Prony Spectra

17

Prony Spectra

Prony Spectrum
The Prony Spectrum option in the Spectral menu or the Spectral toolbar offers the fitting of a sum of complex exponentials to uniformly sampled data. Using this method, it is possible to fit exponentially damped sines, undamped sines, and damped exponentials.

The primary utility of this procedure rests in fitting damped sines or the damped exponentials that occur in multicomponent exponential decays.

Prony Spectrum 17-1

Prony Spectra
The complex exponential model fit is purely deterministic. Unlike the parametric models in the AR, MA, and ARMA procedures, there is no driving white noise within the model. Although the complex exponential model fit is the primary function of this procedure, an energy spectral density plot offers a graphical frequency domain representation. Components The Prony models components are implemented in AutoSignal as follows: Sine : Y=Ampl*sin(2*Pi*Freq*X+Phase) Sine, Exp Damped : Y=Ampl*exp(-k*X)*sin(2*Pi*Freq*X+Phase) Exponential : Y=Ampl*exp(-k*x) Algorithm AutoSignal offers three Damped algorithms for fitting exponentially damped sinusoids. The SVD procedures are recommended for assessing component count and in removing the influence of noise so as to estimate as accurately as possible the component frequencies and damping factors. The Dmp Svd is the recommended algorithm for fitting damped sinusoids or multicomponent exponential decays. The normal equations analog, the Dmp Svd NE algorithm, may offer close to the same estimation accuracy if the Dmp Svd option is too slow with large model orders and data sets. The Damped procedure is fast, but it is also very sensitive to noise and should be used only when very minimal noise is present. There are also three Undamped algorithms for fitting sinusoids via a modification of the least-squares Prony method. Similar recommendations apply. The Undmp Svd algorithm should be the first choice, the normal equations Undmp Svd NE algorithm reserved for large model orders and data sets where performance is a factor. The Undamped procedures speed comes at the price of considerable noise sensitivity. In terms of fitting undamped sinusoids, there is a strong similarity between the linear sinusoidal fit based on the Data Svd FB algorithm in the AR (AutoRegressive) Spectrum procedure and the Undmp Svd Prony fit. In fact, for a given order and signal subspace, the estimated frequencies are identical. The Prony Undmp Svd procedure involves mapping the signal roots to the unit circle (to insure zero damping coefficients), and then performing the complex amplitude least-squares fit using these modified complex exponential coefficients. The AR Data Svd FB algorithms linear sinusoidal fit directly performs a least-squares estimate and generally yields slightly more accurate amplitudes and phases.

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Prony Spectrum

Prony Spectra
Model Order Selection Since the Prony frequencies derive from an AR fit, the model order selection considerations are identical. Fitting AR models to harmonic signals in the absence of noise is a simple matter. A model order of two is needed to fully describe one oscillatory component. Similarly an order of four is needed to fully model two oscillatorycomponents. For real data, positive and negative frequency roots mirror one another. AutoSignal reports only the positive frequencies, but both sides of the spectrum must be taken into account. This is why the minimum order needed must be twice the number of oscillatory components. Note that the damped exponentials which occur at or near 0 frequency are non-oscillatory and do not exist as pairs mirrored across positive and negative frequencies. Unlike an oscillatory component, each damped exponential adds only one to the minimum order needed. A signal space of one thus describes a single exponential decay. In practice, there is usually some level of noise present in the data and a higher order model is needed to characterize the signal components. With the SVD routines, the order of the fit ceases to be critical. A tolerably high order is needed, one that is sufficient to produce an effective partitioning of the signal and noise. The quality of the fit for the noise components is not a consideration, since these eigenvectors are discarded in the SVD processing. All that is needed is to accurately determine the signal space threshold. For most data sets, this is far easier than determining an optimum AR order. Note that SVD removes the influence of noise only for the first step in the Prony procedure, the determination of the frequencies and damping factors. AutoSignal does not blindly include all frequencies associated with roots. If those frequencies fall at or near the Nyquist bound, they are automatically filtered out. Similarly, unless the Allow Real Exp checkbox is checked, the damped exponentials which occur at or near 0 frequency are removed. This box must be checked for fitting multicomponent exponential decay data. While the SVD signal-noise determination is probably the best way to determine the damped sinusoid count, an alternative exists within the Prony procedure. The Plot Roots option for the damped algorithms displays two sets of complex roots. The forward prediction roots, those used for estimating the frequencies and damping coefficients, will use the + symbol. The backward prediction roots are also shown using the o symbol. With exponentially-damped sinusoids, the roots for the signal components should be inside the unit circle for forward prediction, and outside for backward prediction. Roots for the noise components are usually inside the unit circle

