p o w e r density spe ct r um (i.e., it d o e s n o t co n v e rg e to th e tru e p o w e r d en sity sp e c
tru m ).
In su m m ary , th e e s tim a te d a u to c o rre la tio n rxx(m) is a c o n s iste n t e stim a te o f
th e tr u e a u to c o rre la tio n fu n ctio n yxx(m). H o w e v e r, its F o u rie r tra n sfo rm Pxx( f ) ,
th e p e rio d o g ra m , is n o t a c o n siste n t e s tim a te o f th e tru e p o w e r d e n sity sp e ctru m .
W e o b se rv e d th a t Pxx( f ) is an a s y m p to tically u n b ia s e d e stim a te o f Vxx{ f ) , b u t fo r
a fin ite -d u ra tio n se q u en ce, th e m e a n v alu e o f Pxx{ f ) c o n ta in s a bias, w hich from
(12.1.37) is e v id e n t as a d isto rtio n o f th e tru e p o w e r d en sity sp e c tru m . T h u s th e
e s tim a te d sp e c tru m su ffers fro m th e sm o o th in g effe c ts a n d th e le a k a g e e m b o d ie d
in th e B a rtle tt w ind o w . T h e sm o o th in g an d le a k a g e u ltim ately lim it o u r a b ility to
reso lv e closely sp a ced sp e ctra.
T h e p ro b le m s o f leak ag e an d fre q u e n c y re so lu tio n th a t w e h ave ju st d e
sc rib ed as w ell as th e p ro b le m th a t th e p e rio d o g ra m is n o t a c o n s iste n t estim a te
o f th e p o w e r sp e c tru m , p ro v id e th e m o tiv a tio n fo r th e p o w e r sp e c tru m e s tim a
tio n m e th o d s d e sc rib e d in S ectio n s 12.2, 12.3, a n d 12.4. T h e m e th o d s d escrib ed
in S ectio n 12.2 a re classical n o n p a ra m e tric m e th o d s, w hich m a k e n o assu m p tio n s
a b o u t th e d a ta se q u en ce. T h e em p h asis o f th e classical m e th o d s is on o b ta in in g a
c o n s iste n t e stim a te o f th e p o w e r sp e c tru m th ro u g h so m e av e ra g in g o r sm o o th in g
o p e ra tio n s p e rfo rm e d d irectly o n th e p e rio d o g ra m o r o n th e a u to c o rre la tio n . A s
w e will see, th e effe ct o f th e se o p e ra tio n s is to re d u c e th e fre q u e n c y re so lu tio n
fu rth e r, w hile th e v a ria n c e o f th e e s tim a te is d e c re a se d .
T h e sp e c tru m e stim a tio n m e th o d s d e sc rib e d in S ectio n 12.3 a re b a se d on
so m e m o d e l o f h o w th e d a ta w ere g e n e ra te d . In g e n e ra l, th e m o d e l-b a se d m e th o d s
th a t h av e b een d e v e lo p e d o v e r th e p a s t tw o d e c a d e s p ro v id e significantly h ig h e r
re so lu tio n th a n d o th e classical m e th o d s.
A d d itio n a l m e th o d s a re d e sc rib e d in S ectio n s 12.4 a n d 12.5. O n e o f th ese
m e th o d s, d u e to C a p o n (1969), is b a s e d o n m in im iz in g th e v a ria n c e in th e sp e c
tra l e stim a te . T h e m e th o d s d e sc rib e d in S ectio n 12.5 a re b a s e d on an e ig e n
v a lu e /e ig e n v e c to r d e c o m p o sitio n o f th e d a ta c o rre la tio n m atrix .
12.1.3 The Use of the DFT in Power Spectrum Estimation
A s giv en b y (12.1.14) a n d (12.1.34), th e e s tim a te d en e rg y d e n s ity sp e c tru m £ , , ( / )

a n d th e p e rio d o g ra m Pxx( f ), resp ec tiv ely , can b e c o m p u te d b y u se o f th e D F T ,
w hich in tu rn is efficiently c o m p u te d by a F F T a lg o rith m . I f w e h a v e N d a ta p o in ts,
w e c o m p u te as a m in im u m th e A ppoint D F T . F o r ex am p le, th e c o m p u ta tio n yields

sa m p le s o f th e p e rio d o g ra m
* = 0 ,1 ,..., JV -1 (12.1.40)
a t th e fre q u e n c ie s /* = k / N .
In p ra c tic e , h o w ev er, such a sp a rs e sa m p lin g o f th e sp e c tru m d o e s n o t p ro v id e
a v ery g o o d re p re s e n ta tio n o r a g o o d p ic tu re o f th e c o n tin u o u s sp e c tru m estim ate
* > „ ( /). T h is is easily re m e d ie d b y e v a lu a tin g Pxx( f ) a t a d d itio n a l freq u e n cies.
E q u iv a le n tly , w e can effectiv ely in c re a se th e le n g th o f th e se q u e n c e by m e a n s o f
z e ro p a d d in g a n d th e n e v a lu a te Pxx{ f ) at a m o re d en se se t o f freq u e n cies. T h u s
if w e in crease th e d a ta se q u e n c e le n g th to L p o in ts by m e a n s o f z e ro p a d d in g an d
e v a lu a te th e L -p o in t D F T , we h av e
(12.1.41)
W e em p h a siz e th a t z e ro p a d d in g an d e v a lu a tin g th e D F T at L > N p o in ts

d o e s n o t im p ro v e th e fre q u e n c y re so lu tio n in th e sp e c tra l estim a te . It sim ply
p ro v id e s us w ith a m e th o d fo r in te rp o la tin g th e valu es o f th e m e a s u re d sp e ctru m
a t m o re fre q u e n c ie s. T h e fre q u e n c y re so lu tio n in th e s p e c tra l e stim a te PXI{.f) is
d e te rm in e d by th e len g th N o f th e d a ta reco rd .
Exam ple 12.1.2
A sequence of N = 16 samples is obtained by sampling an analog signal consisting of
two frequency components. The resulting discrete-time sequence is
x( n) = sin2jr(0.135)w + cos2;r(0.135 + Af ) n n = 0 , 1 , . . . , 15
where A/ is the frequency separation. Evaluate the power spectrum P ( f ) =
(1/7V )|X (/)|2 at the frequencies f k = k/ L, k = 0, 1 ,__ L — 1, for L = 8, 16, 32,
and 128 for values of A/ = 0.06 and A/ = 0.01.
Solution By zero padding, we increase the data sequence to obtain the power spec
trum estim ate PXI(k/L). The results for A/ = 0.06 are plotted in Fig. 12.4. Note that
zero padding does not change the resolution, but it does have the effect of interpo
lating the spectrum Pxl ( f ) . In this case the frequency separation A/ is sufficiently
large so that the two frequency components are resolvable.
The spectral estimates for A/ = 0.01 are shown in Fig. 12.5. In this case the
two spectral com ponents are not resolvable. Again, the effect of zero padding is to
provide more interpolation, thus giving us a better picture of the estim ated spectrum.
It does not improve the frequency resolution.
W h e n o n ly a few p o in ts o f th e p e rio d o g ra m a re n e e d e d , th e G o e rtz e l alg o

rith m d e s c rib e d in C h a p te r 6 m ay p ro v id e a m o re efficient c o m p u ta tio n . Since th e
G o e rtz e l a lg o rith m h a s b e e n in te r p re te d as a lin e a r filterin g a p p ro a c h to c o m p u t
in g th e D F T , it is c le a r th a t th e p e rio d o g ra m e s tim a te can b e o b ta in e d by passing
_S___ B___ S_
t L I .. T
32
^mTTTTnK/f I^WrffTllnaa
128
Figure 12.4 Spectra of two sinusoids with frequency separation A f — 0.06.
th e signal th ro u g h a b a n k o f p a ra lle l tu n e d filters a n d sq u a rin g th e ir o u tp u ts (see

P ro b le m 12.5).
12.2 NONPARAMETRIC METHODS FOR POWER SPECTRUM

ESTIMATION
T h e p o w e r sp e c tru m e stim a tio n m e th o d s d e sc rib e d in th is se c tio n a re th e classical

m e th o d s d e v e lo p e d by B a rtle tt (1948), B la c k m a n a n d T u k e y (1958), an d W elch
(1967). T h e se m e th o d s m a k e n o a ssu m p tio n a b o u t h o w th e d a ta w ere g e n e ra te d
a n d h e n c e a re called nonparamet ri c.
Sec. 12.2 Nonparametric Methods for Power Spectrum Estimation 909
F igure 1X5 Spectra of two sinusoids with frequency separation A/ = 0.01.
S ince th e e stim a te s a re b ased e n tire ly on a fin ite re c o rd o f d a ta , th e fre q u e n c y

re so lu tio n o f th e s e m e th o d s is, at b est, e q u a l to th e sp e c tra l w id th o f th e re c ta n g u la r
w in d o w o f le n g th N , w hich is a p p ro x im a te ly 1( N a t th e - 3 - d B p o in ts. W e shall b e
m o re p recise in sp ecify in g th e fre q u e n c y re so lu tio n o f th e specific m e th o d s. A ll th e
e s tim a tio n te c h n iq u e s d e sc rib e d in th is section d e c re a s e th e fre q u e n c y re so lu tio n
in o r d e r to re d u c e th e v a rian ce in th e sp e c tra l e stim a te .
F irst, w e d e sc rib e th e e stim ates an d d e riv e th e m e a n a n d v aria n c e o f e ach . A
c o m p a riso n o f th e th re e m e th o d s is given in S ectio n 12.2.4. A lth o u g h th e sp e ctral
e stim a te s a re e x p ressed a s a fu n ctio n o f th e c o n tin u o u s fre q u e n c y v a ria b le / , in
p ra c tic e , th e e stim a te s a re c o m p u te d a t d isc rete fre q u e n c ie s via th e F F T alg o rith m .
T h e F F T -b a se d c o m p u ta tio n a l re q u ire m e n ts a re c o n s id e re d in S ectio n 12.2.5.
12.2.1 The Bartlett Method: Averaging Periodograms
B a r tle tt’s m e th o d fo r re d u c in g th e v arian ce in th e p e rio d o g ra m involves th re e

step s. F irst, th e N -p o in t se q u e n c e is su b d iv id e d in to K n o n o v e rla p p in g se g m en ts,
w h e re ea c h se g m e n t h as le n g th M, T h is re su lts in th e K d a ta se g m e n ts
x,(n) = x( n + i M ) i = 0, I, . . . . K — 1 (12.2.1)
n = 0 , 1 .........M - l
F o r ea c h se g m en t, w e c o m p u te th e p e rio d o g ra m
M-l
p i 'v = _L E * . '< n ) e - J2nfn\ i= 0 ,l,...,J f - l (12.2.2)
" M
F in ally , w e av erag e th e p e rio d o g ra m s fo r th e K se g m e n ts to o b ta in th e B a rtle tt

p o w e r sp e c tru m e stim a te [B a rtle tt (1948)]
1 * -1
p xBA f ^ = T Z y « ( / ) ( 12-2 -3 >
K ,=v>
T h e statistical p ro p e rtie s of this e s tim a te a re easily o b ta in e d . F irst, th e m ean

v alu e is
(1 2 2 4 )
= £ [* £ (/)]
F ro m (12.1.35) an d (12.1.37) w e h ave th e e x p e c te d v a lu e fo r th e single p e rio d o g ra m
as
Af-1
= E f1- y ^ e~s2nfm
(12.2.5)
M J _-i]/2
r- \ s in ;r ( / - a) J
w h ere
1 / s in jr/M V . _ .
B(f) = t ; — :— ( 12. 2. 6)
M V s ni f f / /
is th e fre q u e n c y c h aracteristics o f th e B a rtle tt w indow
m,
] ------ — , |m| < M —1
w B(n) = M ’ 11 ~ " (12.2.7)
0, o th e rw ise
F ro m (12.2.5) w e o b se rv e th a t th e tru e sp e c tru m is no w c o n v o lv e d w ith th e
fre q u e n c y c h a ra c te ristic W a i f ) o f th e B a rtle tt w indow . T h e e ffe c t o f re d u c in g th e
le n g th o f th e d a ta fro m N p o in ts to M = N / K re su lts in a w in d o w w hose sp e c tra l
w id th h a s b e e n in c re a se d b y a fa c to r o f K . C o n s e q u e n tly , th e fre q u e n c y re so lu tio n

h as b e e n re d u c e d b y a fa c to r K.
In r e tu rn fo r th is re d u c tio n in re so lu tio n , w e h a v e r e d u c e d th e v arian ce. T h e
v a ria n c e o f th e B a rtle tt e s tim a te is
var[ / £ ( / ) ] =
K2 I=U
( 12.2 .8 )
= ^ v a r [/> « (/)]
If w e m a k e u se o f (12.1.38) in (12.2.8), w e o b ta in
/ sin I n f M ' V
v ar [ / > * ( / ) ] = j T l x { f ) 1+ (12.2.9)
\M s in 2 ;r/ J
T h e re fo re , th e v a rian ce o f th e B a rtle tt p o w e r sp e c tru m e s tim a te h a s b e e n re d u c e d

by th e fa c to r K.
12.2.2 The Welch Method: Averaging Modified

Periodograms
W elch (1967) m ad e tw o b asic m o d ificatio n s to th e B a rtle tt m e th o d . F irst, h e a l

lo w ed th e d a ta se g m en ts to o v erlap . T h u s th e d a ta se g m e n ts c a n b e r e p re s e n te d as
Xj ( n) = x( n + i D ) n = 0 ,1 , . . . , M — 1 (12.2.10)
i = 0 . 1 .........L - l
w h e re i D is th e sta rtin g p o in t fo r th e /th se q u e n c e . O b s e rv e th a t if D = M ,
th e se g m en ts d o n o t o v e rla p an d th e n u m b e r L o f d a ta se g m e n ts is id e n tic a l to
th e n u m b e r K in th e B a rtle tt m e th o d . H o w e v e r, if D = M /2 , th e r e is 50%
o v e rla p b e tw e e n su ccessive d a ta se g m e n ts a n d L = 2 K se g m e n ts a re o b ta in e d .
A lte rn a tiv e ly , w e can fo rm K d a ta se g m en ts ea c h o f le n g th 2 M .
T h e se c o n d m o d ifica tio n m a d e by W elch to th e B a rtle tt m e th o d is to w indow
th e d a ta se g m e n ts p rio r to c o m p u tin g th e p e rio d o g ra m . T h e re su lt is a “m o d ifie d ”
p e rio d o g ra m
1
* * £ (/) = ( 12.2. 11)
~MU n=0
w h e re U is a n o rm a liz a tio n fa c to r f o r th e p o w e r in th e w in d o w fu n c tio n a n d is
se le c te d as
1 M-l
u /(n ) ( 12. 2 . 12)
T h e W elch p o w e r sp e c tru m e stim a te is th e a v e ra g e o f th e se m o d ified p e rio d o g ra m s,

th a t is,
1 L~x
^ ( /) = (12.2.13)
The mean value of the Welch estimate is
^ . =o (12.2.14)
= * « ( /)]
B u t th e e x p e c te d v alu e o f th e m od ified p e rio d o g ra m is
i M -l M-\
£ [ ^ ( / ) ] = T777 E E « '( " ) w ( * ) £ k ( " K ( « ) ] < “ A T /l* ' " )

