src/spectrum/minvar.py
def minvar(X, order, sampling=1., NFFT=default_NFFT):
    r"""Minimum Variance Spectral Estimation (MV)

    This function computes the minimum variance spectral estimate using
    the Musicus procedure.  The Burg algorithm from :func:`~spectrum.burg.arburg`
    is used for the estimation of the autoregressive parameters.
    The MV spectral estimator is given by:

    .. math:: P_{MV}(f) = \frac{T}{e^H(f) R^{-1}_p e(f)}


    where :math:`R^{-1}_p` is the inverse of the estimated autocorrelation
    matrix  (Toeplitz) and :math:`e(f)` is the complex sinusoid vector.

    :param X: Array of complex or real data samples (length N)
    :param int order: Dimension of correlation matrix (AR order = order - 1 )
    :param float T: Sample interval (PSD scaling)
    :param int NFFT: length of the final PSD

    :return:
        * PSD  - Power spectral density values (two-sided)
        * AR   - AR coefficients (Burg algorithm)
        * k    - Reflection coefficients (Burg algorithm)

    .. note:: The MV spectral estimator is not a true PSD function because the
        area under the MV estimate does not represent the total power in the
        measured process. MV minimises the variance of the output of a narrowband
        filter and adpats itself to the spectral content of the input data
        at each frequency.

    :Example: The following example computes a PSD estimate using :func:`minvar`
        The output PSD is transformed to a ``centerdc`` PSD and plotted.

    .. plot::
        :width: 80%
        :include-source:

        from spectrum import *
        from pylab import plot, log10, linspace, xlim
        psd, A, k = minvar(marple_data, 15)
        psd = twosided_2_centerdc(psd) # switch positive and negative freq
        f = linspace(-0.5, 0.5, len(psd))
        plot(f, 10 * log10(psd/max(psd)))
        xlim(-0.5, 0.5 )

    .. seealso::

        * External functions used are :meth:`~spectrum.burg.arburg`
          and  numpy.fft.fft
        * :class:`pminvar`, a Class dedicated to MV method.

    :Reference: [Marple]_

    """
    errors.is_positive_integer(order)
    errors.is_positive_integer(NFFT)

    psi = np.zeros(NFFT, dtype=complex)

    # First, we need to compute the AR values (note that order-1)
    A, P, k = arburg (X, order - 1)

    # add the order 0
    A = np.insert(A, 0, 1.+0j)

    # We cannot compare the output with those of MARPLE in a precise way.
    # Indeed the burg algorithm is only single precision in fortram code
    # So, the AR values are slightly differnt.
    # The followign values are those from Marple
    """A[1] = 2.62284255-0.701703191j
    A[2] = 4.97930574-2.32781982j
    A[3] = 6.78445101-5.02477741j
    A[4] =7.85207081-8.01284409j
    A[5] =7.39412165-10.7684202j
    A[6] =6.03175116-12.7067814j
    A[7] =3.80106878-13.6808891j
    A[8] =1.48207295-13.2265558j
    A[9] =-0.644280195-11.4574194j
    A[10] =-2.02386642-8.53268814j
    A[11] =-2.32437634-5.25636244j
    A[12] =-1.75356281-2.46820402j
    A[13] =-0.888899028-0.781434655j
    A[14] =-0.287197977-0.0918145925j
    P = 0.00636525545
    """

    # if we use exactly the same AR coeff and P from Marple Burg output, then
    # we can compare the following code. This has been done and reveals that
    # the FFT in marple is also slightly different (precision) from this one.
    # However, the results are sufficiently close (when NFFT is small) that
    # we are confident the following code is correct.