Prony Spectrum 17-3

Prony Spectra
for both. Thus the count of backward prediction roots outside the unit circle represents one estimate of the signal space. This count will be twice the number of expected components. For more information regarding complex roots, see Cahpter 16. In a Prony procedure, the model order is used not only for the AR estimation portion of the algorithm, but also for the signal thresholding. A full order linear least-squares fit is made for an initial estimate of the amplitudes and phases. Once this is done, the model is reduced to the most significant components as specified by the signal space value. This is done by retaining the most significant exponential parameters and refitting a reduced component count model. Signal Subspace Selection Since the Prony method fits a series of complex exponentials in a deterministic model, it is possible to truncate the signal at a specified number of components simply by discarding the least significant exponentials in the fit and to redo the complex amplitude least-squares fit with fewer components. The final Prony model thus consists of the most significant components as determined by the value in set in the Signal Subspace field. This thresholding occurs for all algorithms, regardless of whether or not SVD is used. To keep this thresholding consistent, the signal space is defined for the non-SVD algorithms in the same way as it is for SVD signal thresholding. To retain 3 damped or undamped sinusoids, for example, the signal subspace must be set to 6. For the undamped case, this ordering will be by decreasing amplitude. For damped exponentials, the ordering is by energy spectral density at the peak frequency. Once the signal components have been pared, the complex amplitude least-squares fit is repeated using only the most significant components. This reduced component fit will be more stable and the energy spectrum smoother with lesser likelihood of spectral peaks arising from noise. SVD Signal-Noise Separation The Graphically Select Signal and Noise Sub-Spaces signal selection is enabled only when an SVD procedure is being used. It also uses the Signal Subspace value. You can enter this value numerically if you know with certainty the number of spectral components present in the data. To accommodate both positive and negative frequencies, you must enter a value that is twice the number of oscillatory components. If three oscillatory spectral components are known to exist, the signal subspace must be set to 6. Note that damped exponentials require only one unit of signal space.

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Prony Spectrum

Prony Spectra
Even when the spectral component count is known, you should use this Graphically Select Signal and Noise Sub-Spaces option to insure that a high enough order is being used to achieve the desired signal-noise separation. When there is sufficient signal-noise separation in the eigenmodes, the singular value plot reveals one or more sharp transitions between the signal subspace and the noise subspace floor. The last eigenmode before the long sloping noise floor represents the last element of signal space. Assuming a high-enough AR model order is used, this signal-noise space separation does not become difficult until the noise level approaches that of the signal. At this point, the sharp characteristic transition disappears. An earlier diminishing of this transition occurs when the noise is red. A full signal space SVD fit, one where the signal space equals the model order, produces the same results as the non-SVD algorithms. Damped Exponentials (First Order Decays) AutoSignal does not blindly include all frequencies associated with roots. If those frequencies fall at or near the Nyquist bound, they are automatically filtered out. Similarly, unless the Allow Real Exp checkbox is checked, the damped exponentials which occur at or near 0 frequency are removed. This box must be checked for fitting multicomponent exponential decay data. Again, bear in mind that damped exponentials generate only a single root and use only one unit of signal space. A Prony energy spectral density (ESD) plot can be generated directly from the model coefficients. The Full Range option locks the 0-0.5 Nyquist range. When the Full Range option is on, only the total spectral count (n) can be specified. Unlike the FFT options, which specify the length of the transform, the Prony option specifies the total frequency count in the output spectrum. The spectrum computation is linear with n. If the Full Range option is off, you can select the desired start and end frequencies as well as the count of spectral frequencies (n) in this band. It is thus possible to generate a detailed spectrum only in the region of specific interest. The Adaptive option uses a Runge-Kutta procedure to integrate the spectrum adaptively, saving the points used in the computation of the integral. This results in an adaptive frequency set containing frequencies concentrated near the peaks.