«=0 m=0
(12.2.15)
M - l Af-1
Since
r ia
Vjcx(n) = j r xx(a)el27!anda (12.2.16)
J - 1/2
s u b s titu tio n fo r y ^ n ) fro m (12.2.16) in to (12.2.15) yields
M - 1 M -l
*«?</>]=
• 1/2
da
m j- 1/2l r “ w E E
n = 0 m =0
■ 1 /2
(12.2.17)
f
= / r„ (a )W (/-a )rfa
•'-1/2
w h e re , by d efin itio n ,
-jZnfn
E u>(n)e (12.2.18)
3 # 17
n=0
T h e n o rm a liz a tio n fa c to r U e n s u re s th a t
,
1/2
/ W (/W / = 1 (12.2.19)
J —1/2
T h e v arian ce o f th e W elch e s tim a te is
v a r l O / ) ] = Tr E E £ ^ ~ ( f ) P g ( f ) ] ~ {E[P?Af)])2 (12.2 .20)
In th e case o f n o o v e rla p b e tw e e n successive d a ta se g m e n ts ( L = K ) , W elch has

sh o w n th a t
v a r |P * ( / ) J = i v a r [ P “ ' ( / ) l
, (12.2.21)
* zr“(/)
In th e case o f 5 0% o v e rla p b e tw e e n successive d a ta se g m en ts (L = 2 AT),

th e v a ria n c e o f th e W elch p o w e r sp e c tru m e s tim a te w ith th e B a rtle tt (tria n g u la r)
w indow , also d e riv e d in th e p a p e r by W elch, is
v a r [ / > £ ( / ) ] * ^ r * T( / ) (12.2.22)
A lth o u g h w e c o n s id e re d only th e tria n g u la r w in d o w in th e c o m p u ta tio n o f

th e v a rian ce, o th e r w in d o w fu n c tio n s m ay be used. In g e n e ra l, th ey will yield
a d iffe re n t v arian ce. In ad d itio n , o n e m ay v ary th e d a ta se g m e n t o v e rla p p in g
b y e ith e r m o re o r less th a n th e 50% co n sid e re d in th is se c tio n in a n a tte m p t to
im p ro v e th e re le v a n t c h a ra c te ristic s o f th e estim ate.
12.2.3 The Blackman and Tukey Method: Smoothing the

Periodogram
B lac k m a n a n d T u k e y (1958) p ro p o se d an d an aly zed th e m e th o d in w hich th e

sa m p le a u to c o rre la tio n se q u e n c e is w in d o w ed first a n d th e n F o u rie r tra n sfo rm e d
to yield th e e s tim a te o f th e p o w e r sp e ctru m . T h e ra tio n a le fo r w in d o w in g th e
estim a te d a u to c o rre la tio n se q u e n c e rxx(m) is th a t, fo r larg e lags, th e e s tim a te s
are less re lia b le b ecau se a sm a ller n u m b e r (N — m) o f d a ta p o in ts e n te r in to th e
estim ate. F o r v alu es o f m a p p ro a c h in g N , th e v a rian ce o f th e s e e stim a te s is very
h igh, an d h en c e th e se e s tim a te s sh o u ld be given a sm a lle r w eig h t in th e fo rm a tio n
o f th e e stim a te d p o w e r sp e c tru m . T h u s th e B la c k m a n -T u k e y e s tim a te is
A f-1
E r , A m ) w { m ) e - J2*fm (12.2.23)
m=—(M—1)
w h e re th e w in d o w fu n c tio n w( n) h as length 2 M — 1 a n d is z e ro fo r \m\ > M .
W ith th is d e fin itio n fo r w( n) , th e lim its o n th e sum in (12.2.23) can b e e x te n d e d to
( —oo, oo). H e n c e th e fre q u e n c y -d o m a in e q u iv a le n t ex p re ssio n fo r (12.2.23) is th e
c o n v o lu tio n in teg ral
yl/2
* * //(/)= / P*A<x)W{f-a)da (12.2.24)
J- 1/2
w h e re Pxx( f ) is th e p e rio d o g ra m . It is clear from (12.2.24) th a t th e effe ct o f w in
d o w in g th e a u to c o r re la tio n is to sm o o th th e p e rio d o g ra m e s tim a te , th u s d e creasin g
th e v a rian ce in th e e s tim a te a t th e e x p en se o f re d u c in g th e re so lu tio n .
T h e w in d o w s e q u e n c e w( n) sh o u ld be sy m m e tric (e v e n ) a b o u t m = 0 to
e n s u re th a t th e e stim a te o f th e p o w e r sp e c tru m is re a l. F u rth e rm o r e , it is d e sirab le
to se lect th e w in d o w sp e c tru m to b e n o n n eg ativ e, th a t is,
W (f) > 0 | / | < 1 /2 (12.2.25)
T h is c o n d itio n e n s u re s th a t PXJ ( f ) > 0 fo r | / | < 1/2, w hich is a d e s ira b le p ro p e rty

fo r an y p o w e r sp e c tru m e s tim a te . W e sh o u ld in d ic a te , h o w ev er, th a t so m e o f th e
w in d o w fu n c tio n s w e h a v e in tro d u c e d d o n o t satisfy th is c o n d itio n . F o r exam p le,
in sp ite o f th e ir low sid e lo b e levels, th e H a m m in g a n d H a n n ( o r H a n n in g ) w indow s

d o n o t satisfy th e p ro p e rty in (12.2.25) a n d , c o n s e q u e n tly , m ay re su lt in n eg ativ e
sp e c tru m e stim a te s in so m e p a rts o f th e fre q u e n c y ran g e.
T h e e x p e c te d v alu e o f th e B la c k m a n -T u k e y p o w e r s p e c tru m e s tim a te is
, 1/2
£ [* * //( /) ]= / E [ P xA a ) ] W ( f - a ) d a (12.2.26)
J - 1/2
w h e re fro m (12.1.37) w e h av e
,1/2
£ [/> „ (« )]= / r xA 0 ) W B( a - 0 ) d e (12.2.27)
J -1/2
a n d WB{ f ) is th e F o u rie r tra n sfo rm o f th e B a rtle tt w in d o w . S u b stitu tio n of
(12.2.27) in to (12.2.26) yields th e d o u b le c o n v o lu tio n in teg ral
r 1/2 ,1/2
E[P?rT ( / ) ] = / / r „ ( e ) W JJ( a - 0 ) W ( / - a ) r f a r f e (12.2.28)
•/—1/2 J —\[2
E q u iv a le n tly , by w o rk in g in th e tim e d o m a in , th e e x p e c te d v alu e o f th e
B la c k m a n -T u k e y p o w e r sp e c tru m e stim a te is
M- 1
= 22 E [ r * A m ) ] w ( m ) e - J 27lfm
m (iW—ll
(12.2.29)
Af-1
= 22 y , A m ) w B( m ) w ( m ) e - j 2nfm
m=—(M-l)
w h ere th e B a rtle tt w in d ow is
wB(m) —
0, o th e rw ise
C learly , w e sh o u ld select th e w in d o w le n g th fo r w( n) such th a t M << N , th a t
is, w( n) sh o u ld b e n a rro w e r th a n w B(m) to p ro v id e a d d itio n a l sm o o th in g o f the
p e rio d o g ra m . U n d e r th is c o n d itio n , (12.2.28) b e c o m e s
, 1/2
E lP f/if)}* VxA 0 ) W { f - d ) d d (12.2.31)
J - 1/2
since
/
, 1/2
WB(a - d ) W { f - a ) d a = /
,1/2
W B( a ) W ( f - 9 - a)doc
J - 1/2 J - 1/2 (12.2.32)
^ w (f-e)
T h e v arian ce o f th e B la c k m a n -T u k e y p o w e r sp e c tru m e s tim a te is
v a r [ / > / / ( / ) ] = £ { [ P / / ( / ) 2]} - { £ [ / > / / ( / ) ] } 2 (12.2.33)

w h e re th e m e a n can b e a p p ro x im a te d as in (12.2.31). T h e se c o n d m o m e n t in
(11.2.33) is
rl/2 fl/2
E{[PxBxT ( f ) ] 2) = / / E [ P xx( a ) P xx( . e ) ] W( f -6)dade (12.2.34)
J - 1/2 J-\f2
O n th e a s su m p tio n th a t th e ra n d o m p ro c e ss is G a u ssia n (see P ro b le m 12.5), w e
find th a t
sin7r(0 + a ) N sin7r(0 — a ) N
E [ P xA a ) P xA&)] = r „ (a )r „ (0) 1 +
_Ns i n7 r ( 8 + a)_ N s i n n ( 6 — a) _
(12.2.35)
S u b stitu tio n o f (12.2.35) in to (12.2.34) yields
-1/2 -.2
E { [ P ? / ( f ) ] 2} = r xA 0 ) W ( f - e ) d e
- 1/2
,1 [2 , 1/2
+ / / r xA<*)rxA e ) W ( f - a ) W ( f - d )
J - 1/2 J -l/2
s in jr(# -l-oON si nn( & — a ) N

d a d$ (12.2.36)
N s in jr(0 + a)_ N sin7r(8 — or)
T h e first te rm in (12.2.36) is sim ply th e sq u a re o f th e m e a n o f P f J ( / ) , w hich

is to b e s u b tra c te d o u t a c co rd in g to (12.2.33). T h is le a v e s th e se c o n d te rm in
(12.2.36), w h ich c o n s titu te s th e v arian ce. F o r th e case in w hich N » Af, th e
fu n c tio n s s i n n ( 9 + a ) N / N s i n ^ ( 0 + a ) a n d s m
‘ n ( 8 —a ) N / N sin jr ( 0 —a ) a re relativ ely
n a rro w c o m p a re d to W ( f ) in th e vicinity o f 0 = —a a n d 9 = a , resp ec tiv ely .
T h e re fo re ,
-a)N
r
y _ i /2
- n {[L N s m n ( 8 + a;)J
+ r
[ _ ^ sin 7 r(0 ~—a j
de
(12.2.37)
% r xA - a ) W ( f + c c ) + r xA<x)W( f - a)
N
W ith th is a p p ro x im a tio n , th e v a ria n c e o f PXJ i f ) b ec o m e s
1 Cxn
ar[ /» " ( / ) ] » - / r „ ( a ) W ( / - a ) [ r „ ( - a ) W ( / + a) + r„ (o )W (/-o ()]rfa
" J - 1/2
1/2 -
i r lfl
(12.2.38)
J i L 1/2 rZ^
-
w^ f ~ a)da
w h e re in th e last s te p w e m a d e th e a p p ro x im a tio n
• 1/2
r z, ( a ) r „ ( - c r ) V ( / - a ) W ( f + a ) d a » 0 (12.2.39)
■1/2
W e shall m a k e o n e a d d itio n a l a p p ro x im a tio n in (12.2.38). W h e n W ( f ) is

n a rro w c o m p a re d to th e tru e p o w e r sp e c tru m r „ ( / ) , (12.2.38) is f u rth e r a p p ro x
im a te d as
v a r[/> //(/)] * r2
xx(f) f '* W2(0)d0j
1/2
M-l (12.2.40)
H A f) - £ w 2( m )
(Af—1)
12.2.4 Performance Characteristics of Nonparametric

Power Spectrum Estimators
In th is sectio n w e co m p a re th e q u ality o f th e B a rtle tt, W elch, a n d B la c k m a n an d

T u k e y p o w e r sp e c tru m estim ates. A s a m e a s u re o f q u ality , w e u se th e ra tio o f its
v arian ce to th e s q u a re o f th e m e a n o f th e p o w e r sp e c tru m e s tim a te th a t is,
iE[P?Af)}}2
Q a = (12.2.41)
t>ar [ P £ ( f ) ]
w h e re A = B , W , o r B T fo r th e th re e p o w e r s p e c tru m estim ates. T h e recip ro c al o f
th is q u a n tity , called th e variability, can also be u se d as a m e a s u re o f p e rfo rm a n c e .
F o r re fe re n c e , th e p e rio d o g ra m has a m e a n a n d v arian ce
E[P*Af)] = f ’ r„(0)WW - 8)de (12.2.42)

J- l / 2
v a r [/> „ ( /) ]= r ,V /)[ l + ( | ^ ) 2' (12.2.43)

