1

Non-Parametric
Power Spectrum Estimation
Methods

Eric Hui
SYDE 770 Course Project
November 28, 2002

2
Introduction
Applications of Power Spectrum Estimation
(PSE):
Wiener Filter
Feature Extraction

Non-parametric PSE does NOT assume any
data-generating process or model (e.g.
autoregressive model).

3
Motivation
Ideal autocorrelation:


Actual autocorrelation:


Limited (finite length of) data due to:
Availability of data
Assumption of stationary

)
`

+
+
=

=

N
N n
N
x
n x k n x
N
k r ) ( ) (
1 2
1
lim ) (

=
+ =
k N
n
x
n x k n x
N
k r
1
0
) ( ) (
1
) (
4
Periodogram Method
) ( ) (
1

) ( ) (
1

) ( ) (
1
) (
1
0
k x k x
N
n x k n x
N
n x k n x
N
k r
N N
n
N N
k N
n
x
- =
+ =
+ =

=

=
n
x(n)
N 0
2
) (
1
) (
e e j
N
j
per
e X
N
e P =
D
T
F
T

redefined
as
n
x
N
(n)
N 0
5
Periodogram Method
{ }
{ }
) ( ) (
1

) ( ) (
1

) ( ) (
1
) (
1
0
1
0
1
0
k r
N
k N
k r
N
n x k n x E
N
n x k n x
N
E k r E
x
k N
n
x
k N
n
k N
n
x

= =
+ =
)
`

+ =

=

=

=
{ } ) (
) sin(
) sin( 1
2
1
) (

2
2
1
2
1
e e
e
e
t
j
x
j
per
e P
N
N
e P E -
|
|
.
|

\
|
=
D
T
F
T

N 0 -N
k
D
T
F
T

N
k N
k w

=
A
) (
0
2
2
1
2
1
) sin(
) sin( 1
) (
|
|
.
|

\
|
=
A
e
e
e
N
N
e W
j
k
6
Good Method?
Necessary conditions for mean-square
convergence:
Asymptotically Unbiased


Zero Variance
{ } ) ( ) (

lim
jw jw
N
e P e P E =

{ } 0 ) (

lim =

jw
N
e P Var
k
PSD
k
PSD
as N
k
as N
k
PSD PSD
7
Evaluation of Methods
Resolution
How much blurring effect is there on the power
spectrum?
Bias (Asymptotic)
Does the estimation approach the true value with
more data (i.e. as N increases)?
Variance
Does the amount of deviation from the true value
depend on the data length (i.e. N)?
k
PSD
k
PSD
as N
k
as N
k
PSD PSD
k
PSD
8
Different PSE Methods
Periodogram Method
Apply rectangular window to x(n) to get x
N
(n).
Modified Periodogram Method
Apply non-rectangular window to x(n) to get x
N
(n).
Bartletts Method
Average the Periodogram estimate of non-overlapping
sub-intervals of x(n).
Welchs Method
Average the Modified Periodogram estimate of overlapping
sub-intervals of x(n).
Blackman-Turkey Method
Apply non-triangular window to r(x).

k
N 0 -N
D
T
F
T

N
k N
k w

=
A
) (
k
0
2
2
1
2
1
) sin(
) sin( 1
) (
|
|
.
|

\
|
=
A
e
e
e
N
N
e W
j
k
as N
k
PSD PSD
9
Application: Feature Extraction
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0
0.5
1
1.5
2
2.5
x 10
4
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
-250
-200
-150
-100
-50
0
50
Linearized PSD Slope (Horizontal)
PSD
l
i
n
e
a
r
i
z
e

repeat for whole image
10
Questions or Comments?