Spectrum

Prony Spectrum 17-5

Prony Spectra
Plot The energy spectrum is always given in db (decibels). The db 2-sided option plots a two-sided energy spectrum that will produce a sharper spectral response, although this is more fitting persistent signals. Transient signals are probably better suited to the one-sided spectrum and the db 1-sided format. A discrete bar chart is used for the undamped case. For a Prony analysis, the spectra are mainly informational. There is no need to extract parametric components from a Prony spectrum. The parametric damped sinusoids are computed first, and a spectral energy representation follows. Add Noise It may be instructive to see where a given procedure starts to break down as a consequence of temporarily adding white observation noise to the input data. The zero noise level is S/N=300db (fractional noise=1E-15, the IEEE double precision threshold for addition). At this value, no noise is added to the data. A value of 280 would add noise in the 14th significant figure, 260 in the 13th, 240 in the 12th and so on. This option assumes that the current data set is entirely signal, and adds noise accordingly. Typical test values are 40db(1% noise), 20(10%), 10(31.6%), 6(50.1%), 3(70.8%), and 0(100%). The SVD procedures will have the greatest noise resistance. This noise option is also helpful in ascertaining at what level the SVD procedures can no longer evidence the eigenmode signal to noise transition. List The List Data option lists the index, frequency, and the spectral quantity currently plotted. The listing uses the AutoSignal text viewer facility. The Copy Data to Clipboard option copies the frequency and the spectral quantity currently plotted to the clipboard. Formats include full precision binary (for spreadsheets such as Excel) and ASCII (for pasting into text editors). You can generally find a Paste As option in most applications if you want specific control over the format imported. The Save Data to Disk option writes the frequency and and the spectral quantity currently plotted to a supported file format. These formats include ASCII, Excel 97, Excel 95, Lotus WK3, Lotus WK1, SPSS, or Systat. The AutoSignal Automation facility allows unattended processing of large numbers of data sets. The data sets can be consolidated in an Excel file or

Copy

Save

Production Facility

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Prony Spectrum

Prony Spectra
acquired using a DLL. The numeric summaries and graphs can be exported to an MS Word RTF file, while the extended data summaries or the current spectra can be exported to an Excel 95 or Excel 97 file. Numeric Summary The Numeric Summary offers a full Prony spectral analysis report. The report optionally includes a listing of the complex coefficients and a Prony fit summary. The Non-Linear Optimization offers the means to refine the parameter estimates given in the Prony fit that is reported in the Numeric Summary. Constrained least-squares and robust (maximum likelihood) non-linear fitting is available with either sinusoid or damped sinusoid models. Although this optimization is present in all of the spectral options, only this Prony procedure offers starting estimates for the damping coefficients. Although damped exponentials can be fit from any of the spectral procedures, the starting estimates for the exponential rate terms are set to zero (pure sinusoids). Although these fits usually converge successfully, this Prony procedure does offer superior starting estimates. Multiple real exponentials, such as occur with a sum of first order decays of different rates, can be highly correlated. This can create difficulties in non-linear fitting as rates and amplitudes can shift drastically in response to very small levels of noise. The separate decay rate and amplitude determinations via the Prony procedure may yield more accurate parameters than the simultaneous refinement of both amplitudes and rates using non-linear optimization. In other words, when fitting highly correlated sums of exponential decays, a global least-squares minimum may not be desirable. If you choose to non-linearly fit multiple real exponentials, a robust (maximum likelihood) minimization may offer better results. Rich-Text Format Export The Export Numeric Summary and Graph to RTF File option writes the numeric summary and spectral plot to an RTF file. The numeric portion of the file is based upon the current settings in the Numeric Summary option. The text data will be written to portrait orientation pages. The graph uses the current settings and size of the spectral plot, and is inserted as a Windows Metafile. The graph always uses a landscape orientation. Beyond a certain size, the graph utilizes a full landscape page.