\N sin2nf/
w h ere
1 / sin n f N \ 2
W B( f ) = ~ ~ Lr (12.2.44)
N V sin n f J
i-l/2
E [ P * i ( f ) ] -+ r „ (/) / w B( d ) d e = u>,(0) r „ ( / ) = r „ ( / )
J - 1/2 (12.2.45)
var[/>„(/)] -► r l x( f )
H e n c e , as in d ic a te d p rev io u sly , th e p e rio d o g ra m is an asy m p to tically u n b ia se d
e stim a te o f th e p o w e r sp e c tru m , b u t it is n o t c o n siste n t becau se its v arian ce d o es
n o t a p p ro a c h z e ro as N in c re a se s to w a rd infinity.
A sy m p to tically , th e p e rio d o g ra m is c h a ra c te riz e d by th e q u a lity fa c to r
r\ 2 (f )}
_ r xx^J 1
Qp = z.1-, = 1 (12.2.46)
rlA f)
T h e fact th a t Qp is fixed a n d in d e p e n d e n t o f th e d a ta le n g th N is a n o th e r in d ic a tio n
o f th e p o o r q u ality o f th is e stim a te .
Bartlett power spectrum estimate. T h e m e a n a n d v a ria n c e o f th e B a rtle tt

p o w e r s p e c tru m e s tim a te a re
E[P?Af)]= [ r xxm w B( f - 6) dd (12.2.47)

J- 1/2
/ s in 2 jr /A f V
v a r[/£ (/)] = - r 1 ( f ) (12.2.48)
^ \ M sin 2 n f )
an d
1 / sin n f M \ 2
W B( f ) = — . J . (12.2.49)
M \ s in ^ / /
A s N —y oo a n d M —y oo, w hile K = N / M rem ain s fixed, w e find th a t
r 1/2
£ [ * * « < /) ] r „ ( /) / w ,(/)r f/ = r xx( f ) w B(0) = r „ (/)
7 - -1/2
1 /2
(12.2.50)
v a r [P /x( / ) ] rL (/)
W e o b se rv e th a t th e B a rtle tt p o w e r sp e c tru m e s tim a te is asy m p to tically u n b i
ased a n d if K is allo w ed to in crease w ith an in crease in N , th e e s tim a te is also c o n
sisten t. H e n c e , asy m p to tically , th is e stim a te is c h a ra c te riz e d b y th e q u a lity fa c to r
N
Qb = K = — (12.2.51)
M
T h e fre q u e n c y re so lu tio n o f th e B a rtle tt e s tim a te , m e a s u re d by tak in g th e
3-dB w id th o f th e m ain lo b e o f th e re c ta n g u la r w indow , is
0.9
A/ = — (12.2.52)
J M
H e n c e , M = 0 .9 /A / a n d th e q u ality fa c to r b eco m es
N
Qb = = l.IN A f (12.2.53)
0 .9 /A /
Welch power spectrum estimate. T h e m e a n a n d v a ria n c e o f th e W elch

p o w e r sp e c tru m e stim a te are
, 1/2
£ [ * £ ( / ) ] = f r^mw(f-B)de (12.2.54)
w h ere
2 2 w ( n ) e - j2*f * (12.2.55)
and
fo r no o v e rla p
v a r [ j£ ( /)] = (12.2.56)
9 , fo r 50% o v e rla p a n d
— r 2 (f),
8L xx tria n g u la r w indow
As N oo an d M - * oo, th e m e a n co n v e rg e s to
£ [* £ (/> ]-> r « ( / ) (12.2.57)

an d th e v arian ce c o n v erg es to z e ro , so th a t th e e s tim a te is c o n s iste n t.
U n d e r th e tw o co n d itio n s given by (12.2.56) th e q u ality fa c to r is
N
L = —, fo r n o o v e rla p
Qw = S L = 16N fo r 5 0 % o v e rla p a n d (12.2.58)
9 — 9M ' tria n g u la r w indow
O n th e o th e r h a n d , th e sp e ctral w idth o f th e tr ia n g u la r w indow a t th e 3-dB p o in ts is
A/ = — (12.2.59)
M
C o n se q u e n tly , th e q u ality fa c to r e x p re ss e d in te rm s o f A f a n d N is
0.78N A /, fo r n o o v e rla p
= 1 39NAf fo r ^ 0/° o v e rla P a n d (12.2.60)

tr ia n g u la r w indow
Blackman-Tukey power spectrum estimate. T h e m e a n a n d v a ria n c e o f

th is e s tim a te a re a p p ro x im a te d as
- 1/2
E[Pf / ( f ) ] * f r xxm w ( f - d ) d 8
J --M
1/2l
(12.2.61)
- r
1 >7—1
v a r[P //(/)] * r;x(f) w (m)
N
L m=-(W -1)
w h e re u>(m) is th e w in d ow se q u e n c e u se d to ta p e r th e e s tim a te d a u to c o rre la tio n
se q u e n c e . F o r th e re c ta n g u la r an d B a rtle tt (tria n g u la r) w in d o w s w e h av e
1 r * '1 2/ s (2 M/N, re c ta n g u la r w in d o w ^
N ” < ")= { 2U/3N. tr ia n g u la r w in d o w (12'2 '62)
I t is c le a r fro m (12.2.61) th a t th e m e a n v a lu e o f th e e s tim a te is asym ptotically

u n b ia se d . Its q u a lity fa c to r fo r th e tr ia n g u la r w in d o w is
Q bt = 1 - 5 ^ (12.2.63)
M
S ince th e w in d o w le n g th is 2M — 1, th e fre q u e n c y re so lu tio n m e a s u re d a t th e 3-dB
p o in ts is
A/ = ^ = — (12.2.64)
2M M
and hence
Q b t = x r i N & f = 2 .3 4 W A / (12.2.65)
U.64
Sec. 12.2 N onparametric Methods for Power Spectrum Estimation 919
TABLE 12.1 QUALITY OF POWER

SPECTRUM ESTIMATES
Estimate Quality Factor
Bartlett l.UNAf
Welch 1.39NA/
(50% overlap)
Blackman-Tukey 2.34AfA/
T h e se re su lts a re su m m a riz e d in T a b le 12.1. It is a p p a re n t fro m th e resu lts

w e h av e o b ta in e d th a t th e W elch a n d B la c k m a n -T u k e y p o w e r sp e c tru m e stim a te s
a re so m e w h a t b e tte r th a n th e B a rtle tt e stim a te . H o w e v e r, th e d iffe re n c e s in p e r
fo rm a n c e a re relativ ely sm all. T h e m ain p o in t is th a t th e q u a lity fa c to r in crease s
w ith an in c re a se in th e le n g th N o f th e d a ta . T h is c h a ra c te ristic b e h a v io r is n o t
s h a re d by th e p e rio d o g ra m estim a te . F u rth e rm o re , th e q u a lity fa c to r d e p e n d s on
th e p ro d u c t o f th e d a ta len g th N a n d th e fre q u e n c y re so lu tio n A f . F o r a d e
sire d level o f q u ality , A f can b e d e c re a s e d (fre q u e n c y re so lu tio n in c re a se d ) by
in creasin g th e len g th N o f th e d a ta , a n d vice versa.
12.2.5 Computational Requirements of Nonparametric

Power Spectrum Estimates
T h e o th e r im p o rta n t a s p e c t o f th e n o n p a ra m e tric p o w e r sp e c tru m e stim a te s is

th e ir c o m p u ta tio n a l re q u ire m e n ts . F o r th is c o m p a riso n w e assu m e th e e stim a te s
a re b a s e d o n a fixed a m o u n t o f d a ta N a n d a specified re so lu tio n A f . T h e radix-
2 F F T a lg o rith m is a ssu m ed in all th e c o m p u ta tio n s. W e shall c o u n t only th e
n u m b e r o f c o m p lex m u ltip lic a tio n s re q u ire d to c o m p u te th e p o w e r sp e c tru m e sti
m a te .
Bartlett power spectrum estimate

F F T len g th = M = 0 .9 / A /
N u m b e r o f F F T s = — = 1.11W A f
M J
N u m b e r o f c o m p u ta tio n s = log2 M j ~ — log2
Welch power spectrum estimate (50% overlap)

F F T len g th = M — 1 .2 8 /A /
N u m b e r o f F F T s = — = 1. 56N A f
M
Number of computations = — I( y—' olog2

feM*)
In a d d itio n to th e 2 N /Af F F T s, th e r e a re a d d itio n a l m u ltip lic a tio n s re q u ire d

fo r w in d o w in g th e d a ta . E a c h d a ta re c o rd re q u ire s M m u ltip lic atio n s. T h e re fo re ,
th e to ta l n u m b e r o f c o m p u ta tio n s is
1 28 5 12
T o ta l c o m p u ta tio n s = 2 N + N log2 —— = N lo g , ——
Af - Af
Blackman-Tukey power spectrum estimate. In th e B ia c k m a n -T u k e y

m e th o d , th e a u to c o rre la tio n rxx{m) can b e c o m p u te d efficiently via th e F F T a l
g o rith m . H o w e v e r, if th e n u m b e r o f d a ta p o in ts is larg e, it m ay n o t b e p o ssib le to
c o m p u te o n e A p p oint D F T . F o r ex a m p le , we m ay h ave N = 105 d a ta p o in ts b ut
o nly th e cap ac ity to p e rfo rm 1024-point D F T s. S ince th e a u to c o rre la tio n se q u e n c e
is w in d o w ed to 2 M — 1 p o in ts w h e re M <£: N , it is p o ssible to c o m p u te th e d esired
2 M — 1 p o in ts o f rxx(m) by se g m e n tin g th e d a ta in to K = N f l M re c o rd s a n d th e n
c o m p u tin g 2 A /-p o in t D F T s a n d o n e 2 M -p o in t I D F T via th e F F T alg o rith m . R a d e r
(1970) h as d e sc rib e d a m e th o d fo r p e rfo rm in g th is c o m p u ta tio n (se e P ro b le m 12.7).
If w e b ase th e c o m p u ta tio n a l co m p lex ity o f th e B la c k m a n -T u k e y m e th o d on
th is a p p ro a c h , we o b ta in th e follow ing c o m p u ta tio n a l re q u ire m e n ts .
F F T len g th = 2 M = 1 .2 8 /A /
/ N \ N
N um ber o f FFT s = 2 K + 1 = 2 { — ) + 1 ^ —
\2M J M
N u m b e r o f c o m p u ta tio n s = log2 2 M ) = N log2
W e can neg lect th e a d d itio n a l M m u ltip lic a tio n s re q u ire d to w in d o w th e a u to c o r

re la tio n se q u e n c e rxx(m), since it is a relativ ely sm all n u m b e r. F in ally , th e re is th e
a d d itio n a l c o m p u ta tio n re q u ire d to p e rfo rm th e F o u rie r tra n s fo rm o f th e w in d o w ed
a u to c o rre la tio n se q u en ce. T h e F F T a lg o rith m can b e used fo r th is co m p u ta tio n
w ith so m e zero p a d d in g fo r p u rp o se s o f in te rp o la tin g th e s p e c tra l e stim a te . A s a
re su lt o f th e se a d d itio n a l c o m p u ta tio n s, th e n u m b e r o f c o m p u ta tio n s is in crease d
by a sm all a m o u n t.
F ro m th e se resu lts w e c o n c lu d e th a t th e W elch m e th o d r e q u ire s a little m o re
c o m p u ta tio n a l p o w e r th a n d o th e o th e r tw o m e th o d s. T h e B a rtle tt m e th o d a p p a r
en tly re q u ire s th e sm a llest n u m b e r o f c o m p u ta tio n s. H o w e v e r, th e d ifferen ces in
th e c o m p u ta tio n a l re q u ire m e n ts of th e th re e m e th o d s a re re la tiv e ly sm all.
12.3 PARAMETRIC METHODS FOR POWER SPECTRUM ESTIMATION
T h e n o n p a ra m e tric p o w e r sp e c tru m e stim a tio n m e th o d s d e s c rib e d in th e p re c e d in g

se ctio n a re re lativ ely sim p le, w ell u n d e rsto o d , an d easy to c o m p u te using th e F F T
alg o rith m . H o w ev er, th e s e m e th o d s re q u ire th e av ailab ility o f lo n g d a ta re c o rd s in
o r d e r to o b ta in th e n ecessa ry fre q u e n c y re so lu tio n re q u ire d in m a n y ap p licatio n s.
F u rth e rm o re , th e s e m e th o d s su ffer fro m sp e c tra l le a k a g e effects, d u e to w indow -
Sec. 12.3 Parametric Methods for Power Spectrum Estimation 921
ing, th a t a re in h e re n t in fin ite-len g th d a ta reco rd s. O fte n , th e sp e c tra l leak ag e

m ask s w eak sig n als th a t a re p re s e n t in th e d a ta .
F ro m o n e p o in t o f view , th e basic lim ita tio n o f th e n o n p a ra m e tric m e th o d s is
th e in h e re n t a ssu m p tio n th a t th e a u to c o rre la tio n e stim a te rxx(m) is z e ro fo r m > N,
as im p lied by (12.1.33). T h is a ssu m p tio n se v ere ly lim its th e fre q u e n c y re so lu tio n
an d th e q u a lity o f th e p o w e r sp e c tru m e s tim a te th a t is ach iev ed . F ro m a n o th e r
v iew p o in t, th e in h e re n t a ssu m p tio n in th e p e rio d o g ra m e s tim a te is th a t th e d a ta
are p e rio d ic w ith p e rio d N . N e ith e r o n e o f th e s e a s su m p tio n s is realistic.
In th is se ctio n w e d esc rib e p o w e r sp e c tru m e s tim a tio n m e th o d s th a t d o n o t
re q u ire such a s su m p tio n s. In fact, th e s e m e th o d s ext rapolate th e v alu es o f th e
a u to c o rre la tio n fo r lags m > N. E x tra p o la tio n is p o ssib le if w e h av e so m e a pri ori
in fo rm a tio n o n h o w th e d a ta w ere g e n e ra te d . In such a case a m o d e l fo r th e signal
g e n e ra tio n can b e c o n s tru c te d w ith a n u m b e r o f p a ra m e te rs th a t can b e e s tim a te d
fro m th e o b se rv e d d a ta . F ro m th e m o d e l an d th e e s tim a te d p a ra m e te rs , w e can
c o m p u te th e p o w e r d e n sity sp e c tru m im plied by th e m odel.
In effect, th e m o d e lin g a p p ro a c h e lim in a te s th e n e e d fo r w indow fu n ctio n s
an d th e a s su m p tio n th a t th e a u to c o rre la tio n se q u e n c e is z e ro fo r \m\ > N . A s a
c o n s e q u e n c e , paramet ri c (m o d e l-b a s e d ) p o w e r sp e c tru m e s tim a tio n m e th o d s avoid
th e p ro b le m o f le a k a g e a n d p ro v id e b e tte r freq u e n c y re so lu tio n th a n d o th e F F T -
b ased , n o n p a ra m e tric m e th o d s d e sc rib e d in th e p re c e d in g se ctio n . T h is is e s p e
cially tru e in a p p lic a tio n s w h e re sh o rt d a ta re c o rd s a re a v a ila b le d u e t o tim e -v a ria n t
o r tra n sie n t p h e n o m e n a .
T h e p a ra m e tric m e th o d s c o n s id e re d in th is section a re b ased o n m o d elin g
th e d a ta se q u e n c e * (« ) as th e o u tp u t o f a lin ear system c h a ra c te riz e d by a ra tio n a l
sy stem fu n ctio n o f th e fo rm
(12.3.1)
T h e c o rre sp o n d in g d iffe re n c e e q u a tio n is

