I am trying to replicate the output of Python's signal.welch function to make an estimate of the PSD from an FFT calculation. I don't want to use the built-in function to understand better what is happening, plus it gives me some illusion of more control of the parameters.

This is what I currently have:

import numpy as np
from scipy import signal
import matplotlib.pyplot as plt

# Generate a test signal (a 2 Vrms) sine wave at 1000 Hz and a second one a 1500 Hz, corrupted by 
# 0.001 V**2/Hz of white noise sampled at 7.5 kHz

fs = 7.5e3
N = 500
amp = 2*np.sqrt(2)
noise_power = 0.001 * fs /2
time = np.arange(N) / fs
data = amp* np.sin(2*np.pi*freq*time) + 0.7*amp* np.sin(2*np.pi*1.5*freq*time)
data += np.random.normal(scale=np.sqrt(noise_power),size=time.shape)

# Welch estimate parameters
segment_size = np.int32(0.5*N) # Segment size = 50 % of data length
overlap_fac = 0.5
overlap_size = overlap_fac*segment_size
fft_size = 512
detrend = True # If true, removes signal mean
scale_by_freq = True

# Frequency resolution
fres = fs/segment_size

## Welch function
f, PSD_welch = signal.welch(data, fs,window='hann', nperseg=segment_size,noverlap=overlap_size,nfft=fft_size,return_onesided=True,detrend='constant', average='median')

## Own implementation
# PSD size = N/2 + 1 
PSD_size = np.int32(fft_size/2)+1

# Number of segments
baseSegment_number = np.int32(len(data)/segment_size) # Number of initial segments
total_segments =  np.int32(baseSegment_number + ((1-overlap_fac)**(-1) - 1 ) * (baseSegment_number - 1)) # No. segments including overlap
window = signal.hann(segment_size) # Hann window

if scale_by_freq:
    # Scale the spectrum by the norm of the window to compensate for
    # windowing loss; see Bendat & Piersol Sec 11.5.2.
    S2 = np.sum((window)**2) 
    # In this case, preserve power in the segment, not amplitude
    S2 = (np.sum(window))**2

fft_segment = np.empty((total_segments,fft_size),dtype=np.complex64)
for i in range(total_segments):
    offset_segment = np.int32(i* (1-overlap_fac)*segment_size)
    current_segment = data[offset_segment:offset_segment+segment_size]
    # Detrend (Remove mean value)   
    if detrend :
        current_segment = current_segment - np.mean(current_segment)
    windowed_segment = np.multiply(current_segment,window)
    fft_segment[i] = np.fft.fft(windowed_segment,fft_size) # fft automatically pads if n<nfft

# Add FFTs of different segments
fft_sum = np.zeros(fft_size,dtype=np.complex64)
for segment in fft_segment:
     fft_sum += segment

# Signal manipulation factors      

# Normalization including window effect on power
powerDensity_normalization = 1/S2
# Averaging decreases FFT variance
powerDensity_averaging = 1/total_segments
# Transformation from Hz.s to Hz spectrum
if scale_by_freq:
    powerDensity_transformation = 1/fs
    powerDensity_transformation = 1

# Make oneSided estimate 1st -> N+1st element
fft_WelchEstimate_oneSided = fft_sum[0:PSD_size]

# Convert FFT values to power density in U**2/Hz
PSD_own = np.square(abs(fft_WelchEstimate_oneSided)) * powerDensity_averaging * powerDensity_normalization * powerDensity_transformation
# Double frequencies except DC and Nyquist
PSD_own[2:PSD_size-1] *= 2
fft_freq = np.fft.fftfreq(fft_size,1/fs)
freq = fft_freq[0:PSD_size]
# Take absolute value of Nyquist frequency (negative using np.fft.fftfreq)
freq[-1] = np.abs(freq[-1])

PSD_welch_dB = 10 * np.log10(PSD_welch) # Scale to dB
PSD_own_dB = 10 * np.log10(PSD_own) # Scale to dB

plot = True
## Plots
if plot:

    plt.plot(f, PSD_welch,label='Welch function')
    plt.plot(freq,PSD_own,label='Own implementation')
    plt.xlim([0, fs/2])
    plt.xlabel('frequency [Hz]')
    plt.ylabel('PSD [dB]')

I have (tried to) read through and understand the source code, as well as reading through the various (related) questions on here as well as on Mathworks. I have also read the original paper, and I understand the different steps involved as well as the normalization of the PSD using Welch's method. I am new to signal processing. From what I can gather from my output, I am doing something wrong with my segmenting/applying the windows as I am unable to pick up the frequency peak at 1000 Hz with my own method. This also happens without the noise and only when using a specific no. of N, indicating that some data must be getting lost.

The following is a plot of my output now: enter image description here

What am I doing wrong?


Unless you do something funky to phase-align each segment, you'll need to change this line:

fft_segment[i] = np.fft.fft(windowed_segment,fft_size) # fft automatically pads if n<nfft


fft_segment[i] = np.abs(np.fft.fft(windowed_segment,fft_size)) # fft automatically pads if n<nfft

If I do that I get the following instead. There's still a scale mismatch (a factor of 2?), but the shape is much closer.

enter image description here

  • 1
    $\begingroup$ Thank you, this indeed solved the frequency mismatch. When also moving the square to the fft of the individual segments (np.square(np.abs(np.fft.fft(...)))) the scale difference is also much smaller and does not occur for all frequencies. EDIT: They both align completely after changing the averaging method of the signal.welch function to 'mean' instead of 'median'. $\endgroup$ – WhyCFD Jun 19 '19 at 6:19

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