Non-Linear Optimization

Prony Spectrum 17-7

Prony Spectra
View Residuals Plot Roots The Residuals from the Prony fit can be inspected to see if they are normally distributed. The SNP plot is particularly useful. The Plot Roots option is only available for the damped procedures since the roots for the undamped procedures will all lie exactly on the unit circle. The roots of the AR model used in the first portion of the Prony method can be inspected graphically. The forward prediction roots used with the damped Prony algorithms are shown with the +, the standard AR pole symbol. Although reverse prediction roots are not used within the Prony computations, they are useful for determining the number of exponentially-damped sinousoids present. These reverse prediction roots are shown with a o symbol. The number of reverse prediction roots that lie outside the unit circle is one indicator of signal subspace. Because the Prony algorithms are multistep fitting procedures, a host of statistics are available to describe the Prony model fit. The Toggle Popup Information Window is used to show or hide this information. The r goodness of fit index may be particularly useful, since spectra that visually appear to be well fitted may be the result of a poor deterministic fit. A smooth Prony spectrum is not an indicator of an accurate model fit. A local option is one that changes the data set for the duration of the current procedure only. The main data table is not altered. AutoSignal offers four local options in most of the spectral procedures. Section the data to isolate specific regions for processing. Detrend for removing mean or subtracting a least-squares trend model. Fourier Filtration for isolating spectral components by frequency. Eigendecomposition Filtration for isolating spectral components by signal strength. The Reset button restores the data to its state when first entering the procedure. Note that if you implement sequential local procedures, all of the revisions are discarded upon reset. If an Automation Session is in progress, the Reset button can be used to terminate the automated processing.

Toggle Popup Information Window

Local Options

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Prony Spectrum

Prony Spectra

Prony Algorithms
For real data, fitting a sum of complex exponentials is equivalent to fitting exponentially damped sinusoids. An exponentially-damped sinusoid is a sine model with a first order or exponential decay. Modified procedures fit undamped sinusoids by forcing the damping factors to zero. Several procedural modifications have been implemented to improve the Prony methods noise resistance. The Prony algorithms are multi-step procedures:

Perform an AR (Autoregressive) Fit Root the AR Coefficients for Complex Exponential Parameters Filter the Roots Least-Squares Fit for Complex Amplitude Parameters Create the Final Model with Signal Thresholding

Excellent coverage of Prony algorithms can be found in the following reference:

S. Lawrence Marple, Jr., Digital Spectral Analysis with Applications, Prentice-Hall, 1987, p.303-349.

Prony Complex Exponential Model

A Prony model of order m consists of summing the product of a complex amplitude h and a complex exponential z: y k = h j z kj 1
j=1 m

h j = A j exp(i j )

z kj 1 = exp ( j + i2 j )(k 1)t

In the equations for h and z, A is the amplitude of the complex exponential, is the dampling factor, is the frequency, and is the phase. Although AutoSignal reports the complex amplitudes and exponential in the Prony numeric summary, the components are primarily reported as real damped sinusoids: y (x ) = Ae kx sin(2x + )

