Discrete-time Linear Shift Invariant System with WSS Random Inputs

Discrete-time Linear Shift Invariant System with Deterministic Inputs

We have seen that the Dirac delta function d (t ) plays a very important role in the analysis
of the response of the continuous-time LTI systems to deterministic and random inputs.
Similar role in the case of the discrete-time LTI system is played by the unit sample
sequence d [n] defined by
1 for n = 0
�
d [ n] = �
0 otherwise
�
Any discrete-time signal x[ n] can be expressed in terms of d [n] as follows:
�
x[n] = � x[k ]d [n - k ]
k =-�

A discrete-time linear shift-invariant system is characterized by the unit sample response

h[ n] which is the output of the system to the unit sample sequence d [n].

d [n] x h[n]
(n) LTI
system

The DTFT of the unit sample response is the transfer function of the system and given by
�
H (w ) = � h[n]e - jw n
n =-�

The transfer function in terms of z - transform is given by

�
H ( z ) = � h[ n] z - n
n =-�

where H ( z ) is a function of the complex variable z. It is defined on a region of

convergence (ROC) on the z - plane.

An analysis similar to that for the continuous-time LTI system can be applied to the
discrete-time LTI system. Such an analysis shows that the response y[n] of a the linear

time-invariant system with impulse response h[n] to a deterministic input x[ n] is

�
y[n] = � x[k ]h[n - k ] = x[n]* h[ n]
k =-�
By taking the DTFT of both sides, we get
Y (w ) = X (w ) H (w )
More generally, we can take the z-transform of the input and the response and show that
Y ( z) = X ( z) H ( z)
Remark
 If the LTI system is causal, then
h[ n] = 0 for n < 0

In this case, the ROC of H ( z ) is a region in the z - plane given by r < z < �. For
example, suppose
n
�1 �
h[ n] = � �u[ n]
�2 �
1 1
H ( z) = < z <�
Then, 1 2
1 - z -1
2
 Similarly, if the LTI system is anti-causal, then
h[ n] = 0 for n > 0

In this case, the ROC of H ( z ) is a region in the z - plane given by z �r .

 The contour z = 1 is called the unit circle. Thus H (w ) represents H ( z )

evaluated on the unit circle.

 H ( z ) can be expressed as the ratio of two polynomials in z
N ( z)
H ( z) =
D( z )
The polynomials N ( z ) and D( z ) helps us in analyzing the properties of a linear

system in terms of the zeros and poles of H ( z ) defined by

Zero- the point in the z - plane where N ( z ) = 0. H ( z ) = 0 at such a point.
Pole- the point in the z - plane where D( z ) = 0. H ( z ) � � at such a point. The

ROC of H ( z ) does not contain any pole.

 Zero
Im( z)
z =1 Pole

0 �

0 � Re( z )

 For the stability of the LTI system, the unit-sample response h[ n] should
decay to zero as n � �. A necessary and sufficient condition for the stability
of a discrete-time LTI system is that all its poles lie strictly inside the unit
circle.
 A discrete-time LTI system is called a minimum- phase system if all its poles
and zeros lie inside the unit circle. A minimum-phase system is always stable
as its poles lie inside the unit circle. Because the zeros of the system lie

1
inside the unit circle, the inverse system with a transfer function will
H ( z)
have all its poles inside the unit circle and be stable.
 A discrete-time LTI system is called a maximum- phase system if all its poles
and zeros lie outside the unit circle.

Response of a discrete-time LTI system to WSS input

Consider a discrete-time linear time-invariant system with impulse response h[n] and

input { X [ n]} as shown in Fig. Assume { X [n]} to be a WSS process with mean m X and

autocorrelation function RX [m].

h[n]
X [n] Y [n]
x(n) y(n)
The output random process {Y [n]} is given by
�
Y [n] = X [ n] * h[ n] = � h[ k ] X [ n - k ]
k =-�

Given the WSS input { X [n]}, the output process {Y [n]} is also WSS. We establish this result
in the following section.
Mean and Autocorrelation of the output
The mean of the output is given by
�
E Y [n] = E � h[k ]X [n - k ]
k =-�
�
= � h[k ]EX [ n - k ]
k =-�
�
=m X � h[ k ]
k =-�

