Spectrum Estimation:

Traditional Methods:
1. Modified Periodogram Method
2. Blackman-Tukey Method
3. The Fast Correlation Method

By:

Spectral Estimation Techniques

Spectral Estimation

Parametric

Non Parametric
AR, ARMA based

Periodogram &
Modified
Periodogram
Blackman
Tuckey

Subspace Based
(high-resolution)
Ex: MUSIC
and ESPRIT

Fast Correlation
Model fitting based
Ex: Least Squares

Modified Periodogram
1
1
Pper (e j ) | X N (e j ) |2
N
N

1
j
j 2 ,

Pper (e )
Px (e ) * WR (e )
2N
j

1
PM (e j )
NU
1
U
N

N 1

x ( n) w

(n)e jn

sin( N 2) j ( N 1) 2
WR (e )
e
sin( 2)
j

jn
x
(
n
)
w
(
n
)
e

n
2

1
w(n)

2N
n 0

W (e

) d

Where N is the number of data sequence

Example: x(n) 0.1sin(0.2n 1 ) 1sin(0.3n 2 ) v(n)

N=128,Rectangular
Window

N=128, Hamming Window

Properties of the Modified-Periodogram

1
PM (e j )
NU

jn
x
(
n
)
w
(
n
)
e

1
U
N

Bias:

N 1

w(n)

Variance:

n 0

E{PM (e j )}

Resolution:

1
j
j 2
Px (e ) W (e )
2NU

window dependent
Var {PM (e j )} Px2 (e j )

Welchs method (Modified-Periodogram averaging)

xi (n) x(n iD )

n 0 ,1,....., L 1

Overlap = L-D

Where L is the number of samples of N data

sequence

....
6

Properties of Welchs method

Here K is the number of FFT points

PW (e j )

1
KLU

k 1 L 1

jn
x
(
n

iD
)
e

i 0 n 0

k 1
1
PW (e ) PM( i ) (e j )
L i 0
j

Bias

E{PB (e j )}

Resolution

1 L 1
2
U w(n)
L n 0

1
j
j 2
Px (e ) W (e )
2LU

Window dependent

Variance
9 L 2 j
j

Var {Pper (e )}
Px (e )
16 N

with 50% overlap

Example: x(n) 1sin(0.2 1 ) 3 sin(0.25 2 ) v(n)

N 512
k 4

N 512 , L 128
8

overlap 50% , hamming

Blackman-Tukeys method (Periodogram smoothing)

Note: Bartlett & Welch are design to reduce the variance of the Periodogra
by averaging and modified it.
Periodogram is computed by taking the Fourier transform of a
consistent estimate of the auto correlation sequence.
For any finite data record of length N, the variance
r (k )of
x

will

be large for values of k that are close to N. for example:

rx ( N 1)

1
x( N 1) x(0)
N

at lag k n 1

In Bartlett & Welch, the variance is decreased by reducing the

variance of autocorrelation estimate by averaging.

Blackman-Tukeys method cont.

In the Blackman-Tukey method, the variance is decreased by
applying a window to

in order to decrease the contribution of

rx (k )

the unreliable estimates to the periodogram.

Specifically, the Blackman-Tukey spectrum estimation is:

PBT (e )
j

jk

r
(
k
)
w
(
k
)
e
x

k M

For example, if w(k) is a rectangular window extending from M

to M with M<N-1
having the largest variance are set
rx (k,) then
to zero and consequently, the power spectrum estimation will
have a smaller variance.

Properties of B-Ts method

PBT (e j )

Bias

jk

r
(
k
)
w
(
k
)
e
x

k M

1
j

E{PBT (e )}
Px (e j ) W (e j )
2

Resolution

Window dependent

Variance Var {PBT (e )} P (e )

N
j

2
x

2
w
(k )
M

windowing: x(n) 3 sin(0.2 1 ) 1sin(0.25 2 ) v(n)

N 512 , M 128
Rectangular

N 512 , M 128
Hanning

N 512 , M 128
Bartlett

12

N 512 , M 128
Blackman

The Fast Correlation method

If the data length of more than 128 which need to be correlated,
the computation is quicker if the following correlation theorem is
used to implement the calculations using FFTs:

rx ( k )

1 1 *
F X (k ) X (k )
N

For Example it yields a tenfold speed increase if N=1024.

If the data exceeds the memory capacity of the system, then
overlap-add or overlap-save techniques may be used.
When the Autocorrelation in the Blackman-Tukey method is
computed using FFTs in these ways, the method is known as the
Fast Correlation method for Spectrum Estimation

Thank You.