EE6140: Spectral Estimation

Assignment 3
(August 24, 2010)

1. Consider a zero-mean complex AR(1) process with parameters a1 and u2 > 0. Find the
variance of the process when (i) |a1 | < 1 and (ii) |a1 | 1. Where does the pole of the
AR filter have to lie for the process to be WSS?

2. Our goal in this exercise is to come up with an example Rxx matrix that is singular.
Recall that the first column of the Toeplitz ma
trix Rxx is (rxx [q], rxx [q + 1], . . . , rxx [q + p 1])T , while its first row is
(rxx [q], rxx [q 1], . . . , rxx [q p + 1]). To come up with an example of Rxx that is
singular, let p = q = 1, i.e., consider an ARMA(1,1) process. Comment on the result.
3. Show that the ACF for an AR(2) process is given by
s
2

2
1 r2
1+r
cot2 2f0
1+
2
2
1

r
1
+
r
r |k| cos(2f0 )
rxx [k] = u2
1 2r 2 cos(4f0 ) + r 4
where

1 r2
cot 2f0
= arctan
1 + r2


and a1 = 2r cos 2f0 and a2 = r 2 .

Hint: Note that

1
rxx [k] =
2j

u2 z k1
dz
A(z)A (1/z )

where C is the unit circle; now use Cauchys residue theorem and simplify.
4. Computer Simulation In this exercise we will look at how well the sample autocorrelation performs in estimating the autocorrelation of white noise.
(a) Generate 1000 samples of zero-mean unit variance white Gaussian noise.
(b) Estimate the first 100 lags of the autocorrelation sequence using the sample autocorrelation
999
1 X
x[n] x[n k]
rxx [k] =
1000 n=0
How close is your estimate to the true autocorrelation sequence rxx [k] = [k] ?

EE6140

Assignment 3

CSR

(c) Segment your white noise sequence into ten different segments each having 100
samples, and estimate the autocorrelation by averaging the sample autocorrelations
of each subsequence, i.e.,
9
99
1 XX
x[n + 100m] x[n k + 100m]
rxx [k] =
1000 m=0 n=0

k = 0, 1, . . . , 99

How does your estimate compare to that in part (b) ? How does it compare with
the true autocorrelation sequence rxx [k] = [k] ?
(d) Generate 10000 samples of zero-mean unit variance white noise and estimate the
first 100 lags as in part (b). How does this estimate compare with that in part (b) ?
What conclusions can you draw from these experiments?
(e) Repeat for uniform noise.
5. Computer Simulation The AR process x[n] is given by
x[n] = a1 x[n 1] + a2 x[n 2] + b0 u[n]
where u[n] is unit variance white noise. First, choose u[n] to be Gaussian; repeat for
uniform noise.
(a) With a1 = 0, a2 = 0.81, and b0 = 1 generate 24 samples of the process x[n]. Make
sure that the initial transients have died down.
(b) Estimate the autocorrelation sequence using (a) the biased autocorrelation estimator, and (b) the unbiased autocorrelation estimator. Compare these with the true
ACF.
(c) Using your estimated ACF, compute the PSD by computing its Fourier transform.
(d) Using the estimated ACF, solve the Yule-Walker equations and estimate the value
of b0 , a1 , and a2 . Comment on the accuracy of the estimates.
(e) Using the estimates obtained earlier, compute the following:
Pxx (f ) =

b2
0
|1 + a
1 ej2f + a
2 ej4f |2

(f) Compare the estimates using the two different approaches with the true power
spectrum.

Submit starred problems on 31.08.2010

EE6140

Page 2 of 2

24.08.2010