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Recall that the average power in a periodic signal with period T = 2=! is
Ave sig pwr =
Z +T=2
1
T
T=2
jf (t )j
dt =
Z +T=2
T=2
f (t )f (t ) dt :
1
X
n=
Cn ein!t :
It follows that
Ave sig pwr
=
=
=
Z +T=2 X
1
T=2 n=
1
X
1
1
X
n=
n=
Cn (Cn )
jCn j
Cn e
1
X
in!t
m=
(Cm ) e
im!t
dt
(because of orthogonality)
jC j
0
+2
1
X
n=1
jCn j
using
Cn
= (C n ):
5/2
1
2
m>
m=
m<
0
0
0
jC0j2 = 21 A0
1
2jCn j2 = 2 (Am
2
2
1
1
iBm ) (Am + iBm ) =
2
2
A2n + Bn2
Z 1
jf (t )j dt
2
Tot
1
2
5/3
A power signal is one where the total energy is innite, and we consider average
power
1
PAve = lim
T !1 2T
Z T
T
jf (t )j dt
2
A Power signal f (t )
1
2
Ave
The distinction is all to do with avoiding innities, but it results in the autocorrelation having dierent dimensions. Instinct tells you this is going to be a bit messy.
We discuss nite energy signals rst.
5/4
Z 11
f (t )e i!t dt
f (t )e+i!t dt
F (! )
F (! )
Z 1
f (t )e i!t dt
= F (
!)
This is, of course, a quite general result which could have been stuck in Lecture
2, and which is worth highlighting:
The Fourier Transform of a complex conjugate is
Z 1
f (t )e i!t dt
= F (
!)
!.
Z 1
1
f (t )g (t )dt =
2 Z
Z 11
) f (t )f (t )dt = 21
1
1
1
1
F (p )G ( p )dp
F (p )F (p )dp
Z 1
jf (t )j2dt = 21
1
Z 1
jF (!)j
d! =
Z 1
jF (!)j
df
NB! The df = d!=2, and is nothing to do with the signal being called f (t ).
If the integral gives the total energy, it must be that jF (!)j2 is the energy per Hz.
That is:
The ENERGY Spectral Density of a signal f (t ) , F (!) is dened as
Ef f (!) = jF (!)j
5/5
5.5
| Example
[Q] Determine the energy in the signal f (t ) = u (t )e t (i) in the time domain, and
(ii) by determining the energy spectral density and integrating over frequency.
[A] Part (i): To nd the total energy in the time domain
Z 1
f (t )
= uZ(t ) exp( t )
1
2
jf (t )j dt =
exp( 2t )dt
0
exp( 2t ) 1
dt
=
2 0
1
= 0
2
1
2
=
=
=
Z 1
1
Z 1
0
u (t ) exp( t ) exp(
exp(
i!t )dt
t (1 + i! ))dt
exp( t (1 + i!)) 1
(1 + i!) 0
1
(1 + i!)
jF (!)j df
2
Z =2
1
=
2
Z
1
=
2
1
=
2
1
sec2 d
2
=2 1 + tan
=2
=2
d
=
1
2
w hi ch i s ni ce
5/6
5.6 Correlation
Correlation is a tool for analysing whether processes considered random a priori
are in fact related. In signal processing, cross-correlation Rf g is used to assess
how similar two dierent signals f (t ) and g (t ) are. Rf g is found by multiplying
one signal, f (t ) say, with time-shifted values of the other g (t + ), then summing
up the products. In the example in Figure 5.1 the cross-correlation will low if the
shift = 0, and high if = 2 or = 5.
f(t)
Low
High
High
g(t)
t
1
Figure 5.1: The signal f (t ) would have a higher cross-correlation with parts of g (t ) that look
similar.
One can also ask how similar a signal is to itself. Self-similarity is described by the
auto-correlation Rf f , again a sum of products of the signal f (t ) and a copy of the
signal at a shifted time f (t + ).
An auto-correlation with a high magnitude means that the value of the signal
f (t ) at one instant signal has a strong bearing on the value at the next instant.
Correlation can be used for both deterministic and random signals. We will explore
random processes this in Lecture 6.
The cross- and auto-correlations can be derived for both nite energy and nite
power signals, but they have dierent dimensions (energy and power respectively)
and dier in other more subtle ways.
We continue by looking at the auto- and cross-correlations of nite energy signals.
5/7
Z 1
f (t )f (t
Z 1
f (t )f (t
+ )dt
f(t + )
f(t)
f(t)
Figure 5.2: g (t ) and g (t + ) for a positive shift .
= Rf f (
) :
Z 1
f (p
)f (p )dp :
But p is just a dummy variable. Replace it by t and you recover the expression for
Rf f ( ). (In fact, in some texts you will see the autocorrelation dened with a
minus sign in front of the .)