    # Compute the psi coefficients
    for K in range(0, order):
        SUM = 0.
        MK = order-K

        #  Correlate the autoregressive parameters
        for I in range(0, order - K):
            SUM = SUM + float(MK-2*I) * A[I].conjugate()*A[I+K]  # Eq. (12.25)

        SUM = SUM/P
        if K != 0:
            psi[NFFT-K] = SUM.conjugate()
        psi[K] = SUM

    # Compute FFT of denominator
    psi = fft(psi, NFFT)

    #  Invert the psi terms at this point to get PSD values
    PSD = sampling / np.real(psi)

    return PSD, A, k
def minvar(X, order, sampling=1., NFFT=default_NFFT):
    r"""Minimum Variance Spectral Estimation (MV)

    This function computes the minimum variance spectral estimate using
    the Musicus procedure.  The Burg algorithm from :func:`~spectrum.burg.arburg`
    is used for the estimation of the autoregressive parameters.
    The MV spectral estimator is given by:

    .. math:: P_{MV}(f) = \frac{T}{e^H(f) R^{-1}_p e(f)}


    where :math:`R^{-1}_p` is the inverse of the estimated autocorrelation
    matrix  (Toeplitz) and :math:`e(f)` is the complex sinusoid vector.

    :param X: Array of complex or real data samples (length N)
    :param int order: Dimension of correlation matrix (AR order = order - 1 )
    :param float T: Sample interval (PSD scaling)
    :param int NFFT: length of the final PSD

    :return:
        * PSD  - Power spectral density values (two-sided)
        * AR   - AR coefficients (Burg algorithm)
        * k    - Reflection coefficients (Burg algorithm)

    .. note:: The MV spectral estimator is not a true PSD function because the
        area under the MV estimate does not represent the total power in the
        measured process. MV minimises the variance of the output of a narrowband
        filter and adpats itself to the spectral content of the input data
        at each frequency.

    :Example: The following example computes a PSD estimate using :func:`minvar`
        The output PSD is transformed to a ``centerdc`` PSD and plotted.

    .. plot::
        :width: 80%
        :include-source:

        from spectrum import *
        from pylab import plot, log10, linspace, xlim
        psd, A, k = minvar(marple_data, 15)
        psd = twosided_2_centerdc(psd) # switch positive and negative freq
        f = linspace(-0.5, 0.5, len(psd))
        plot(f, 10 * log10(psd/max(psd)))
        xlim(-0.5, 0.5 )

    .. seealso::

        * External functions used are :meth:`~spectrum.burg.arburg`
          and  numpy.fft.fft
        * :class:`pminvar`, a Class dedicated to MV method.

    :Reference: [Marple]_

    """
    errors.is_positive_integer(order)
    errors.is_positive_integer(NFFT)

    psi = np.zeros(NFFT, dtype=complex)

    # First, we need to compute the AR values (note that order-1)
    A, P, k = arburg (X, order - 1)

    # add the order 0
    A = np.insert(A, 0, 1.+0j)

    # We cannot compare the output with those of MARPLE in a precise way.
    # Indeed the burg algorithm is only single precision in fortram code
    # So, the AR values are slightly differnt.
    # The followign values are those from Marple
    """A[1] = 2.62284255-0.701703191j
    A[2] = 4.97930574-2.32781982j
    A[3] = 6.78445101-5.02477741j
    A[4] =7.85207081-8.01284409j
    A[5] =7.39412165-10.7684202j
    A[6] =6.03175116-12.7067814j
    A[7] =3.80106878-13.6808891j
    A[8] =1.48207295-13.2265558j
    A[9] =-0.644280195-11.4574194j
    A[10] =-2.02386642-8.53268814j
    A[11] =-2.32437634-5.25636244j
    A[12] =-1.75356281-2.46820402j
    A[13] =-0.888899028-0.781434655j
    A[14] =-0.287197977-0.0918145925j
    P = 0.00636525545
    """

    # if we use exactly the same AR coeff and P from Marple Burg output, then
    # we can compare the following code. This has been done and reveals that
    # the FFT in marple is also slightly different (precision) from this one.
    # However, the results are sufficiently close (when NFFT is small) that
    # we are confident the following code is correct.

