Anda di halaman 1dari 14

# 13.

Power Spectrum
For a deterministic signal x(t), the spectrum is well defined: If X (ω )
represents its Fourier transform, i.e., if
+∞
X (ω ) = ∫ −∞ x(t )e − jω t dt , (13-1)
then | X (ω ) |2 represents its energy spectrum. This follows from
Parseval’s theorem since the signal energy is given by
+∞ +∞
∫ −∞ x (t )dt = 1
∫ −∞ ω dω = E.
2 2
| X ( ) | (13-2)

Thus | X (ω ) |2 ∆ω represents the signal energy in the band (ω , ω + ∆ω )
(see Fig 13.1).
| X (ω )|2
X (t ) Energy in (ω ,ω +∆ω )

0 t 0 ω
ω ω + ∆ω
Fig 13.1
1
However for stochastic processes, a direct application of (13-1)
generates a sequence of random variables for every ω . Moreover,
for a stochastic process, E{| X(t) |2} represents the ensemble average
power (instantaneous energy) at the instant t.

## To obtain the spectral distribution of power versus frequency for

stochastic processes, it is best to avoid infinite intervals to begin with,
and start with a finite interval (– T, T ) in (13-1). Formally, partial
Fourier transform of a process X(t) based on (– T, T ) is given by
T
X T (ω ) = ∫ −T X (t )e − jω t dt (13-3)
so that
| X T (ω ) |2 1 T 2

− jω t
= −T
X (t )e dt (13-4)
2T 2T
represents the power distribution associated with that realization based
on (– T, T ). Notice that (13-4) represents a random variable for every
ω , and its ensemble average gives, the average power distribution
based on (– T, T ). Thus 2
⎧ | X T (ω ) |2 ⎫ 1 T T
∫− T ∫− T
− jω ( t1 − t2 )
PT (ω ) = E ⎨ ⎬ = E { X ( t1 ) X *
( t 2 )}e dt1dt2
⎩ 2T ⎭ 2T
1 T T
∫ − T ∫− T XX 1 2
− jω ( t1 − t2 )
= R ( t , t ) e dt1dt2 (13-5)
2T
represents the power distribution of X(t) based on (– T, T ). For wide
sense stationary (w.s.s) processes, it is possible to further simplify
(13-5). Thus if X(t) is assumed to be w.s.s, then RXX (t1 , t2 ) = RXX (t1 − t2 )
and (13-5) simplifies to
1 T T
∫ −T ∫ −T XX 1 2
− jω ( t1 − t2 )
PT (ω ) = R ( t − t ) e dt1dt2 .
2T
Let τ = t1 − t2 and proceeding as in (14-24), we get
1 2T

− jωτ
PT (ω ) = − 2T
R XX
(τ ) e (2T − | τ |)dτ
2T
2T
= ∫ − 2T RXX (τ )e − jωτ (1 − 2|τT| )dτ ≥ 0 (13-6)
to be the power distribution of the w.s.s. process X(t) based on
(– T, T ). Finally letting T → ∞ in (13-6), we obtain 3
+∞
S XX (ω ) = lim PT (ω ) = ∫−∞ RXX (τ )e − jωτ dτ ≥ 0 (13-7)
T →∞

to be the power spectral density of the w.s.s process X(t). Notice that
RXX (ω ) ←⎯→
F⋅T
S XX (ω ) ≥ 0. (13-8)
i.e., the autocorrelation function and the power spectrum of a w.s.s
Process form a Fourier transform pair, a relation known as the
Wiener-Khinchin Theorem. From (13-8), the inverse formula gives
+∞
∫−∞ XX
jωτ
RXX (τ ) = 1
2π S (ω ) e dω (13-9)

## and in particular for τ = 0, we get

+∞
1
∫−∞ XX ω ω = = } = P,
2
2π S ( ) d R XX
(0) E {| X ( t ) | the total power.
(13-10)
From (13-10), the area under S XX (ω ) represents the total power of the
process X(t), and hence S XX (ω ) truly represents the power
spectrum. (Fig 13.2). 4
S XX (ω ) S XX (ω ) ∆ω represents the power
in the band (ω , ω + ∆ω )

