Signal Processing Blockset™

Covariance Method - Compute parametric spectral estimate using covariance method

Library

Estimation / Power Spectrum Estimation

dspspect3

Description

The Covariance Method block estimates the power spectral density (PSD) of the input using the covariance method. This method fits an autoregressive (AR) model to the signal by minimizing the forward prediction error in the least squares sense. The order of the all-pole model is the value specified by the Estimation order parameter, and the spectrum is computed from the FFT of the estimated AR model parameters. To guarantee a valid output, you must set the Estimation order parameter to be less than or equal to half the input vector length.

The input is a sample-based vector (row, column, or 1-D) or frame-based vector (column only) representing a frame of consecutive time samples from a single-channel signal. The block's output (a column vector) is the estimate of the signal's power spectral density at N_fft equally spaced frequency points in the range [0,F_s), where F_s is the signal's sample frequency.

When you select Inherit FFT length from estimation order, N_fft is one greater than the estimation order. When you do not select Inherit FFT length from estimation order, N_fft is specified as a power of 2 by the FFT length parameter, and the block zero pads or wraps the input to N_fft before computing the FFT. The output is always sample based.

See the Burg Method block reference for a comparison of the Burg Method, Covariance Method, Modified Covariance Method, and Yule-Walker Method blocks.

Dialog Box

Estimation order

The order of the AR model. To guarantee a nonsingular output, you must set the value of this parameter to be less than or equal to half the input length. Otherwise, the output might be singular.

Inherit FFT length from estimation order

When selected the FFT length is one greater than the estimation order.

FFT length

Enter the number of data points on which to perform the FFT, N_fft. When N_fft is larger than the input frame size, each frame is zero-padded as needed. When N_fft is smaller than the input frame size, each frame is wrapped as needed. This parameter is enabled when you clear the Inherit FFT length from estimation order check box.

References

Kay, S. M. Modern Spectral Estimation: Theory and Application. Englewood Cliffs, NJ: Prentice-Hall, 1988.

Marple, S. L., Jr., Digital Spectral Analysis with Applications. Englewood Cliffs, NJ: Prentice-Hall, 1987.

Orfanidis, S. J. Introduction to Signal Processing. Englewood Cliffs, NJ: Prentice-Hall, 1995.

Supported Data Types

See Also

See Power Spectrum Estimation for related information.

Covariance AR Estimator

Create Diagonal Matrix