    # Compute the psi coefficients
    for K in range(0, order):
        SUM = 0.
        MK = order-K

        #  Correlate the autoregressive parameters
        for I in range(0, order - K):
            SUM = SUM + float(MK-2*I) * A[I].conjugate()*A[I+K]  # Eq. (12.25)

        SUM = SUM/P
        if K != 0:
            psi[NFFT-K] = SUM.conjugate()
        psi[K] = SUM

    # Compute FFT of denominator
    psi = fft(psi, NFFT)

    #  Invert the psi terms at this point to get PSD values
    PSD = sampling / np.real(psi)

    return PSD, A, k
def minvar ( X , order , sampling = 1. , NFFT = default_NFFT ) : errors . is_positive_integer ( order ) errors . is_positive_integer ( NFFT ) psi = np . zeros ( NFFT , dtype = complex ) # First, we need to compute the AR values (note that order-1) A , P , k = arburg ( X , order - 1 ) # add the order 0 A = np . insert ( A , 0 , 1. + 0j ) # We cannot compare the output with those of MARPLE in a precise way. # Indeed the burg algorithm is only single precision in fortram code # So, the AR values are slightly differnt. # The followign values are those from Marple """A[1] = 2.62284255-0.701703191j
    A[2] = 4.97930574-2.32781982j
    A[3] = 6.78445101-5.02477741j
    A[4] =7.85207081-8.01284409j
    A[5] =7.39412165-10.7684202j
    A[6] =6.03175116-12.7067814j
    A[7] =3.80106878-13.6808891j
    A[8] =1.48207295-13.2265558j
    A[9] =-0.644280195-11.4574194j
    A[10] =-2.02386642-8.53268814j
    A[11] =-2.32437634-5.25636244j
    A[12] =-1.75356281-2.46820402j
    A[13] =-0.888899028-0.781434655j
    A[14] =-0.287197977-0.0918145925j
    P = 0.00636525545
    """ # if we use exactly the same AR coeff and P from Marple Burg output, then # we can compare the following code. This has been done and reveals that # the FFT in marple is also slightly different (precision) from this one. # However, the results are sufficiently close (when NFFT is small) that # we are confident the following code is correct. # Compute the psi coefficients for K in range ( 0 , order ) : SUM = 0. MK = order - K #  Correlate the autoregressive parameters for I in range ( 0 , order - K ) : SUM = SUM + float ( MK - 2 * I ) * A [ I ] . conjugate ( ) * A [ I + K ] # Eq. (12.25) SUM = SUM / P if K != 0 : psi [ NFFT - K ] = SUM . conjugate ( ) psi [ K ] = SUM # Compute FFT of denominator psi = fft ( psi , NFFT ) #  Invert the psi terms at this point to get PSD values PSD = sampling / np . real ( psi ) return PSD , A , k
r"""Minimum Variance Spectral Estimation (MV)

    This function computes the minimum variance spectral estimate using
    the Musicus procedure.  The Burg algorithm from :func:`~spectrum.burg.arburg`
    is used for the estimation of the autoregressive parameters.
    The MV spectral estimator is given by:

    .. math:: P_{MV}(f) = \frac{T}{e^H(f) R^{-1}_p e(f)}


    where :math:`R^{-1}_p` is the inverse of the estimated autocorrelation
    matrix  (Toeplitz) and :math:`e(f)` is the complex sinusoid vector.

    :param X: Array of complex or real data samples (length N)
    :param int order: Dimension of correlation matrix (AR order = order - 1 )
    :param float T: Sample interval (PSD scaling)
    :param int NFFT: length of the final PSD

    :return:
        * PSD  - Power spectral density values (two-sided)
        * AR   - AR coefficients (Burg algorithm)
        * k    - Reflection coefficients (Burg algorithm)

    .. note:: The MV spectral estimator is not a true PSD function because the
        area under the MV estimate does not represent the total power in the
        measured process. MV minimises the variance of the output of a narrowband
        filter and adpats itself to the spectral content of the input data
        at each frequency.

    :Example: The following example computes a PSD estimate using :func:`minvar`
        The output PSD is transformed to a ``centerdc`` PSD and plotted.

    .. plot::
        :width: 80%
        :include-source:

        from spectrum import *
        from pylab import plot, log10, linspace, xlim
        psd, A, k = minvar(marple_data, 15)
        psd = twosided_2_centerdc(psd) # switch positive and negative freq
        f = linspace(-0.5, 0.5, len(psd))
        plot(f, 10 * log10(psd/max(psd)))
        xlim(-0.5, 0.5 )

    .. seealso::

        * External functions used are :meth:`~spectrum.burg.arburg`
          and  numpy.fft.fft
        * :class:`pminvar`, a Class dedicated to MV method.

    :Reference: [Marple]_
r Minimum Variance Spectral Estimation ( MV )