p
(12.3.2)
w h e re w( n) is th e in p u t se q u e n c e to th e system a n d th e o b se rv e d d a ta , x( n ) ,
re p re s e n ts th e o u tp u t se q u e n c e .
In p o w e r sp e c tru m e stim a tio n , th e in p u t se q u e n c e is n o t o b se rv a b le . H o w
e v e r, if th e o b se rv e d d a ta a re c h a ra c te riz e d as a s ta tio n a ry ra n d o m p ro cess, th e n
th e in p u t se q u e n c e is also assu m ed to b e a s ta tio n a ry ra n d o m process. In such a
case th e p o w e r d e n s ity sp e c tru m o f th e d a ta is
r „ ( / ) = \ n ( f ) \ 2r ww( f )
w h e re r ,*„*,(/) is th e p o w e r d en sity sp e c tru m o f th e in p u t se q u e n c e a n d H ( f ) is
th e fre q u e n c y re sp o n s e o f th e m o d el.
9 22 Power Spectrum Estimation Chap. 12
S ince o u r o b jectiv e is to e stim a te th e p o w e r d en sity s p e c tru m r „ ( / ) , it is

c o n v e n ie n t to assu m e th a t th e in p u t se q u e n c e w( n ) is a z e ro -m e a n w h ite noise
se q u e n c e w ith a u to c o rre la tio n
Yww( m) = ^ S ( m )
w h e re a 2 is th e v a ria n c e (i.e., a 2 = £ [|u>(«)|2]). T h e n th e p o w e r d en sity sp e c tru m

o f th e o b se rv e d d a ta is sim ply
T „ (/) = ol\H {f)\2 = (12.3.3)
In S e ctio n 11.1 w e d e sc rib e d th e r e p re s e n ta tio n o f a sta tio n a ry ra n d o m p ro c e ss as

given b y (12.3.3).
In th e m o d e l-b a se d a p p ro a c h , th e sp e c tru m e s tim a tio n p ro c e d u re consists
o f tw o step s. G iv e n th e d a ta se q u e n c e x ( n) , 0 < n < JV - 1, w e e stim a te th e
p a r a m e te r s {a*} a n d (6*) o f th e m o d el. T h e n fro m th e s e e s tim a te s , w e c o m p u te
th e p o w e r sp e c tru m e s tim a te acco rd in g to (12.3.3).
R e c a ll th a t th e ra n d o m p ro c e ss x ( n ) g e n e ra te d b y th e p o le - z e r o m o d e l in
(12.3.1) o r (12.3.2) is called an aut or e gr es s i ve- movi ng average (A R M A ) pr oc es s o f
o r d e r (p , q) a n d it is u sually d e n o te d as A R M A (p , q). I f q = 0 a n d fro = th e
re su ltin g system m o d e l h as a system fu n c tio n H ( z ) = 1 /A (z) a n d its o u tp u t x( n)
is called a n autoregressive (A R ) process o f o r d e r p. T h is is d e n o te d as A R(/>).
T h e th ird p o ssib le m o d e l is o b ta in e d by se ttin g A ( z ) = 1, so th a t H( z ) — B{z). Its
o u tp u t x ( n ) is called a m o v i n g average (M A ) p r o c e s s o f o r d e r q a n d d e n o te d as
M A (^ ).
O f th e se th re e lin e a r m o d els th e A R m o d e l is by fa r th e m o st w idely used.
T h e re a so n s a re tw o fo ld . F irst, th e A R m o d e l is su ita b le fo r re p re s e n tin g sp e ctra
w ith n a rro w p e a k s (re so n a n c e s). S eco n d , th e A R m o d e l re su lts in v ery sim ple
lin e a r e q u a tio n s fo r th e A R p a ra m e te rs . O n th e o th e r h a n d , th e M A m o d e l, as
a g e n e ra l ru le , re q u ire s m an y m o re co effic ie n ts to r e p re s e n t a n a rro w sp ectru m .
C o n s e q u e n tly , it is ra re ly u se d by itse lf as a m o d e l f o r s p e c tru m e s tim a tio n . By
co m b in in g p o le s a n d zero s, th e A R M A m o d e l p ro v id e s a m o re efficien t re p re s e n
ta tio n , fro m th e v iew p o in t o f th e n u m b e r o f m o d e l p a ra m e te rs , o f th e sp e c tru m
o f a ra n d o m p ro cess.
T h e d e c o m p o sitio n th e o re m d u e to W o ld (1938) a s se rts th a t an y A R M A o r
M A p ro c e ss can b e re p re s e n te d u n iq u ely by an A R m o d e l o f p o ssib ly infinite o rd e r,
a n d a n y A R M A o r A R p ro c e ss c a n b e r e p re s e n te d by a M A m o d e l o f possibly
in fin ite o rd e r. In v iew o f this th e o re m , th e issue o f m o d e l se le c tio n re d u c e s to
selectin g th e m o d e l th a t re q u ire s th e sm a llest n u m b e r o f p a r a m e te r s th a t a re also
easy to c o m p u te . U su ally , th e choice in p ra c tic e is th e A R m o d e l. T h e A R M A
m o d e l is u sed to a le s se r ex ten t.
B e fo re d escrib in g m e th o d s fo r e s tim a tin g th e p a r a m e te r s in a n A R ( p ) , MA(<?),
a n d A R M A ( p , q) m o d els, it is useful to e sta b lish th e b asic re la tio n sh ip s b etw een
th e m o d e l p a r a m e te r s a n d th e a u to c o rre la tio n s e q u e n c e yxx( m). In a d d itio n , we
re la te th e A R m o d e l p a ra m e te rs to th e co efficien ts in a lin e a r p r e d ic to r fo r the
p ro c e ss x( n) .
Sec. 12.3 Parametric Methods for Power Spectrum Estimation 9 23
12.3.1 Relationships Between the Autocorrelation and

the Model Parameters
In S ectio n 11.1.2 w e esta b lish e d th e b asic re la tio n sh ip s b e tw e e n th e a u to c o rre la tio n

{ ^ ( m ) } a n d th e m o d e l p a r a m e te r s {a*} a n d {bk}. F o r th e A R M A ( p , q) process,
th e re la tio n sh ip g iv en by (11.1.18) is
~22QkYxx>jn - k), m > q
Yxx (m) = p (12.3.4)

~ 2 2 ot Yxxi m - ^ + <*122 0 <m <q
*=l *=o
y*x (—m) , m < 0
T h e re la tio n sh ip s in (12.3.4) p ro v id e a fo rm u la fo r d e te rm in in g th e m o d el
p a ra m e te rs {ak} by re stric tin g o u r a tte n tio n to th e case m > q. T h u s th e se t o f
lin e a r e q u a tio n s
~Yxx(q) Yxxiq ~ 1) • Yxxiq ~ p + 1 ) '

Yxxiq + 1) Yxxiq) • Yxx (q + P + 2)
-Yxx(q + / ? - ! ) Yxx(q + p - 2) • • Yxxiq)

Yxxiq + 1)
yxx(q + 2)
(12.3.5)
- Yx xi q + P ) -
can b e u se d to so lv e fo r th e m o d e l p a ra m e te rs {ak} by u sin g e s tim a te s o f th e
a u to c o rre la tio n se q u e n c e in place o f Yxx ) fo r m > q. T h is p ro b le m is d iscussed
in S e ctio n 12.3.8.
A n o th e r in te r p re ta tio n o f th e re la tio n sh ip in (12.3.5) is th a t th e v alu es o f
th e a u to c o rre la tio n Yxx ) iox m > q a re u n iq u e ly d e te rm in e d fro m th e p o le
p a ra m e te rs {ak} a n d th e v alu es o f y xx(m) fo r 0 < m < p. C o n s e q u e n tly , th e lin e a r
sy stem m o d e l a u to m a tic a lly e x te n d s th e v alu es o f th e a u to c o rre la tio n se q u e n c e
Yxx(m) fo r m > p.
If th e p o le p a ra m e te rs {a*} a re o b ta in e d fro m (12.3.5), th e re su lt d o e s n o t
h e lp u s in d e te rm in in g th e M A p a r a m e te r s {i*}, b e c a u se th e e q u a tio n
q-m p
° l 2 2 h ( f t bk+m = Yxx(m) + ' Y 2 a kYxx{m - k) 0 < m < q
d e p e n d s o n th e im p u lse re sp o n s e h( n). A lth o u g h th e im p u lse re sp o n s e can be

e x p re ss e d in te rm s o f th e p a ra m e te rs {£*} by lo n g division o f B(z) w ith th e kn o w n
A( z ) , th is a p p ro a c h re su lts in a se t o f n o n lin e a r e q u a tio n s fo r th e M A p a r a m
eters.
I f w e a d o p t a n A R ( p ) m o d e l fo r th e o b se rv e d d a ta , th e re la tio n s h ip b e tw e e n
th e A R p a ra m e te rs a n d th e a u to c o rre la tio n se q u e n c e is o b ta in e d by se ttin g q = 0
in (12.3.4). T h u s w e o b ta in
p
~ Y 2 akYxx(m - k), m> 0

*=i
p
Y xx(m ) = (12.3.6)
- J 2 akYxx(m - k ) + ct^, m = 0
Jt=i
Yxx( ~ m )- m < 0
In th is case, th e A R p a r a m e te r s {a*) a re o b ta in e d fro m th e so lu tio n o f th e Y u le -
W a lk e r o r n o rm a l e q u a tio n s
Yxx (0) Y x x ( ~ 1) Y x x i - P + 1) ~a\ " ’ Y x x i 1) "
Yxx(l) Y x x ( 0) Yxx(~ P + 2) a2 Yxx (2)

(12.3.7)
- Y x x i p - 1) Y x x ip - 2) Krjr (0) . Y xx( P ) .
a n d th e v aria n c e a 2 can b e o b ta in e d fro m th e e q u a tio n

p
= Yxxi® ) + Y 2 a k Y x x i ~ k ) (12.3.8)
T h e e q u a tio n s in (12.3.7) a n d (12.3.8) a re u su ally co m b in e d in to a single m atrix

e q u a tio n o f th e fo rm
Yxx ( 0 ) Yx x ( 1) - 1 - ~a l ~
Y xx(l) Yxx ( 0 ) ■■■ Y x x ( - p + 1) a\ 0
= (12.3.9)
L y„(p) Y x x ip - 1) ••• y « (0 ) -ap_ _0 _

S ince th e c o rre la tio n m atrix in (12.3.7), o r in (12.3.9), is T o e p litz , it can b e effi
cien tly in v e rte d b y u se o f th e L e v in s o n - D u rb in a lg o rith m .
T h u s all th e sy stem p a r a m e te r s in th e A R (/?) m o d e l a r e easily d e te rm in e d
fro m k n o w le d g e o f th e a u to c o rre la tio n se q u e n c e yx x (m) fo r 0 < m < p. F u rth e r
m o re , (12.3.6) can b e u se d to e x te n d th e a u to c o rre la tio n s e q u e n c e f o r m > p, o n ce
th e {at) a re d e te rm in e d .
F in ally , f o r c o m p le te n e s s, w e in d ic a te th a t in a M A (^ ) m o d e l f o r th e o b se rv e d
d a ta , th e a u to c o rre la tio n se q u e n c e yjjr(m ) is re la te d to th e M A p a r a m e te r s [bk] by
th e e q u a tio n
9
< ? l Y ^ b kbk+m, 0 <m <q
Yxx(m ) 1=0 (12.3.10)
0, m > q
y*x( - m ) , m < 0
which was established in Section 11.1.
W ith th is b a c k g ro u n d esta b lish e d , w e no w d esc rib e th e p o w e r sp e c tru m e s

tim a tio n m e th o d s fo r th e A R (/?), A R M A (/?,< ?), a n d MA(<?) m o d els.
12.3.2 The Yule-Walker Method for the AR Model

Parameters
In th e Y u le - W a lk e r m e th o d we sim ply e stim a te th e a u to c o rre la tio n fro m th e

d a ta an d u se th e e stim a te s in (12.3.7) to solve fo r th e A R m o d e l p a ra m e te rs.
In th is m e th o d it is d e s ira b le to use th e b iased fo rm o f th e a u to c o rre la tio n e sti
m a te ,
^ N - m —1
rxx(m) = — y ' jc*(n)jc(« + m) m> 0 (12.3.11)
N “n = 0
to e n s u re th a t th e a u to c o rre la tio n m atrix is p o sitiv e se m id e fin ite. T h e re su lt is

a sta b le A R m o d el. A lth o u g h sta b ility is n o t a critical issue in p o w e r sp e c
tru m e s tim a tio n , it is c o n je c tu re d th a t a sta b le A R m o d e l b e st re p re s e n ts th e
d ata.
T h e L e v in s o n -D u rb in alg o rith m d e sc rib e d in C h a p te r 11 w ith rxx( m ) su b sti
tu te d fo r yxx(m) yield s th e A R p a ra m e te rs. T h e c o rre sp o n d in g p o w e r sp e c tru m
e s tim a te is
2
P r w ( f ) = --------------- ^ ---------------- (12 3 12)
" II + £ L i a P( * ) e - J2*/ l l2
w h e re a p(k) a re e s tim a te s o f th e A R p a ra m e te rs o b ta in e d fro m th e L e v in s o n -
D u rb in re c u rsio n s a n d
<7l p = £ / = rxx(0) f [ [ l - M ) | 2] (12.3.13)