5/8
5.8
5.8.1
5.8.2
f (t )
dt
Z 1
f (t )f (t
+ )dt
| Applications
For several decades, the SETI organization have been looking for extra terrestrial intelligence by examining the autocorrelation of signals from radio telescopes. One project
scans the sky around nearby (200 light years) sun-like stars
chopping up the bandwidth between 1-3 GHz into 2 billion
channels each 1 Hz wide. (It is assumed that an attempt to
communicate would use a single frequency, highly tuned,
signal.) They determine the autocorrelation each channel's signal. If the channel is noise, one would observe a
very low autocorrelation for all non-zero . (See white Figure 5.3: Chatty aliens
noise in Lecture 6.) But if there is, say, a repeated message, one would observe a
periodic rise in the autocorrelation.
increasing
Figure 5.4: Rf f at = 0 is always large, but will drop to zero if the signal is noise. If the messages
align the autocorrelation with rise.
5/9
FT
Z 1
f (t )g (t
+ )dt
=
=
Z 1
Z 1
Z =
t=
f (t )g (t
t= Z
1
1
f (t )
=
g (t
f (t )g (t
+ ) dt e
+ ) e
+ )dt , then
i!
i!
d
d dt
Notice that t is a constant for the integration wrt (that's how f (t )
oated
through the integral sign). Substitute p = t + into it, and the integrals become
separable
FT
Z 1
f (t )g (t
+ )dt
=
=
=
Z 1
Zt =
1
1
f (t )
Z 1
f (t )ei!t
g (p )
p= Z
1
1
dt
F (! )G (! ):
g (p )
i!p +i!t
i!p
dp dt
dp
FT [Rf f ( )] = jF (!)j
= E f f (! )
(This method of proof is valid only for nite energy signals, and rather trivializes
the Wiener-Khinchin theorem. The fundamental derivation lies in the theory of
stochastic processes.)
5/10
Auto-correlation at = 0 is
Z
1 1
Rf f (0) =
E !)d! = ETot
2 1 f f
But this is exactly as expected! Earlier we dened the energy spectral density as
Z
1 1
ETot =
E !)d! ;
2 1 f f
and we know that for a nite energy signal
Rf f (0)
Z 1
jf (t )j dt = E
2
Tot
= H (! )F (! ) :
= jH (!)j2Ef f (!)
5.12 Cross-correlation
The cross-correlation describes the dependence between two dierent signals.
Cross-correlation
Rf g ( )
Z 1
f (t )g (t
+ )dt
5/11
5.13
f(t)
1
2a
2a 3a
4a
t
2a+
2a+
0
4a+
0
2a
t
2a+
0
4a+
2a
4a+
2a
2a+
2a
t
4a+
0, f = 2ta, then f = 0.
2 + a , g = 1, then g = 0.
The left-most non-zero conguration is valid for 0 4a + a, so that
f (t ) is made of sections with f =
g (t + ) is made of g = 0, g = at
For
4a
R f g ( )
For
Rf g ( )
3a
=
For
Z 1
For
3a :
Z 1
f (t )g (t
Z 1
+ )dt =
2a :
f (t )g (t + )dt
2a
Rf g ( )
0:
Z 1
(4a + )
1 dt =
2a
4a
Z 3a +
t
t
a:
f (t )g (t + )dt
Z 4a +
t
2a
Z 3 a +
t
t
2a +
2a
Z 2a
2+
a
2+
t
a
dt +
Z 4a +
t
dt +
3a+
Z 2a
3a +
2a
t
2a
1 dt
1 dt
2+
dt
2a a
a
Working out the integrals and nding the maximum is left as a DIY exercise.
R f g ( )
f (t )g (t
+ )dt =
2a+
5/12
Figure 5.5:
5.13.1 Application
5/13
increasing
Figure 5.6:
function the limit over all time is the same as the value over a period T0
Z T
1
Rf f ( ) = lim
T !1 2T
Z
1
! 2(T =2)
0
=
!0
Z =!0
T
T0 =2
T0 =2
!0 )]
This is actually the power spectral density of sin !0t , denoted Sf f (!). The functions are obvious enough, but to check the coecient let us integrate over all
frequency f :
Z 1
Sf f (! )df
=
=
Z 1
12
Z 1
12
!0 )] df
!0 )]
d!
1
= [1 + 1]
2
4
1
2
5/14
This does indeed return the average power in a sine wave. We can use Fourier
Series to conclude that this results must also hold for any periodic function. It
is also applicable to any innite energy \non square-integrable" function. We will
justify this a little more in Lecture 61.
To nish o, we need only state the analogies to the nite energy formulae,
replacing Energy Spectral Density with Power Spectral Density, and replacing Total
Energy with Average Power.
The autocorrelation of a nite power signal is dened as
1
Rf f ( ) = lim
T !1 2T
Z T
T
f (t )f (t
+ )dt
, Sf f (!)
= Rf f (0)
= jH (!)j2Sf f (!)
, Sf g (!)
Z T
T
f (t )g (t
+ )dt