= m X H (0)

where H (0) is the dc gain of the system given by

H (0) = H (w ) w =0
�
= � h[ n]e - jwn
n =-� w =0
�
= � h[ n]
n =-�

Thus the mean of the output process {Y [ n]} is constant. We write

mY = EY [n] = m X H (0)

The cross-correlation between the output and the input random processes is given by
RYX [n, n - m] = E Y [n] X [n - m]
= E ( X [n]* h[n]) X [ n - m]
�
= E � h[k ] X [n - k ]X [n - m]
k =-�
� � .
= � h[k ] � EX [n - k ] X [n - m]
k =-� l =-�
�
= � h[k ]RX [m - k ]
k =-�

= h[m]* RX [m]

Thus RYX [n, n - m] does not depend on n , but on lag m and we can write

RYX [m] = h[ m]* RX [ m]

The autocorrelation function of the out put is

 RY [n, n - m] = E Y [n]Y [ n - m]
�
= E (Y [n] �h[k ] X [n - m - k ]
k -�
�
= E � h[k ]RYX [m + k ] .
k =-�

= h[-m]* RYX [m]

= h[-m]* h[m]* RYX [m]

RY [n, n - m] is a function of lag m only and we write

RY [m]=h[- m]* RYX [m]
=h[-m]* h[m]* RX [m]
� �
= � � h[ k ]h[l ]RX [ m + k - l ]
k=-�l =-�

The mean-square value of the output process is

EY 2 [ n] = RY [0]
� �
= � � h[ k ]h[l ]RX [k - l ]
k=-�l =-�

Thus if { X [ n]} is WSS then {Y [n]} is also WSS.

Taking the DTFT of RY [ m], we get

w ) = | S(w ) |2 ) X (w
SY (Η

S Y (w )
S X (w )
2
Hw 

In terms of z - transform, we get

SY ( z ) = S X ( z ) H ( z ) H ( z -1 )

Notice that if H ( z ) is causal, then H ( z -1 ) is anti-causal and vice versa.

Similarly if H ( z ) is minimum-phase then H ( z -1 ) is maximum-phase.

H (z ) H ( z -1 )
S X ( z)
Remark
Finding the probability density function of the output process {Y [n]} is a difficult task.

However, if { X [n]} is a WSS Gaussian random process, then the output process {Y [n]} is
also Gaussian with the probability density function determined by its mean and the
autocorrelation function.

Example
1
Suppose H ( z) = and {x[n]} is a zero-mean unity-variance white-noise
1 - a z -1
sequence. Then

EX 2 [n] = s X2
s X2
\ S X (w ) =
2p
\ SY (w ) = H (w ) H ( -w ) S X (w )
� 1 � 1
� �s X2
=� �
� �
1 - a e- jw �
� �1 - a e jw �2p
1 s X2
=
1 - 2a cos w + a 2 2p
Similarly
SY ( z ) = H ( z ) H ( z -1 ) S X ( z )
� 1 � 1 �
� s X2
=� �
�
1 - a z -1 �
� �1-a z �
�2p
By partial fraction expansion and inverse z - transform, we get
1
RY [m] = a |m|
1-a 2

Remark
 Though the input is an uncorrelated process, the output is a correlated process.
 For the same white noise input, we can generate random processes with
different autocorrelation functions or power spectral densities.

Spectral factorization theorem

Consider a discrete-time LTI system with the transfer function H ( z ) and the white noise

sequence {W [ n]} as the input random process as shown in the Fig. below.

H ( z)
{W [n]} x( { X [n]} y(n
n) )
Then
s W2
S X ( z ) = SW ( z ) H ( z ) H ( z ) =
-1
H ( z ) H ( z -1 )
2p
We have seen that S X ( z ) is the product of a constant and two transfer functions

H ( z ) and H ( z -1 ). This result is of fundamental importance in modeling a WSS process

because of the spectral factorization theorem stated below:

p
If S X (w ) is an analytic function of w , and �| ln S X (w ) | dw < �, then
-p

s W2
S X ( z ) = s W2 H c ( z ) H a ( z ) = H C ( z ) H C ( z -1 )
2p
where
H c ( z ) is the causal minimum phase transfer function

H a ( z ) = H c ( z -1 ) is the anti-causal maximum phase transfer function

and s W2 a constant and interpreted as the variance of a white-noise sequence.