ω ω + ∆ω ω
0

Fig 13.2
The nonnegative-definiteness property of the autocorrelation function
in (14-8) translates into the “nonnegative” property for its Fourier
transform (power spectrum), since from (14-8) and (13-9)
n n n n +∞
∑∑ ai a RXX (ti − t j ) = ∑∑ ai a 21π
jω ( ti − t j )
∫−∞ S (ω )e dω
* *
j j XX
i =1 j =1 i =1 j =1

+∞ 2
∫−∞ S (ω ) ∑ i =1 ai e jω ti
d ω ≥ 0.
n
= 21π XX
(13-11)
From (13-11), it follows that
RXX (τ ) nonnegative - definite ⇔ S XX (ω ) ≥ 0. (13-12)
5
If X(t) is a real w.s.s process, then RXX (τ ) = RXX (−τ ) so that
+∞
S XX (ω ) = ∫ −∞ RXX (τ )e − jωτ dτ
+∞
= ∫ −∞ RXX (τ ) cos ωτ dτ

= 2 ∫ 0 RXX (τ ) cos ωτ dτ = S XX ( −ω ) ≥ 0 (13-13)
so that the power spectrum is an even function, (in addition to being
real and nonnegative).

6
Power Spectra and Linear Systems

## If a w.s.s process X(t) with autocorrelation

function RXX (τ ) ↔ S XX (τ ) ≥ 0 is X(t) h(t) Y(t)
applied to a linear system with impulse
response h(t), then the cross correlation Fig 13.3
function RXY (τ ) and the output autocorrelation function RYY (τ ) are
given by (14-40)-(14-41). From there
RXY (τ ) = RXX (τ ) ∗ h* (−τ ), RYY (τ ) = RXX (τ ) ∗ h* (−τ ) ∗ h(τ ). (13-14)
But if
f (t ) ↔ F (ω ), g (t ) ↔ G (ω ) (13-15)
Then
f (t ) ∗ g (t ) ↔ F (ω )G (ω ) (13-16)
since
+∞
F { f (t ) ∗ g (t )} = ∫ −∞ f (t ) ∗ g (t )e − jω t dt
7
+∞
F { f (t ) ∗ g (t )}= ∫ −∞ {∫ +∞
−∞ }
f (τ ) g (t − τ )dτ e − jω t dt
+∞ +∞
= ∫ −∞ f (τ )e − jωτ
dτ ∫ −∞ g (t − τ )e − jω ( t −τ ) d (t − τ )
=F (ω )G (ω ). (13-17)
Using (13-15)-(13-17) in (13-14) we get
S XY (ω ) = F {RXX (ω ) ∗ h* ( −τ )} = S XX (ω ) H * (ω ) (13-13)

since

( )
+∞ +∞ *

∫ −∞ h (−τ )e ∫ −∞ h(t )e
− jωτ − jω t
*
dτ = dt = H * (ω ),
where
+∞
H (ω ) = ∫ −∞ h(t )e − jω t dt (13-19)

## represents the transfer function of the system, and

SYY (ω ) = F {RYY (τ )} = S XY (ω ) H (ω )
= S XX (ω ) | H (ω ) |2 . (13-20)
8
From (13-13), the cross spectrum need not be real or nonnegative;
However the output power spectrum is real and nonnegative and is
related to the input spectrum and the system transfer function as in
(13-20). Eq. (13-20) can be used for system identification as well.