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Prony Spectra
A is the sinusoidal amplitude reported, k is the damping factor (first order exponential decay rate), is the sinusoidal frequency, and is the sinusoidal phase. Note that the model reduces to an undamped sinusoid when the damping is 0, and to a first order exponential decay when the frequency is 0 and the phase is pi/2. AR Polynomial Roots A complex exponential model consists of complex amplitude and exponential parameters. The estimation of the frequencies and damping factors (the exponential parameters) is done first. These values are derived from the complex roots of an AR (autoregressive) fit. When the forward prediction model is used for the damped case, the roots of the fitted AR polynomial are the complex exponential parameters in the Prony model. These complex roots yield not only the sinusoidal frequencies, but also the exponential damping factors. For the Damped procedure, the Data Fwd AR algorithm is employed; for the Dmp Svd NE procedure, the Nrml Svd Fwd AR algorithm is used; and for the Dmp Svd procedure, the Data SVD Fwd AR algorithm is implemented. For the undamped case, a forward-backward (FB) AR algorithm offers better estimates of the sinusoidal frequency locations. In order to process undamped sinusoids, the roots must be located on the unit circle. The Undamped procedure utilizes a rigorous symmetric covariance estimation procedure that directly produces zero damping factors. AutoSignals implementation of this algorithm for real data follows the Marple complex data procedure (p.331). The Undmp Svd NE and Undmp SVD procedures use the same AR algorithms as the damped versions except that the coefficients are spectrally factored after their computation in order to move the roots to the unit circle. SVD Algorithms Although both the SVD and non-SVD algorithms implement signal thresholding, there are advantages to using SVD. The SVD algorithms are likely to offer more accurate frequencies and damping factors for the components since the influence of noise can be factored out. As with the AR algorithms, the NE (Normal Equations) procedures are available for large data sets and high orders to speed processing. In general, the Dmp SVD will be the Prony procedure of interest for characterizing damped sinusoids and exponentials within a signal. Another benefit of the SVD algorithms is the exploration of singular values for determining the number of damped or undamped sinusoids in the
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Prony Algorithms

Prony Spectra
signal. For real data, the roots occur at both positive and negative frequencies. Thus, as with AR fits, the signal space will need to be twice the number of expected components. Conversely, a clearly defined singular value signal threshold indicates the presence of half that number of complex exponential components. Root Selection To stabilize the Prony procedures, and to allow flexibility for fitting or disregarding damped exponentials, AutoSignal implements an intermediate root filtering step. This is mostly automatic. Negative frequency roots are removed as well as roots that appear at the Nyquist bound. The only control is whether or not real exponentials are allowed. The damped Prony algorithms can detect sinusoids, damped sinusoids, and real exponentials. If an AR root is at frequency 0, the function is a real exponential. If it is on the unit circle, an undamped sinusoid results. In the other instances, damped sinusoids are detected. This is strictly a function of the roots of the AR fit, and cannot be forced. Real exponentials (first order exponential decays) are normally filtered out and do not appear in Prony models. If Allow real exp is checked, however, real exponentials are permitted to appear in the model. If no oscillations are present in continuously decreasing data, the Prony method can successfully and effectively be used to fit the sum of exponential decays. If oscillations are present and one or more real exponentials are present, a mixed model, one with both damped sinusoids real exponentials, will result. Complex Amplitude Least-Squares Fit Once the roots have been identified, a linear least-squares regression is used to produce the initial estimates for the complex amplitude parameters in the model. The amplitudes and phases of the exponentially-damped sinusoids are then computed from these complex amplitudes. Since the Prony method fits a series of complex exponentials in a deterministic model, it is possible to truncate the signal at a specified number of components simply by discarding the least significant exponentials in the fit and to redo the complex amplitude least-squares fit with fewer components. The final Prony model thus consists of the most significant components as determined by the value in set in the signal subspace field. This thresholding occurs for both the SVD and non-SVD algorithms. To keep the this thresholding consistent, the signal space is defined for the non-SVD algorithms in the same way as it is for SVD signal thresholding. To retain three damped or undamped sinusoids, for example, the signal subspace must be set to 6.

Signal Thresholding and Refitting

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Prony Spectra
For the undamped case, this ordering will be by decreasing amplitude. For damped exponentials, the ordering is by energy spectral density at the peak frequency. Once the signal components have been pared, the complex amplitude least-squares fit is repeated using only the most significant components. This reduced component fit will be more stable and the energy spectrum smoother with lesser likelihood of spectral peaks arising from noise.

