Advanced metering infrastructure (AMI) systems play a crucial role in smart grid, where smart meters have two-way communications to remotely send meter readings up on request. While wireless technologies are highly desirable for flexible, adaptable, and cost-effective smart metering deployments, there are a number of issues to be addressed in terms of security and privacy. In this paper, we study a compressive sensing (CS) based physical layer authentication scheme over a multicarrier system and analyze its security performance against impersonation attack. In particular, we derive conditional distributions for the hypothesis testing used in authentication. From them, we are able to guarantee security performances in terms of the probabilities of false alarm and authentication error.