## W.S.S White Noise Process: If W(t) is a w.s.s white noise process,

then from (14-43)
RWW (τ ) = qδ (τ ) ⇒ SWW (ω ) = q. (13-21)
Thus the spectrum of a white noise process is flat, thus justifying its
name. Notice that a white noise process is unrealizable since its total
power is indeterminate.
From (13-20), if the input to an unknown system in Fig 13.3 is
a white noise process, then the output spectrum is given by
SYY (ω ) = q | H (ω ) |2 (13-22)
Notice that the output spectrum captures the system transfer function
characteristics entirely, and for rational systems Eq (13-22) may be
used to determine the pole/zero locations of the underlying system.
9
Example 13.1: A w.s.s white noise process W(t) is passed
through a low pass filter (LPF) with bandwidth B/2. Find the
autocorrelation function of the output process.
Solution: Let X(t) represent the output of the LPF. Then from (13-22)
⎧ q, | ω |≤ B / 2
S XX (ω ) = q | H (ω ) | = ⎨
2
. (13-23)
⎩0, | ω |> B / 2
Inverse transform of S XX (ω ) gives the output autocorrelation function
to be
RXX (τ ) = ∫ − B / 2 S XX (ω )e jωτ d ω = q ∫− B / 2 e jωτ d ω
B/2 B/2

sin( Bτ / 2)
= qB = qB sinc( Bτ / 2) (13-24)
( Bτ / 2) R (τ )
XX

| H (ω )|2 qB
1

ω τ
−B /2 B/2

## (a) LPF (b)

Fig. 13.4 10
Eq (13-23) represents colored noise spectrum and (13-24) its
autocorrelation function (see Fig 13.4).
Example 13.2: Let
1 t +T
Y (t ) = ∫
2T t −T
X (τ )dτ (13-25)

## represent a “smoothing” operation using a moving window on the input

process X(t). Find the spectrum of the output Y(t) in term of that of X(t).
h (t )
1 / 2T
Solution: If we define an LTI system
with impulse response h(t) as in Fig 13.5, t
−T T
then in term of h(t), Eq (13-25) reduces to Fig 13.5
+∞
Y (t ) = ∫ −∞ h(t − τ ) X (τ )dτ = h(t ) ∗ X (t ) (13-26)
so that
SYY (ω ) = S XX (ω ) | H (ω ) |2 . (13-27)
Here
+T
H (ω ) = ∫ −T 1
2T e − jωt dt = sinc(ωT ) (13-28)
11
so that
SYY (ω ) = S XX (ω ) sinc 2 (ω T ). (13-29)
S XX ( ω ) sinc 2 (ω T ) S YY ( ω )

ω ω ω
π
T

Fig 13.6
Notice that the effect of the smoothing operation in (13-25) is to
suppress the high frequency components in the input (beyond π / T ),
and the equivalent linear system acts as a low-pass filter (continuous-
time moving average) with bandwidth 2π / T in this case.

12
Discrete – Time Processes
For discrete-time w.s.s stochastic processes X(nT) with
autocorrelation sequence {rk }+∞
−∞ ,
(proceeding as above) or formally
defining a continuous time process X (t ) = ∑ n X (nT )δ (t − nT ), we get
the corresponding autocorrelation function to be
+∞
RXX (τ ) = ∑ rk δ (τ − kT ).
k =−∞
Its Fourier transform is given by
+∞
S XX (ω ) = ∑ rk e − jωT ≥ 0, (13-30)
k =−∞

## and it defines the power spectrum of the discrete-time process X(nT).

From (13-30),
S XX (ω ) = S XX (ω + 2π / T ) (13-31)
so that S XX (ω ) is a periodic function with period

2B = . (13-32)
T 13
This gives the inverse relation
1 B

jkωT
rk = S
− B XX
(ω ) e dω (13-33)
2B
and
1 B
r0 = E{| X ( nT ) | } = ∫ S (ω )d ω
2
(13-34)
− B XX
2B
represents the total power of the discrete-time process X(nT). The
input-output relations for discrete-time system h(nT) in (14-65)-(14-67)
translate into
S XY (ω ) = S XX (ω ) H * (e jω ) (13-35)
and
SYY (ω ) = S XX (ω ) | H (e jω ) |2 (13-36)
where
+∞

H (e ) = ∑ h( nT ) e − jω nT (13-37)
n =−∞
represents the discrete-time system transfer function. 14