Numeric Summary (Prony)

This option offers a full Prony spectral analysis report for the Prony Spectrum option. Unlike the other spectral options, there is no need to use the Prony procedure as a frequency estimator for a subsequent non-optimal linear least-squares sinusoidal fit. For the undamped case, the Prony method directly offers this suboptimal least-squares sinusoidal fit. For the damped case, the Prony results consist of a non-optimal least-squares fit to damped sinusoids. Initial Information The following information is always included:

Main, x, and y data titles File source for data Report date Prony algorithm selected Model order Signal subspace

Add Complex Coefficients

The first optional item, available from the Format menu, is Add Complex Coefficients. This lists the real and imaginary parts of the complex exponential and complex amplitude parameters in the Prony model fit. Unlike the Numeric Summary in the other spectral options, the Prony procedure does not offer the linear least-squares sinusoidal fit. Instead, the Add Complex Exponential Fit Summary directly furnishes this information for the undamped procedures. For the damped algorithms, a similar report is presented except that damped sinusoids comprise the component model and damping parameters are also included.

Complex Exponential Fit Summary

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Numeric Summary (Prony)

Prony Spectra
After the multi-step Prony fit is completed, a covariance matrix is reconstructed as if a non-linear fit had iterated to this same set of parameters. This makes it possible to derive fit standard errors and confidence limits for all parameters, including the frequencies and damping coefficients. The reasoning is that the frequencies and decay rates are determined by a different estimation procedure (the AR rooting), and that composite estimation, however non-optimal, should be reflected in the statistics. The Add Complex Exponential Fit Summary produces a table of frequencies, amplitudes, phases (sine-based), damping coefficients (exponential rare constants), and an analytic TISA (time-integral squared amplitude) power. The TISA power is a time-domain integral based on each components amplitude, frequency, and phase and the time range represented in the data. Absolute percents are also given for the component powers. These are often the quantities of interest when comparing strengths of signal components. The summed power reported in the table is merely the sum of the component powers. It is not the power of the composite signal that would result from the addition of the components. In most instances, this sum will be lower than the TISA power of the incoming data. The fit statistics reported are the r (r-squared) correlation coefficient, a degree-of-freedom adjusted r, the standard error, and the F-statistic. As a fit becomes more ideal, the r values approach 1.0 (0.0 represents a complete lack of fit), the standard error decreases toward zero, and the F-statistic goes toward infinity. Be very suspicious of low r fits since this may indicate an incorrect component count, inaccurate spectral frequencies, or a spectrum that cannot be modeled with damped sinusoids. The report also lists the data, model, and error powers from the fit. In a good fit, most of the power in the data is accounted by the model rather than the error. The ratio that is reported is a signal/noise estimate (in power). This should be close to the S/N ratio (in power) of the signal. Complex Exponential Fit Details The Add Complex Exponential Fit Details item in the Format menu adds a statistical breakdown of each damped sinusoid in the fit. For each, the estimate, standard error, t-value, confidence limits, and probabilities are given for the respective amplitude, frequency, phase, and damping parameters. Note that these statistics reflect a suboptimum fit. A full non-linear optimization (where the frequencies and damping coefficients are allowed to also vary) will almost always result in an improved goodness
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Prony Spectra
of fit. The estimated parameters can be reported with either 90% Confidence, 95% Confidence, or 99% Confidence limits. The Non-Linear Optimization option is recommended for refining all Prony fits using damped or undamped sinusoids. Because the Prony SVD algorithms can achieve highly accurate frequency and damping estimates, the Prony fit may approach the results offered by the non-linear optimization.

Complex Roots
Prony Model Order Determination In the Prony procedure, both forward and reverse prediction AR roots are shown. The forward prediction roots use the + symbol while the o symbol is used for the backward prediction roots. For exponentially-damped sinusoids, an estimated order is suggested by the differences between the roots. For the signal components, the forward prediction roots should rest within the unit circle interior while the reverse prediction roots lie outside. Roots associated with noise should exclusively lie within the unit circle. In the unit circle and magnitude plots that follow, six reverse prediction roots lie outside the unit circle suggesting the presence of three damped sinusoids:

Note that this difference between the forward and reverse prediction roots applies only to fitting exponentially-damped sinusoids with the Prony algorithm. For sinusoids, the signal roots are located on or near the unit circle for both types. Complex roots are covered in detail in Chapter 16.
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Complex Roots