*=i
is th e e s tim a te d m in im u m m e a n -sq u a re v alue fo r th e p th - o rd e r p re d ic to r. A n
ex a m p le illu stra tin g th e fre q u e n c y re so lu tio n ca p a b ilitie s o f th is e s tim a to r is given
in S ectio n 12.3.9.
In e stim a tin g th e p o w e r sp e c tru m o f sin u so id al signals via A R m o d els, L acoss
(1971) sh o w ed th a t sp e c tra l p e a k s in an A R sp e c tru m e s tim a te a re p ro p o rtio n a l
to th e s q u a re o f th e p o w e r o f th e sin u so id al signal. O n th e o th e r h a n d , th e a re a u n
d e r th e p e a k in th e p o w e r d en sity sp e c tru m is lin early p ro p o rtio n a l to th e p o w e r o f
th e sin u so id . T h is c h a ra c te ristic b e h a v io r h o ld s fo r all A R m o d e l-b a se d estim atio n
m e th o d s.
12.3.3 The Burg Method for the AR Model Parameters
T h e m e th o d d ev ised b y B u rg (1968) fo r e stim a tin g th e A R p a r a m e te r s can be

v iew ed as an o rd e r-re c u rsiv e le a st-sq u a re s lattice m e th o d , b a s e d on th e m in im iz a
tio n o f th e fo rw a rd a n d b ac k w a rd e rro rs in lin e a r p re d ic to rs , w ith th e c o n s tra in t
th a t th e A R p a r a m e te r s satisfy th e L e v in s o n -D u rb in re c u rsio n .
926 Pow er Spectrum Estimation Chap. 12
T o d e riv e th e e s tim a to r, su p p o s e th a t w e a re given th e d a ta * (n ), n = 0,

1.........N — 1, a n d let us c o n sid e r th e fo rw a rd a n d b a c k w a rd lin e a r p re d ic tio n e sti
m a te s o f o r d e r m , given as
m
x(n) = — y am(fc)x (rt — fc)
*=1 (12.3.14)
m
x ( n - m) = — (fc)x(n + k — m)
k= 1
a n d th e c o rre sp o n d in g fo rw a rd a n d b a c k w a rd e rro rs f m{n) a n d gm(n) defin ed as

f m{n) = x(n) — x(n) a n d gm(n) = x(n — m) — x(n — m ) w h e re am(k), 0 < k <
m — 1, m = 1, 2 , . . . , p, are th e p re d ic tio n coefficients. T h e le a st-sq u a re s e r ro r
is
A'-l
+ \ g M \ 2] (12.3.15)
n=/n
T h is e r r o r is to b e m in im ized by se lectin g th e p re d ic tio n coefficients, su b je ct

to th e c o n s tra in t th a t th e y satisfy th e L e v in s o n -D u rb in re c u rsio n given by
am(k) = a m- i( * ) -I- -k) 1 < fc < m - 1 (12.3.16)
1 < m < p
w h ere K m = a m(m) is th e m th reflec tio n c o effic ie n t in th e la ttic e filter re a liz a tio n

o f th e p re d ic to r. W h e n (12.3.16) is s u b s titu te d in to th e ex p re ssio n s fo r f m(n)
a n d gm(n), th e re su lt is th e p a ir o f o rd e r-re c u rsiv e e q u a tio n s fo r th e fo rw a rd a n d
b ac k w a rd p re d ic tio n e rro rs given by (11.2.4).
N ow , if w e su b s titu te fro m (11.2.4) in to (12.3.16) a n d p e rfo rm th e m in im iza
tio n o f £ m w ith re sp e c t to th e co m p lex -v alu ed re fle c tio n co effic ie n t K m, w e o b ta in
th e resu lt
N-1
fm-i(n)g*m- i ( n - D
Km = ------------------------------------ m = 1 ,2 , . . . , p (12.3.17)
n=m
T h e te rm in th e n u m e r a to r o f (12.3.17) is a n e s tim a te o f th e c ro ssc o rre la tio n b e

tw e e n th e fo rw a rd a n d b ac k w a rd p re d ic tio n e rro rs. W ith th e n o rm a liz a tio n facto rs
in th e d e n o m in a to r o f (12.3.17), it is a p p a r e n t th a t |AT,J < 1, so th a t th e all-pole
m o d e l o b ta in e d fro m th e d a ta is sta b le . T h e r e a d e r sh o u ld n o te th e sim ilarity o f
(12.3.17) to its sta tistical c o u n te rp a rts given b y (11.2.29).
W e n o te th a t th e d e n o m in a to r in (12.3.17) is sim ply th e le a s t-s q u a re s e s tim a te
o f th e fo rw a rd a n d b a c k w a rd e rro rs, a n d E ^ _ v re sp e c tiv e ly . H e n c e (12.3.17)
can b e e x p re ss e d as
- 1)
Km = m = 1, 2 , . . . , p (12.3.18)
w h e re + E bm- \ is an e stim a te o f th e to ta l sq u a re d e r ro r E m. W e leave it as

a n ex ercise fo r th e r e a d e r to verify th a t th e d e n o m in a to r te r m in (12.3.18) can be
c o m p u te d in an o rd e r-re c u rsiv e fash io n a c co rd in g to th e re la tio n
E m = (1 - \ Km |2) £ m_i - |/m -] (m - 1)[2 - |gm_ ,(m - 2 ) |2 (12.3.19)
w h e re E„, = E ^ + E b is th e to ta l le a st-sq u a re s e rro r. T h is re su lt is d u e to A n d e rse n

(1978).
T o su m m arize, th e B u rg a lg o rith m c o m p u te s th e reflec tio n coefficients in
th e e q u iv a le n t lattice s tru c tu re as specified by (12.3.18) a n d (12.3.19). a n d th e
L e v in s o n -D u rb in a lg o rith m is u se d to o b ta in th e A R m o d e l p a ra m e te rs. F ro m
th e e s tim a te s o f th e A R p a ra m e te rs, w e fo rm th e p o w e r sp e c tru m e s tim a te
2 (12.3.20)
p
1 + j 2 a p( k ) e - W ‘
T h e m a jo r a d v a n ta g e s o f th e B u rg m e th o d fo r e stim a tin g th e p a ra m e te rs o f
th e A R m o d e l a re (1) it resu lts in high fre q u e n c y re so lu tio n , (2) it yields a sta b le
A R m o d el, an d (3) it is c o m p u ta tio n a lly efficient.
T h e B u rg m e th o d is k n o w n to h av e se v e ra l d isa d v a n ta g e s, h o w ev er. F irst,
it ex h ib its sp e c tra l lin e sp littin g a t high sig n a l-to -n o ise ratio s, [see th e p a p e r by
F o u g e re e t al. (1976)]. B y line sp littin g , w e m e a n th a t th e sp e c tru m o f x( n) m ay
h a v e a sin g le sh a rp p e a k , b u t th e B u rg m e th o d m ay re s u lt in tw o o r m o re closely
sp a ced p e a k s. F o r h ig h -o rd e r m o d els, th e m e th o d also in tro d u c e s sp u rio u s p eak s.
F u rth e rm o r e , fo r sin u so id al signals in n o ise , th e B u rg m e th o d ex h ib its a sensitivity
to th e in itial p h a se o f a sinusoid, esp ecially in s h o rt d a ta reco rd s. T h is sensitivity
is m a n ife st as a fre q u e n c y shift fro m th e tru e freq u e n cy , re su ltin g in a p h a se d e
p e n d e n t fre q u e n c y b ias. F o r m o re d etails o n so m e o f th e s e lim ita tio n s th e r e a d e r
is r e fe rr e d to th e p a p e rs o f C h e n a n d S te g e n (1974), U lry c h a n d C lay to n (1976),
F o u g e re e t al. (1976), K ay a n d M a rp le (1979), S w ingler (1979a, 1980), H e rrin g
(1980), a n d T h o rv a ld s e n (1981).
S ev eral m o d ifica tio n s h av e b e e n p ro p o se d to o v e rc o m e so m e o f th e m o re
im p o rta n t lim ita tio n s o f th e B u rg m e th o d : n a m ely , th e lin e sp littin g , sp u rio u s
p e a k s , a n d fre q u e n c y bias. B asically, th e m o d ifica tio n s inv o lv e th e in tro d u c tio n
o f a w eig h tin g (w in d o w ) se q u e n c e o n th e sq u a re d fo rw a rd a n d b ack w a rd e r
ro rs . T h a t is, th e le a st-sq u a re s o p tim iz a tio n is p e rfo rm e d o n th e w e ig h te d s q u a re d
e rro rs
N-1
£™ b = £ wm( n) [ \ f m(n)\2 + |gm(n)[2] (12.3.21)
w hich , w h en m in im iz ed , re su lts in th e reflec tio n coefficient e s tim a te s

A '- l
']Tl Wm--i(n)fm- i ( n ) g Z _ l (n - 1)
Km = ~1 ~ L-------------------------------------------------- (12.3.22)
- E
1 n=m
+ |g m- i ( n - 1 )|2]
In p a rtic u la r, w e m e n tio n th e use o f a H a m m in g w in d o w u se d by S w ingler

(1979b), a q u a d ra tic o r p a ra b o lic w in d o w u sed by K av eh a n d L ip p e rt (1983), th e
e n erg y w eig h tin g m e th o d u se d by N ik ias a n d S co tt (1982), a n d th e d a ta -a d a p tiv e
en e rg y w eig h tin g u se d by H e lm e an d N ik ias (1985).
T h e se w in d o w in g a n d en erg y w eig h tin g m e th o d s h av e p ro v e d effe ctiv e in
re d u cin g th e o c c u rre n c e o f line sp littin g a n d sp u rio u s p eak s, a n d a re also effective
in re d u c in g fre q u e n c y bias.
T h e B u rg m e th o d fo r p o w e r sp e c tru m e s tim a tio n is u su a lly asso ciated w ith
m a x i m u m ent r opy spe ct r um est i mati on, a c rite rio n u sed by B u rg (1967, 1975) as a
basis f o r A R m o d elin g in p a ra m e tric s p e c tru m e s tim a tio n . T h e p ro b le m co n sid e re d
by B u rg w as h o w b e st to e x tra p o la te fro m th e given v alu es o f th e a u to c o rre la tio n
se q u e n c e yxx{m), 0 < m < p , th e v alu es fo r m > p, such th a t th e e n tire a u to c o r re
latio n se q u e n c e is p o sitiv e se m id efin ite. S ince an in fin ite n u m b e r o f e x tra p o la tio n s
a re p o ssib le, B u rg p o s tu la te d th a t th e e x tra p o la tio n s b e m a d e o n th e b asis o f m ax i
m izing u n c e rta in ty (e n tro p y ) o r ra n d o m n e ss , in th e se n se th a t th e sp e c tru m Txx{ f )
o f th e p ro cess is th e fla tte st o f all sp e c tra w hich h a v e th e g iv en a u to c o rre la tio n
valu es yxx(m), 0 < m < p. In p a rtic u la r th e e n tro p y p e r sa m p le is p ro p o rtio n a l to
th e in te g ra l [see B u rg (1975)]
r 1/2
/ In r xx( f ) d f (12.3.23)
J-l/2
B u rg fo u n d th a t th e m ax im u m o f th is in te g ra l su b je ct to th e ( p + 1) c o n stra in ts
rlfl
/ = Yxx(m) 0 < m < p (12.3.24)
J - 1/2
is th e A R ( p ) p ro c e ss fo r w hich th e given a u to c o rre la tio n se q u e n c e yxx( m), 0 <
m < p is re la te d to th e A R p a ra m e te rs by th e e q u a tio n (12.3.6). T h is so lu tio n
p ro v id e s an a d d itio n a l ju stificatio n fo r th e u se o f th e A R m o d e l in p o w e r sp e c tru m
e stim a tio n .
In view o f B u rg ’s b asic w o rk in m ax im u m e n tro p y s p e c tra l es tim a tio n , th e
B u rg p o w e r sp e c tru m e s tim a tio n p ro c e d u re is o fte n called th e m a x i m u m ent ropy
m e t h o d (M E M ). W e sh o u ld em p h asize, h o w ev er, th a t th e m a x im u m e n tro p y sp e c
tru m is id en tical to th e A R -m o d e l sp e c tru m o n ly w h e n th e e x a c t a u to c o rre la tio n
yx x (m) is k n o w n . W h e n o n ly an e s tim a te o f yxx(m) is a v a ilab le fo r 0 < m < p, th e

A R -m o d e l e s tim a te s o f Y u le -W a lk e r a n d B u rg a re n o t m ax im u m e n tro p y sp e c
tra l e s tim a te s. T h e g e n e ra l fo rm u la tio n fo r th e m ax im u m e n tro p y sp e c tru m b a se d
on e stim a te s o f th e a u to c o rre la tio n se q u e n c e resu lts in a se t o f n o n lin e a r e q u a
tio n s. S o lu tio n s fo r th e m ax im u m e n tro p y sp e c tru m w ith m e a s u re m e n t e rro rs in
th e c o rre la tio n se q u e n c e h a v e b e e n o b ta in e d by N ew m an (1981) a n d S c h o tt a n d
M cC lellan (1984).
12.3.4 Unconstrained Least-Squares Method for the AR

