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Eigenvector-based Methods

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A very common problem in spectral estimation

is concerned with the extraction of
uncorrelated sinusoids from noise
The so-called eigen-decomposition methods
are amongst the best at high SNR
They are used also extensively in array signal
processing eg for the estimation of the
Direction of Arrival (DoA).(Measurements of
spatial frequencies is equivalent to direction
finding)
Professor A G
Constantinides

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Eigenvector-based Methods

DS
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These techniques can resolve

frequencies that are closely spaced and
hence are often referred to as superresolution methods

Professor A G
Constantinides

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Mathematical Background

DS
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The signal model: Assume that the

signal is given by
p

x[n] ai e j ( ni i )

i 1
Then
p
rxx [k ] E{x[n]x[n k ]} pi e jni
i 1
where
2
pi ai
Professor A G
Constantinides

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Mathematical Background

DS
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x[n]

Set

x[n]
x[n 1]

x[n M 2]
x[n M 1]

rxx [1] . rxx [( M 1)]

rxx [0] . rxx [( M 2)]

.
.
.

rxx [ M 1]
.
.
rxx [0]
rxx [0]
rxx [1]
.

R xx

Professor A G
Constantinides

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Mathematical Background

DS
P

Then we can write the autocorrelation

p
matrix as
H
R xx pk sk sk
k 1

where

e j1
e j 21
.

si

j ( M 2 )1

e j ( M 1)1

Professor A G
Constantinides

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Mathematical Background

DS
P

And hence
Where
And

R xx SPS

s s1 s 2 . . s p

P diag ( p1 ,

p2 , . .

p p )

The vector space

S span{s1 , s 2 , . . s p }
is the signal subspace of {x[ n]}
Professor A G
Constantinides

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Mathematical Background

DS
P

If M p then R xx has rank p

Let the eigenvalues of R xx be
1 2 3 ... M
Corresponding to the normalised
eigenvectors u1 , u 2 , . . u M
Then R xxui iui
M
and
H
R xx iuiui
i 1Professor A G

Constantinides

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Mathematical Background

DS
P

Since R xx is off rank p then

p 1 p 2 p 3 ... M 0

And hence

R xx u u

The eigenvectors

i 1

H
i i i

u1 , u 2 , . . u p

are the principal eigenvectors of

Professor A G
Constantinides

R xx
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Mathematical Background

DS
P

An important result is
The principal eigenvectors span the signal
subspace
Thus given a sequence of observations we can
determine the autocorrelation matrix and its
eigenvectors.
p eigenvectors we can
Knowing the first
determine the space in which the signals reside
even though at this point we do not know their
frequencies.
Professor A G
Constantinides

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Mathematical Background

DS
P

The noise model: We assume that we

observe signal contaminated additively,
by a stationary, zero mean, white noise,
independent of it
y[n] x[n] w[n]

Then

ryy [k ] rxx [k ] [k ]
2
w

Professor A G
Constantinides

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Mathematical Background

DS
P

From the above we have

p

ryy [k ] pi e
i 1

jki

[k ]

Moreover with

2
w

y[n]
y[n 1]
.

y[n]

y[n M 2]
y[n M 1]

w[n]

Professor A G
Constantinides

w[ n]

w[n 1]

w[n M 2]
w[n M 1]
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Mathematical Background

DS
P

We have
R yy R xx I
Clearly R yy is of rank M ie full rank
Let its eigenvalues be
2
w

1 2 3 ... M
2
p
where the first
are i i w

While the rest are all ewual to the variance of

noise
Professor A G
Constantinides

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Mathematical Background

DS
P

Thus we can write

p

R yy (i )u u u u
i 1

2
w

H
i i

i p 1

2
H
w i i

The space

N span{u p 1 , u p 2 , . . u M }

Is called the noise subspace.

Important result: Any vector in the signal subspace is
orthogonal to the noise subspace
Professor A G
Constantinides

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Pisarenko

DS
P

The Pisarenko harmonic decomposition

exploits the orthogonality of two
subspaces directly.
Let the number of sinusoids (modes) p
be known
Set M p 1
so that the noise is
spanned a single vector u M
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Constantinides

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Mathematical Background

DS
P

Note that u M must be orthogonal to all

the signal subspace vectors
H
si u M 0 i 1,2,..., p

With
u M u M ,0

We have

M 1

u M ,1 . . u M , M 1

u M ,k e

k 0

jki

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Constantinides

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Mathematical Background

DS
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ji

The last equation is a polynomial in e

and hence its M 1 p which all lie on
the unit circle correspond to the frequencies of
the sinuoidal signal.
The amplitudes are obtained from the
autocorrelation relationships of the
observations as given earlier.
The noise strength is given from the last
eigenvalue of the same autocorrelation matrix.
Professor A G
Constantinides

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MUSIC

DS
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Multiple Signal Classification relies on

the same principle of orthogonality.
T
j
j 2
j ( M 1)
e
. e
Let s ( ) 1 e

s ( )x 0
H

Professor A G
Constantinides

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MUSIC

DS
P

Now define the function

M

M ( ) s ( )u k
H

k p 1

Clearly M ( ) 0.Hence its reciprocal is infinite

i
Thus the reciprocal of the above function exhibits peaks
at the input frequencies.
So that whenever
(one of the input requencies),
then for any vector
in the noise subspace
The signal strengths can be computed as in the
Pisarenko Harmonic Decomposition
Professor A G
Constantinides

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MUSIC

DS
P

The quantity below is known as the

MUSIC spectrum.
1
P ( )

M ( )

1
M

s ( )u k
H

k p 1

Professor A G
Constantinides

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