Thus a WSS random signal { X [ n]} with continuous spectrum S X (w ) that satisfies the

p
Paley Wiener condition �| ln S X (w ) | dw < � can be considered as an output of a linear
-p

filter fed by a white noise sequence.

Innovation sequence
W [n] X [n ]
H c (z )
Figure Innovation Filter
Minimum phase filter => the corresponding inverse filter exists.
1
X [n ] H c ( z)
V [n]
Figure whitening filter
Proof of the spectral factorization theorem
1
Since ln S X ( z ) is analytic in an annular region r < z < that includes the unit circle
r

z = 1, ,
�
ln S X ( z ) = � c[ k ] z - k
k =-�

1 p iw n
where c[k ] = -p ln S X (w )e
� dw is the kth order cepstral coefficient.
2p
For a real signal c[ k ] = c[- k ]
1 p
and c[0] = � ln S XX ( w)dw
2p -p
�
� c[ k ] z - k
S X ( z) = ek =-�
� -1
c[ k ] z - k � c[ k ] z - k
c[0] k�
=e e
=1 e k =-�

�
�c[ k ] z - k
Let H C ( z) = ek =1 z >r
= 1 + hc (1)z -1 + hc (2) z -2 + ......
( Q hc [0] = Limz��H C ( z ) = 1
H C ( z ) and ln H C ( z ) are both analytic

Therefore, H C ( z ) is a minimum phase filter.

Similarly let
-1
� c(k ) z- k
H a ( z) = e k =-�

�
�c ( k ) z k 1
= ek =1 = H C ( z -1 ) z<
r
Therefore,
s v2
S XX ( z ) = H C ( z ) H C ( z -1 )
2p

s v2
where = ec (0)
2p
 Pole of the
Zero of the maximum-phase

Im( z)
minimum-phase filter
filter

0 z =1 �
Pole of the
�
� minimum-phase
filter
0
0 � Re( z )
�
0

Remarks

e jw + e - jw
 Note that S X (w ) of a real process is a function of cos w = .
2

1
Therefore, S X ( z) is a function of z + . Consider rational spectrum S X ( z )
z
 N ( z)
so that S X ( z) = , where N ( z) and D( z ) are polynomials in z. If
D( z )

1
zi is a root of S X ( z ), so is . Thus the roots of S X ( z) are symmetrical
zi

about the unit circle z = 1. H c ( z ) groups the poles and zeros inside the unit

circle and H a ( z ) groups the poles and zeros outside the unit circle.

 S X ( z ) can be factorized into a minimum-phase and a maximum-phase factors

i.e. H C ( z ) and H C ( z -1 ).
 In general spectral factorization is difficult, however for a signal with rational
power spectrum, spectral factorization can be easily done.
1
 Since is a minimum phase filter, the inverse filter HC ( z) exists and stable.

1
Therefore we can have a filter to filter the given signal to get the
HC ( z)

innovation sequence.
 X [n ] and v[ n] are related through an invertible transform; so they contain the

same information.
Example
Suppose the power spectral density S XX (w) of a discrete random sequence { X [ n ]} is given by

2.18 - 1.12 cos w

S X (w ) = - p �w �p
1.25 - cos w
Then
2.18 - 0.6( z + z -1 )
S X ( z) =
1.25 - 0.5( z + z -1 )
2�1.09 - 0.3( z + z -1 ) �
= � �
1.25 - 0.5( z + z -1 )
2(1 - 0.3 z )(1 - 0.3 z -1 )
=
(1 - 0.5 z )(1 - 0.5 z -1 )
(1 - 0.3 z -1 )
\ H c ( z) = ,
(1 - 0.5 z -1 )
(1 - 0.3 z )
H a ( z) = and
(1 - 0.5 z )
s v2
=2
2p
Wold’s Decomposition
Any WSS signal X [n ] can be decomposed as a sum of two mutually orthogonal
processes
 a regular process X r [n] and a predictable process X p [n] , X [n ] = X r [n ] + X p [n ]

 X r [n] can be expressed as the output of linear filter using a white noise

sequence as input.
 X p [n] is a predictable process, that is, the process can be predicted from its own

past with zero prediction error.