Model Parameters
A s d e sc rib e d in th e p re c e d in g se ctio n , th e B u rg m e th o d f o r d e te rm in in g th e p a
r a m e te rs o f th e A R m o d e l is basically a le a st-sq u a re s la ttic e a lg o rith m w ith th e
a d d e d c o n s tra in t th a t th e p re d ic to r coefficients satisfy th e L e v in so n re c u rsio n . A s
a re su lt o f th is c o n s tra in t, a n in crease in th e o r d e r of th e A R m o d e l re q u ire s only
a sin g le p a r a m e te r o p tim iz a tio n a t e a c h stage. In c o n tr a s t to th is a p p ro a c h , w e
m ay use an u n c o n s tra in e d le a st-sq u a re s alg o rith m to d e te rm in e th e A R p a r a m e
ters.
T o e la b o ra te , w e fo rm th e fo rw a rd an d b ac k w a rd lin e a r p re d ic tio n e stim a te s
an d th e ir c o rre sp o n d in g fo rw a rd a n d b ac k w a rd e r ro r s as in d ic a te d in (12.3.14) a n d
(12.3.15). T h e n w e m in im ize th e sum o f sq u a re s o f b o th e rro rs , th a t is,
N -1
£p - Y l ^ f p ^ 2+
n=p
2 2"
p P
x ( n ) + ' Y \ ap ^ x ^n ~ k ) + x ( n - p) + 2 2 Op(k ) x( n + k - p)
„ *=i k=1
(12.3.25)
w h ich is th e sa m e p e rfo rm a n c e in d ex as in th e B u rg m e th o d . H o w e v e r, w e d o n o t
im p o se th e L e v in s o n - D u rb in re c u rsio n in (12.3.25) fo r th e A R p a ra m e te rs. T h e
u n c o n s tra in e d m in im iz atio n o f £p w ith re sp e c t to th e p re d ic tio n co effic ie n ts yields
th e se t o f lin e a r e q u a tio n s
£ M * ) ^ ( U ) = - r „ ( l , 0) l = l,2,...,p (12.3.26)
k=l
w h e re , by d efin itio n , th e a u to c o rre la tio n rxx( l , k ) is
JV-1
r „ ( / , k) = ~ k ) x *(n — 0 + x ( n - P + l)x*(n — p + £)] (12.3.27)
n—p
T h e re su ltin g re sid u a l le a st-sq u a re s e r r o r is
p
e pL s = r „ ( 0 ,0 ) + £ t f , ( * ) r „ ( 0 , k ) (12.3.28)
t-i
H e n c e th e u n c o n s tra in e d le a st-sq u a re s p o w e r s p e c tru m e s tim a te is
£ ls
P ^ i f ) = ----------------E---------------T (12.3.29)
1 + i 2 a p( k ) e - J^ k
k=l
T h e c o rre la tio n m a trix in (12.3.27), w ith e le m e n ts rxx(l, k) , is n o t T o e p litz , so
th a t th e L e v in s o n -D u rb in alg o rith m c a n n o t b e a p p lie d . H o w e v e r, th e c o rre la tio n
m atrix h a s su fficien t s tru c tu re to m a k e it p o ssib le to d ev ise c o m p u ta tio n a lly effi
cien t a lg o rith m s w ith c o m p u ta tio n a l co m p lex ity p ro p o rtio n a l to p 2. M a rp le (1980)
d ev ised such an a lg o rith m , w hich h a s a lattice s tru c tu re a n d em p lo y s L e v in so n -
D u rb in -ty p e o r d e r re c u rsio n s a n d a d d itio n a l tim e recu rsio n s.
T h is fo rm o f th e u n c o n s tra in e d le a st-sq u a re s m e th o d d e s c rib e d h a s also b e e n
called th e u n w i n d o w e d data le a st-sq u a re s m e th o d . I t h a s b e e n p ro p o s e d fo r sp e c
tru m e s tim a tio n in se v era l p a p e rs, in clu d in g th e p a p e rs b y B u rg (1967), N u tta ll
(1976), an d U lry ch an d C la y to n (1976). Its p e rfo rm a n c e c h a ra c te ristic s h av e b e e n
fo u n d to b e s u p e rio r to th e B u rg m e th o d , in th e se n se th a t th e u n c o n s tra in e d least-
sq u a re s m e th o d d o e s n o t e x h ib it th e sa m e sen sitiv ity to such p ro b le m s as line sp lit
ting, fre q u e n c y b ias, a n d sp u rio u s p eak s. In view o f th e c o m p u ta tio n a l efficiency o f
M a rp le ’s a lg o rith m , w hich is c o m p a ra b le to th e efficiency o f th e L e v in s o n -D u rb in
alg o rith m , th e u n c o n s tra in e d le a st-sq u a re s m e th o d is very a ttr a c tiv e . W ith this
m e th o d th e re is n o g u a ra n te e th a t th e e stim a te d A R p a r a m e te r s yield a sta b le
A R m o d el. H o w e v e r, in sp e c tru m e s tim a tio n , th is is n o t c o n s id e re d to be a
p ro b le m .
12.3.5 Sequential Estimation Methods for the AR Model

Parameters
T h e th r e e p o w e r sp e c tru m e s tim a tio n m e th o d s d e sc rib e d in th e p re c e d in g se ctio n s

fo r th e A R m o d e l can b e classified as b lo ck p ro cessin g m e th o d s. T h e se m e th o d s
o b ta in e stim a te s o f th e A R p a ra m e te rs fro m a b lo ck o f d a ta , say jr(n), n = 0,
I , . , N — I. T h e A R p a ra m e te rs , b a s e d o n th e b lo ck o f N d a ta p o in ts, a re th e n
u sed to o b ta in th e p o w e r sp e c tru m estim a te .
In situ a tio n s w h e re d a ta a re av ailab le on a c o n tin u o u s b asis, w e can still
se g m en t th e d a ta in to b lo ck s o f N p o in ts an d p e rfo rm sp e c tru m e stim a tio n on
a b lo ck -b y -b lo ck basis. T h is is o fte n d o n e in p ra c tic e , fo r b o th re a l-tim e an d
n o n -re a l-tim e ap p licatio n s. H o w e v e r, in such a p p lic a tio n s, th e r e is an a lte rn a tiv e
a p p ro a c h b ased o n se q u e n tia l (in tim e) e s tim a tio n o f th e A R m o d e l p a ra m e te rs as
each n ew d a ta p o in t b ec o m e s av ailab le. B y in tro d u c in g a w e ig h tin g fu n ctio n in to
p a s t d a ta sam p les, it is p o ssib le to d e e m p h a siz e th e effect o f o ld e r d a ta sam ples
as n ew d a ta a re receiv ed .
S e q u e n tia l la ttic e m e th o d s b ased o n recu rsiv e le a s t sq u a re s can b e em p lo y ed
to o p tim a lly e s tim a te th e p re d ic tio n a n d re fle c tio n c o effic ie n ts in th e lattice re
alizatio n o f th e fo rw a rd a n d b ac k w a rd lin e a r p re d ic to rs . T h e re c u rsiv e e q u a
tio n s fo r th e p re d ic tio n coefficients re la te directly to th e A R m o d el p a ra m e te rs.

In a d d itio n to th e o rd e r-re c u rsiv e n a tu re o f th e s e e q u a tio n s , as im p lied by th e
la ttic e stru c tu re , w e can also o b ta in tim e -re c u rsiv e e q u a tio n s fo r th e reflectio n
co effic ie n ts in th e lattice an d fo r th e fo rw a rd a n d b a c k w a rd p re d ic tio n coeffi
cien ts.
S e q u e n tia l rec u rsiv e le a st-sq u a re s a lg o rith m s a re e q u iv a le n t to th e u n c o n
stra in e d le a st-sq u a re s, b lo ck p ro cessin g m e th o d d e sc rib e d in th e p re c e d in g se c
tio n . H e n c e th e p o w e r sp e c tru m e stim a te s o b ta in e d by th e s e q u e n tia l recursive
le a s t-s q u a re s m e th o d re ta in th e d e s ira b le p r o p e rtie s o f th e b lo ck p ro cessin g alg o
rith m d e s c rib e d in S ectio n 12.3.4. S ince th e A R p a ra m e te rs a re b ein g co n tin u o u sly
e s tim a te d in a se q u e n tia l e stim a tio n a lg o rith m , p o w e r sp e c tru m e stim a te s can b e
o b ta in e d as o fte n as d e s ire d , fro m o n ce p e r sa m p le to o n c e ev ery N sam ples. By
p ro p e rly w e ig h tin g p a s t d a ta sam p les, th e s e q u e n tia l e s tim a tio n m e th o d s a re p a r
ticu larly su ita b le fo r e stim a tin g a n d tra c k in g tim e -v a ria n t p o w e r s p e c tra resu ltin g
fro m n o n s ta tio n a ry signal statistics.
T h e c o m p u ta tio n a l co m p lex ity o f s e q u e n tia l e s tim a tio n m e th o d s is g en erally
p ro p o rtio n a l to p, th e o r d e r o f th e A R p ro cess. A s a c o n se q u e n c e , se q u e n tia l
e s tim a tio n a lg o rith m s a re c o m p u ta tio n a lly efficient an d , fro m this v iew p o in t, m ay
o ffe r so m e a d v a n ta g e o v e r th e b lo ck p ro cessin g m e th o d s.
T h e re a re n u m e ro u s re fe re n c e s on se q u e n tia l e stim a tio n m e th o d s. T he p a
p e rs by G riffith s (1975), F rie d la n d e r (1982a, b ), a n d K a lo u p tsid is a n d T h e o d o rid is
(1987) a re p a rtic u la rly re le v a n t to th e sp e c tru m e s tim a tio n p ro b le m .
12.3.6 Selection of AR Model Order
O n e o f th e m o st im p o rta n t asp ects of th e use o f th e A R m o d e l is th e se lectio n

o f th e o r d e r p. A s a g e n e ra l ru le , if w e se lect a m o d e l w ith to o low an o r
d e r, w e o b ta in a highly sm o o th e d sp e c tru m . O n th e o th e r h a n d , if p is se le c te d
to o hig h , w e r u n th e risk o f in tro d u c in g sp u rio u s low -level p e a k s in th e sp e c
tru m . W e m e n tio n e d p rev io u sly th a t o n e in d ic a tio n o f th e p e rfo rm a n c e o f th e
A R m o d e l is th e m e a n -sq u a re v a lu e o f th e re sid u a l e rro r, w hich, in g en eral, is
d iffe re n t fo r each o f th e e stim a to rs d e sc rib e d a b o v e . T h e c h a ra c te ristic of th is
re sid u a l e r r o r is th a t it d e c re a s e s as th e o r d e r o f th e A R m o d e l is in crease d .
W e can m o n ito r th e r a te o f d e crease an d d e cid e to te r m in a te th e p ro cess w h en
th e ra te o f d e c re a s e b e c o m e s re la tiv e ly slow . I t is a p p a re n t, h o w ev er, th a t th is
a p p ro a c h m ay b e im p re cise an d ill-defined, an d o th e r m e th o d s sh o u ld b e in v esti
g ated .
M u ch w o rk h as b e e n d o n e by v a rio u s re s e a rc h e rs o n th is p ro b le m a n d m any
e x p e rim e n ta l re su lts h a v e b e e n given in th e lite ra tu r e [e.g., th e p a p e rs by G ersch
a n d S h a rp e (1973), U lry ch an d B ish o p (1975), T o n g (1975, 1977), J o n e s (1976),
N u tta ll (1976), B e rry m a n (1978), K a v e h a n d B ru z z o n e (1979), a n d K ash y ap
(1980)].
T w o o f th e b e tte r k n o w n c rite ria fo r se lectin g th e m o d e l o rd e r h av e b e e n
p r o p o s e d b y A k a ik e (1969, 1974). W ith th e first, c a lle d th e f i na l pr edi ct ion error
( FPE) criterion, th e o rd e r is se le c te d to m in im iz e th e p e rfo rm a n c e in d ex
FPE('’,=<(^373t) d2'3-30*
w h e re a 2p is th e e s tim a te d v a rian ce o f th e lin e a r p re d ic tio n e r ro r . T h is p e rfo r
m a n ce in d ex is b a s e d o n m in im izin g th e m e a n -s q u a re e r ro r fo r a o n e -ste p p re d ic to r.
T h e seco n d c rite rio n p r o p o s e d by A k a ik e (1974), called th e A k a i k e i n f o r ma
t ion criterion (A IC ), is b a se d o n se lectin g th e o r d e r th a t m in im iz es
A I C ( p ) = In a l p + 2 p / N (12.3.31)
N o te th a t th e te rm a 2p d e c re a s e s a n d th e r e fo r e In er2p also d e c re a s e s as th e o rd e r
o f th e A R m o d e l is in crease d . H o w e v e r, 2 p / N in c re a se s w ith an in crease in p.
H e n c e a m in im u m v alu e is o b ta in e d fo r so m e p.
A n a lte rn a tiv e in fo rm a tio n c rite rio n , p ro p o s e d by R is sa n e n (1983), is b ased
o n se lectin g th e o r d e r th a t m i n i mi z e s the description l ength (M D L ), w h e re M D L
is d efin ed as
M D L (/j) = N \ r \ a 2p + p i n N (12.3.32)
A fo u rth c rite rio n has b e e n p ro p o s e d by P a rz e n (1974). T h is is called th e

criterion aut oregressive transf er (C A T ) fu n ctio n a n d is d e fin ed as
C A T (p) = ( I £ _L ) - J - (12.3.33)
w h ere
(12.3.34)
T h e o rd e r p is se le c te d to m in im ize C A T (/?).
In ap p ly in g th is crite ria , th e m e a n sh o u ld b e re m o v e d fro m th e d a ta . Since
a 2k d e p e n d s o n th e ty p e o f sp e c tru m e s tim a te w e o b ta in , th e m o d e l o rd e r is also
a fu n ctio n o f th e c riterio n .
T h e e x p e rim e n ta l re su lts given in th e re fe re n c e s ju s t c ite d in d ic a te th a t
th e m o d e l-o rd e r se lectio n c rite ria d o n o t y ield d efin itiv e re su lts. F o r ex am p le,
U lry ch an d B ish o p (1975), J o n e s (1976), a n d B e rry m a n (1978), fo u n d th a t th e
F P E ( p ) c rite rio n te n d s to u n d e re s tim a te th e m o d e l o rd e r. K a s h y a p (1980) sh o w ed
th a t th e A IC c rite rio n is sta tistically in c o n s is te n t as N — oo. O n th e o th e r
h a n d , th e M D L in fo rm a tio n c rite rio n p ro p o s e d b y R issan n is statistically c o n
sisten t. O th e r e x p e rim e n ta l re su lts in d ic a te th a t fo r sm a d a ta len g th s, th e o r
d e r o f th e A R m o d e l sh o u ld b e se le c te d to b e in th e ra n g e N /3 to N f l fo r
g o o d resu lts. I t is a p p a r e n t th a t in th e a b se n c e o f any p r io r in fo rm a tio n r e
g ard in g th e p h y sical p ro c e ss th a t re su lte d in th e d a ta , o n e sh o u ld tr y d iffer
e n t m o d e l o r d e rs a n d d iffe re n t c rite ria an d , finally, c o n s id e r th e d iffe re n t
resu lts.
12.3.7 MA Model for Power Spectrum Estimation
A s show n in S ectio n 12.3.1, th e p a r a m e te r s in a M A (^ ) m o d e l a re re la te d to th e

sta tistical a u to c o rre la tio n yxx(m) by (12.3.10). H o w e v e r,
(12.3.35)
w h e re th e co efficien ts [dm] a re re la te d to th e M A p a r a m e te r s by th e ex p ressio n

g-\m\
(12.3.36)
(12.3.37)
a n d th e p o w e r sp e c tru m fo r th e MA(< 7 ) p ro cess is
(12.3.38)
It is a p p a r e n t fro m th e se e x p ressio n s th a t w e d o n o t h av e to solve fo r th e M A

p a ra m e te rs {£>*} to e stim a te th e p o w e r sp e c tru m . T h e e stim a te s o f th e a u to c o r re
latio n yxx( m) fo r |«?| < q suffice. F ro m such e stim a te s w e c o m p u te th e e s tim a te d
M A p o w e r sp e ctru m , g iven as
(12.3.39)
w h ich is id e n tic a l to th e classical (n o n p a ra m e tric ) p o w e r sp e c tru m e stim a te d e

sc rib ed in S ectio n 12.1.
T h e re is an a lte rn a tiv e m e th o d fo r d e te rm in in g {bk} b a se d o n a h ig h -o rd e r
A R a p p ro x im a tio n to th e M A p ro cess. T o b e specific, let th e MA(<?) p ro cess b e
m o d e le d by an A R ( p ) m o d el, w h e re p > > q. T h e n B( z ) = 1 / A( z ) , o r eq u iv alen tly ,
B ( z ) A ( z ) = 1. T h u s th e p a ra m e te rs {bk} a n d {ak} a re r e la te d by a co n v o lu tio n sum ,
w h ich can b e e x p ressed as
n = 0
(12.3.40)
n t^O
w h ere {a„} a re th e p a r a m e te r s o b ta in e d by fittin g th e d a ta to an A R ( p ) m odel.

A lth o u g h th is set o f e q u a tio n s c a n be easily solved fo r th e {£*}, a b e tte r fit is
o b ta in e d b y u sin g a le a st-sq u a re s e r r o r c rite rio n . T h a t is, w e fo rm th e sq u a re d e r ro r
2
ao = l, ak = 0, k <0 (12.3.41)
which is minimized by selecting the MA(?) parameters {£*}. The result of this
9 34 Power Spectrum Estimation Chap. 12
minimization is
b = - R ►~i
J r aa (12.3.42)
w h ere th e e le m e n ts o f a n d raa a re given as
p-tf-jl
R aa(\i ~ y |) = 22 i,j = l,2,...,q
n=0
(12.3.43)
p-i
raa 0 ) = 2 2 n+ ' I = 1, 2, . . . ,
T h is least sq u a re s m e th o d fo r d e te rm in in g th e p a r a m e te r s o f th e MA(<j)
m o d el is a ttr ib u te d to D u rb in (1959). I t h as b e e n sh o w n by K a y (1988) th a t this
e s tim a tio n m e th o d is a p p ro x im a te ly th e m ax im u m lik e lih o o d u n d e r th e a ssu m p tio n
th a t th e o b se rv e d p ro c e ss is G au ssian .
T h e o r d e r q o f th e M A m o d e l m a y b e d e te rm in e d e m p iric a lly b y se v era l
m e th o d s. F o r e x a m p le , th e A IC fo r M A m o d els h a s th e sa m e fo rm as fo r A R
m o d els,
A lC (tf) = l n < 4 + ^ (12.3.44)
w h ere a 2q is an e s tim a te o f th e v arian ce o f th e w h ite noise. A n o th e r a p p ro a c h ,

p ro p o se d by C h o w (1972b), is to filter th e d a ta w ith th e in v e rse MA(<y) filter an d
test th e filtered o u tp u t fo r w h iten ess.
12.3.8 ARMA Model for Power Spectrum Estimation
T h e B u rg alg o rith m , its v a riatio n s, a n d th e le a s t-s q u a re s m e th o d d e sc rib e d in th e

p rev io u s sectio n s p ro v id e re lia b le h ig h -re so lu tio n sp e c tru m e s tim a te s b a s e d o n
th e A R m o d el. A n A R M A m o d e l p ro v id e s us w ith an o p p o r tu n ity to im p ro v e on
th e A R sp e c tru m e s tim a te , p e rh a p s, by using fe w e r m o d e l p a ra m e te rs .
T h e A R M A m o d e l is p a rtic u la rly a p p r o p ria te w h e n th e sig n a l h as b e e n co r
ru p te d b y no ise. F o r e x am p le, su p p o s e th a t th e d a ta x ( n ) a re g e n e r a te d by an
A R sy stem , w h ere th e sy stem o u tp u t is c o rru p te d by ad d itiv e w h ite n o ise . T h e
z-tra n sfo rm o f th e a u to c o rre la tio n o f th e re s u lta n t signal can b e e x p re sse d as
r ’Az) = J u m ? T )+ "’
(12.3.45)
_ a l +<t„2A ( z ) A ( z j)
w h ere cr„2 is th e v a ria n c e o f th e a d d itiv e noise. T h e re fo re , th e p ro c e ss x ( n ) is

A R M A (/j, p), w h e re p is th e o rd e r o f th e a u to c o rre la tio n p ro c e ss . T h is re la
tio n sh ip p ro v id e s so m e m o tiv a tio n fo r in v estig atin g A R M A m o d e ls fo r p o w er
sp e c tru m estim a tio n .
A s w e h a v e d e m o n s tra te d in S ectio n 12.3.1, th e p r a m e te rs o f th e A R M A
m o d el a re re la te d to th e a u to c o rre la tio n b y th e e q u a ' on in (12.3.4). F o r lags
|m | > q, th e e q u a tio n involves o n ly th e A R p a r a m e te r s {a*}. W ith e stim a te s

s u b s titu te d in p lace o f yxx(m), w e can solve th e p e q u a tio n s in (12.3.5) to o b ta in
o*. F o r h ig h -o rd e r m o d e ls, h o w ev er, th is a p p ro a c h is likely to yield p o o r e stim a te s
o f th e A R p a ra m e te rs d u e to th e p o o r e stim a te s o f th e a u to c o rre la tio n fo r larg e
lags. C o n s e q u e n tly , th is a p p ro a c h is n o t re c o m m e n d e d .
A m o re re lia b le m e th o d is t o c o n s tru c t an o v e rd e te rm in e d se t o f lin ear e q u a
tio n s fo r m > q, a n d to u se th e m e th o d o f le a st s q u a re s o n th e se t o f o v e r d e te r
m in e d e q u a tio n s , as p ro p o se d by C a d zo w (1979). T o e la b o ra te , su p p o se th a t
th e a u to c o rre la tio n se q u e n c e can b e a c c u ra te ly e s tim a te d u p to lag M, w h ere
M > p + q. T h e n w e can w rite th e follow ing se t o f lin e a r e q u a tio n s:
rxx(q) rxx(q ~ 1) rXx(q - p + 1) -] ~a\ ‘ ~rxx(q + 1)~
rxx(q + 1) rxx(q) rxx(q - p + 2) o2 rxx(q + 2 )
= _
,rxx( M - 1) rxx( M - 2 ) rxx( M - p) . r xx( M ) _

(12.3.46)
o r eq u iv a le n tly ,
R r r S --- Tr (12.3.47)
Since is o f d im en sio n ( M — q) x p, an d M — q > p w e c a n use th e le a st-sq u a re s

c rite rio n to so lv e fo r th e p a r a m e te r v e c to r a. T h e re su lt o f th is m in im iz atio n is
a = -(R ' R „ r (12.3.48)
T h is p ro c e d u re is called th e least-squares mo d i f i e d Y u l e - W a l k e r me t hod. A

w eig h tin g fa c to r can also b e a p p lie d to th e a u to c o rre la tio n se q u e n c e to d e e m p h a -
size th e less re lia b le e s tim a te s for larg e lags.
O n c e th e p a ra m e te rs fo r th e A R p a r t o f th e m o d e l h av e b e e n e stim a te d as
in d ic a te d ab o v e , w e h a v e th e system
p
A( z ) = 1 + £ ^ “* (12.3.49)
t= i
T h e se q u e n c e x ( n ) can n o w b e filte re d by th e F IR filter A ( z ) to yield th e se q u e n c e

p
v(n) = x (n ) + 2 2 & tx (n — k) n = 0 ,1 ,..., N — 1 (12.3.50)
*=i
T h e c a scad e o f th e A R M A ( p , q) m o d e l w ith A ( z ) is a p p ro x im a te ly th e MA(<?)

p ro c e ss g e n e r a te d by th e m o d e l B{z). H e n c e w e can ap p ly th e M A e s tim a te given
in th e p re c e d in g se ctio n to o b ta in th e M A sp e c tru m . T o b e specific, th e filtered
se q u e n c e v(n) f o r p < n < N —1 is u se d to fo rm th e e s tim a te d c o rre la tio n se q u e n c e s
ruv( m), fro m w h ich w e o b ta in th e M A sp e c tru m
^ A( / ) = L rw ( m ) e ~ ^ (12.3.51)
F irst, w e o b se rv e th a t th e p a ra m e te rs {£>*} a re n o t r e q u ire d to d e te r m in e th e p o w e r

sp e ctru m . S eco n d , w e o b se rv e th a t r„„(m ) is an e s tim a te o f th e a u to c o r re la tio n fo r
th e M A m o d e l g iv en by (12.3.10). In fo rm in g th e e stim a te rvv( m) , w eig h tin g (e.g.,
w ith th e B a rtle tt w in d o w ) m ay b e u se d to d e e m p h a s iz e c o rre la tio n e s tim a te s fo r
larg e lags. In a d d itio n , th e d a ta m ay b e filte re d by a b a c k w a rd filter, th u s cre a tin g
a n o th e r se q u e n c e , say v b(n), so th a t b o th v(n) a n d v b(n) can b e u se d in fo rm in g
th e e stim a te o f th e a u to c o rre la tio n r„„(m ), as p ro p o s e d by K a y (1980). F inally,
th e e s tim a te d A R M A p o w e r sp e c tru m is
pMA/
P * RMA( f ) = -----------v j L- l l l ------ (12.3.52)
1+E a
T h e p ro b le m o f o rd e r se lectio n fo r th e A R M A ( p , g ) m o d e l h as b e e n in v es
tig a te d by C how (1972a, b) a n d B ru z z o n e a n d K a v e h (1980). F o r th is p u rp o s e th e
m in im u m o f th e A IC in d ex
A I C ( p , q) = I n a l " + ~ ~ (12.3.53)
can b e u sed , w h e re 6 l pq is a n e s tim a te o f th e v a ria n c e o f th e in p u t e rro r. A n

a d d itio n a l te s t o n th e a d e q u a c y o f a p a rtic u la r A R M A ( p , q) m o d e l is to filter th e
d a ta th ro u g h th e m o d e l a n d te s t fo r w h iten ess o f th e o u tp u t d a ta . T h is re q u ire s th a t
th e p a ra m e te rs o f th e M A m o d e l b e c o m p u te d fro m th e e s tim a te d a u to c o rre la tio n ,
u sing sp e ctral fa c to riz a tio n to d e te rm in e B(z) fro m D( z ) =
F o r a d d itio n a l re a d in g o n A R M A p o w e r s p e c tru m e s tim a tio n , th e r e a d e r is
re fe rre d to th e p a p e rs by G ra u p e e t al. (1975), C a d zo w (1981, 1982), K ay (1980),
an d F rie d la n d e r (1982b).
12.3.9 Some Experimental Results
In th is se ctio n w e p re s e n t so m e e x p e rim e n ta l re su lts on th e p e rfo rm a n c e o f A R

a n d A R M A p o w e r s p e c tru m e s tim a te s o b ta in e d b y u sin g artificially g e n e ra te d d ata.
O u r o b jectiv e is to c o m p a re th e s p e c tra l e stim a tio n m e th o d s o n th e basis o f th e ir
fre q u e n c y re so lu tio n , bias, a n d th e ir ro b u stn e s s in th e p re se n c e o f ad d itiv e noise.
T h e d a ta c o n sist o f e ith e r o n e o r tw o sin u so id s a n d a d d itiv e G a u s sia n noise.
T h e tw o sin u so id s a re sp a c e d A f a p a rt. C lea rly , th e u n d e rly in g p ro cess is
A R M A ( 4 ,4). T h e re su lts th a t a re sh o w n em p lo y a n A R ( p) m o d e l fo r th ese
d a ta . F o r h ig h sig n a l-to -n o ise ra tio s (S N R s) w e e x p e c t th e A R ( 4 ) to b e a d e q u a te .
H o w e v e r, fo r low S N R s, a h ig h e r-o rd e r A R m o d e l is n e e d e d to a p p ro x im a te th e
A R M A ( 4 ,4) p ro cess. T h e re su lts given b e lo w a re c o n s iste n t w ith th is sta te m e n t.
T h e S N R is d efin ed as 101og10 w h e re a 2 is v a ria n c e o f th e ad d itiv e n oise
a n d A is th e a m p litu d e o f th e sinusoid.
In F ig. 12.6 w e illu stra te th e re su lts fo r N = 20 d a ta p o in ts b a s e d o n an A R (4 )
m o d e l w ith a S N R = 20 dB a n d A f = 0.13. N o te th a t th e Y u le - W a lk e r m e th o d
gives an ex tre m e ly sm o o th ( b ro a d ) sp e c tra l e s tim a te w ith sm a ll p e a k s . I f A f is
//II — LS
-1 0 Burg II
20 points
4 poles
SNR = 20 dB
E N-------- Yule-Walker — ^ ^
—3 5 r I i i i i m j i i i i l i i i i j j n j i l - I i l l n i i i i i . i j l i i l i i - L l i i i x i j . j . i l i j i l j i i i i i i j i l i m i i i i i l n m i n | J | n t u n i ___ f
.20 .22 .24 .26 .28 .30 .32 .34 .36 .38 .40
Frequency (cycles/sample)
Figure 12.6 Comparison of A R spectrum estimation methods.
d e c re a s e d to A f = 0.07, th e Y u le -W a lk e r m e th o d n o lo n g e r reso lv es th e p e a k s as
illu stra te d in Fig. 12.7. S o m e b ias is also e v id e n t in th e B u rg m e th o d . O f c o u rse , by
in c re a sin g th e n u m b e r o f d a ta p o in ts th e Y u le -W a lk e r m e th o d e v e n tu a lly is able
to reso lv e th e p eak s. H o w e v e r, th e B u rg a n d le a st-s q u a re s m e th o d s a re clearly
s u p e rio r fo r s h o rt d a ta reco rd s.
T h e effe ct o f ad d itiv e n oise o n th e e s tim a te is illu stra te d in Fig. 12.8 fo r th e
le a s t-s q u a re s m e th o d . T h e effect o f filter o rd e r o n th e B u rg a n d le a st-sq u a re s
m e th o d s is illu stra te d in F igs. 12.9 a n d 12.10, resp ec tiv ely . B o th m e th o d s ex h ib it
s p u rio u s p e a k s as th e o r d e r is in crease d to p = 12.
T h e effe ct o f in itial p h a se is illu stra te d in Figs. 12.11 a n d 12.12 fo r th e B u rg
an d le a s t-s q u a re s m e th o d s. I t is clear th a t th e le a st-sq u a re s m e th o d ex h ib its less
se n sitiv ity to in itial p h a s e th a n th e B u rg alg o rith m .
A n e x a m p le o f lin e sp littin g fo r th e B u rg m e th o d is sh o w n in Fig. 12.13 w ith
p = 12. It d o e s n o t o c c u r fo r th e A R (8 ) m o d el. T h e le a st-sq u a re s m e th o d d id
n o t e x h ib it lin e sp littin g u n d e r th e sa m e co n d itio n s. O n th e o th e r h a n d , th e line
sp littin g o n th e B u rg m e th o d d isa p p e a re d w ith an in crease in th e n u m b e r o f d a ta
p o in ts N .
F ig u re s 12.14 a n d 12.15 illu stra te th e re so lu tio n p r o p e rtie s o f th e B u rg an d
le a st-s q u a re s m e th o d s f o r A f = 0.07 a n d N = 20 p o in ts a t low S N R (3 dB ).
S ince th e ad d itiv e n o ise p ro c e ss is A R M A , a h ig h e r-o rd e r A R m o d e l is re q u ire d
t o p ro v id e a g o o d a p p ro x im a tio n a t low S N R . H e n c e th e fre q u e n c y re so lu tio n
im p ro v e s as th e o r d e r is in crease d .
Normalized power spectrum (dB)
Figure 12.7 Comparison of A R spectrum estimation methods.

(dB)
Normalized power spectrum
Figure 1Z8 Effect of additive noise on LS method.

Figure 12.9 Effect of filler order of Burg method.

(dB)
Figure 12.10 Effect of filter order od LS method.

Chap. 12
/
Figure 12.11 Effect of initial phase on Burg method.
—2
20 points
4 poles
-6 SNR = 15 dB
/ , = -23
f l = -36
16 sinusoid phases
-1 2
_ J4 r Hi !■ I11111l1
.20 .22 .26 .28 .30 .32 .34 .36 .38 .40
Figure 12.12 Effect of initial phase on LS m ethod.

(dB)
Figure 12.13 Line splitting in Burg method.

FigHre 12.14 Frequency resolution o f B urg m ethod w ith N = 20 points.

Figure 12,15 Frequency resolution of LS method with N — 20 points.
T h e F P E fo r th e B u rg m e th o d is illu stra te d in Fig. 12.16 f o r a n S N R = 3 dB .

F o r th is S N R th e o p tim u m v a lu e is p = 12 a c co rd in g to th e F P E crite rio n .
T h e B u rg a n d le a st-sq u a re s m e th o d s w ere also te s te d w ith d a ta fro m a n a r
ro w b a n d p ro cess, o b ta in e d by exciting a fo u r-p o le (tw o p a irs o f c o m p le x -c o n ju g a te
p o les) n a rro w b a n d filter a n d se lectin g a p o rtio n o f th e o u tp u t se q u e n c e fo r th e d a ta
re c o rd . F ig u re 12.17 illu stra te s th e su p e rp o s itio n o f 20 d a ta re c o rd s o f 20 p o in ts
e ach . W e o b se rv e a relativ ely sm all v ariab ility . In c o n tra st, th e B u rg m e th o d
e x h ib ite d a m u ch la rg e r v ariab ility , a p p ro x im a te ly a fa c to r o f 2 c o m p a re d to th e
le a st-sq u a re s m e th o d . T h e re su lts sh o w n in F igs. 12.6 th ro u g h 12.17 a re ta k e n
fro m P o o le (1981).
F in ally , w e sh o w in Fig. 12.18 th e A R M A ( 1 0 ,10) sp e c tra l e s tim a te s o b ta in e d
by K ay (1980) fo r tw o sin u so id s in n o ise using th e le a s t-s q u a re s A R M A m e th o d
d e sc rib e d in S ectio n 12.3.8, as a n illu stra tio n o f th e q u a lity o f p o w e r sp e c tru m
e s tim a tio n o b ta in e d w ith th e A R M A m odel.
12.4 MINIMUM VARIANCE SPECTRAL ESTIMATION
T h e sp e c tra l e s tim a to r p r o p o s e d by C a p o n (1969) w as in te n d e d fo r u se in large

seism ic a rra y s fo r fre q u e n c y -w a v e n u m b e r e stim a tio n . I t w as la te r a d a p te d to
sin g le-tim e-series s p e c tru m e s tim a tio n b y L aco ss (1971), w h o d e m o n s tr a te d th a t

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12 POWER SPECTRUM ESTIMATION

12.1 Estimation of Spectra from Finite -Duration Observations of Signals 896

12.3 Parametric Methods for Power Spectrum Estimation 920

In th is c h a p te r w e a r e c o n c e r n e d w ith th e e s tim a tio n o f th e s p e c t r a l c h a r a c te r is tic s

12.1 ESTIMATION OF SPECTRA FROM FINITE-DURATION

lim ita tio n o n th e q u a lity o f th e p o w e r s p e c tr u m e s t i m a t e . W h e n d e a lin g w ith

12.1.1 Computation of the Energy Density Spectrum

fin ite - e n e r g y s ig n a l x a (t), d e fin e d as

s o t h a t R x x (?) a n d SXX( F ) a r e a F o u r i e r t r a n s fo r m p a ir.

H e n c e th e v o lta g e s p e c tru m o f th e s a m p le d s ig n a l is id e n tic a l to t h e v o lta g e s p e c ­

S „ (/)= j t r*Ak )e~j2*kf (12.1.10)

H e n c e th e e n e rg y d e n s ity sp e c tru m c a n b e o b ta in e d by th e F o u rie r tra n s fo rm o f

T h e se co n d a p p ro a c h is c a lle d th e indirect method b e c a u s e it re q u ire s tw o ste p s.

R e call fro m o u r d iscussion in S ectio n 8.2.1 th a t c o n v o lu tio n o f th e w indow

Figure 1Z1 Spectrum obtained by convolving an M = 61 rectan g u lar window

Solution The spectral characteristic W ( f ) for the length N = 61 rectangular window

Ju s t as in th e case o f F IR filter d esig n , w e can re d u c e sid e lo b e le a k a g e by

Figure 12.2 Spectrum obtained by convolving an M = 61 B lackm an window w ith

I t is c le a r fro m th is discussion th a t th e e n e rg y d en sity s p e c tru m o f th e w in ­

Sisif) = W ) \ 2 = j2nfn (12.1.14)

T h e sp e c tru m given by (12.1.14) can be c o m p u te d n u m erically a t a set of N

|X(fc)|2 = Si-Af)\j-k/N = Sri (12.1.16)

w hich is a d isto rte d v ersio n o f th e tru e s p e c tru m Sxx( k / N ) .

12.1.2 Estimation of the Autocorrelation and Power

T h e fin ite-en erg y signals c o n s id e re d in th e p re c e d in g se c tio n possess a F o u rie r

w h ere £[■] d e n o te s th e sta tistical a v e ra g e . T h e n , via th e W ie n e r-K h in tc h in e th e ­

T h is re la tio n ju stifies th e u se o f th e tim e -a v e ra g e a u to c o rre la tio n Rxx( r ) as

F ro m (12.1.20) an d (12.1.22) w e again n o te th e tw o p o ssib le a p p ro a c h e s to

a n d th e n c o m p u te th e F o u rie r tra n sfo rm

w hich is a resu lt given by J e n k in s a n d W a tts (1968). C learly,

S ince E[r'xx{m)\ = y xx(m) a n d th e v a ria n c e o f th e e stim a te c o n v e rg e s to z e ro as

H o w e v e r, th is e stim a te h a s a sm a ller v arian ce, given a p p ro x im a te ly as

I f w e su b s titu te fo r rxx(m) fro m (I2 .I.2 9 ) in to (12.1.33), th e e s tim a te Pxx( f ) can

w h e re X ( / ) is th e F o u rie r tra n sfo rm o f th e sam p le se q u e n c e x{n) . T h is w ell kno w n

22 rx A m ) e ,2jrfn = J2 E[rxA m ) ] e - * " ' ”

T h e in te r p re ta tio n th a t w e give to (12.1.35) is th a t th e m e a n o f th e e stim a te d

Yxx(m) Y xx(m ) (12.1.36)

w h e re th e w in d o w fu n c tio n is th e (tria n g u la r) B a rtle tt w in d o w . H e n c e th e m e a n

E[PxA f ) } = J 2 Y‘A m ) e - i2nfm

w h e re W B( f ) is th e sp e c tra l ch a ra c te ristic o f th e B a rtle tt w indow . T h e re la tio n

H o w e v e r, in g e n e ra l, th e v a ria n c e o f th e e s tim a te Pxx( f ) d o e s n o t d ec a y to zero

the variance is easily shown to be (see Problem 12.4)

w hich , in th e lim it as N —>■ oo, b ec o m e s

H e n c e w e c o n clu d e th a t th e p e r i o d o g r a m is n o t a consi st ent est imate o f the true

12.1.3 The Use of the DFT in Power Spectrum Estimation

A s giv en b y (12.1.14) a n d (12.1.34), th e e s tim a te d en e rg y d e n s ity sp e c tru m £ , , ( / )

w e c o m p u te as a m in im u m th e A ppoint D F T . F o r ex am p le, th e c o m p u ta tio n yields

W e em p h a siz e th a t z e ro p a d d in g an d e v a lu a tin g th e D F T at L > N p o in ts

W h e n o n ly a few p o in ts o f th e p e rio d o g ra m a re n e e d e d , th e G o e rtz e l alg o ­

Figure 12.4 Spectra of two sinusoids with frequency separation A f — 0.06.

th e signal th ro u g h a b a n k o f p a ra lle l tu n e d filters a n d sq u a rin g th e ir o u tp u ts (see

12.2 NONPARAMETRIC METHODS FOR POWER SPECTRUM

T h e p o w e r sp e c tru m e stim a tio n m e th o d s d e sc rib e d in th is se c tio n a re th e classical

F igure 1X5 Spectra of two sinusoids with frequency separation A/ = 0.01.

S ince th e e stim a te s a re b ased e n tire ly on a fin ite re c o rd o f d a ta , th e fre q u e n c y

12.2.1 The Bartlett Method: Averaging Periodograms

B a r tle tt’s m e th o d fo r re d u c in g th e v arian ce in th e p e rio d o g ra m involves th re e

F in ally , w e av erag e th e p e rio d o g ra m s fo r th e K se g m e n ts to o b ta in th e B a rtle tt

T h e statistical p ro p e rtie s of this e s tim a te a re easily o b ta in e d . F irst, th e m ean

w id th h a s b e e n in c re a se d b y a fa c to r o f K . C o n s e q u e n tly , th e fre q u e n c y re so lu tio n

T h e re fo re , th e v a rian ce o f th e B a rtle tt p o w e r sp e c tru m e s tim a te h a s b e e n re d u c e d

12.2.2 The Welch Method: Averaging Modified

W elch (1967) m ad e tw o b asic m o d ificatio n s to th e B a rtle tt m e th o d . F irst, h e a l­

H e n c e th e v o lta g e s p e c tru m o f th e s a m p le d s ig n a l is id e n tic a l to t h e v o lta g e s p e c

S „ (/)= j t rAk )e~j2kf (12.1.10)

I t is c le a r fro m th is discussion th a t th e e n e rg y d en sity s p e c tru m o f th e w in

w h ere £[■] d e n o te s th e sta tistical a v e ra g e . T h e n , via th e W ie n e r-K h in tc h in e th e

W h e n o n ly a few p o in ts o f th e p e rio d o g ra m a re n e e d e d , th e G o e rtz e l alg o

W elch (1967) m ad e tw o b asic m o d ificatio n s to th e B a rtle tt m e th o d . F irst, h e a l

W e can neg lect th e a d d itio n a l M m u ltip lic a tio n s re q u ire d to w in d o w th e a u to c o r

W ith th is b a c k g ro u n d esta b lish e d , w e no w d esc rib e th e p o w e r sp e c tru m e s