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## Linear-Time Invariant System

• Special importance for their mathematical tractability
• Most signal processing applications involve LTI systems
• LTI system can be completely characterized by their impulse
response

## [n-k] T{.} hk[n]

• Represent any input xn   xk n  k 
k  

    
yn  T   xk n  k    xk Tn  k    xk h n k
k    k   k  

## • From time invariance we arrive at convolution

yn   xk  hn  k   xk   hk 
k  

## Time Series Analysis 2

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Convolution
Convolution of two discrete-time signals
Let x[n] and h[n] be two signals, the convolution of x and
h is

yn   xk hn  k 
k  

## Convolution of two continuous-time signals

y t    x ht   d


## can be written in short by y(t) = x(t)  h(t)

Time Series Analysis

## Convolution can be realized by

–Reflecting h[k] about the origin to obtain h[-k].
–Shifting the origin of the reflected sequences to k=n.
–Computing the weighted moving average of x[k] by
using the weights given by h[n-k].

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## A Convolution Sum Example

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Time Series Analysis

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## Properties of LTI Systems

• Convolution is commutative
 
xk   hk    xk hn  k    hk xn  k   hk   xk 
k   k  

## x[n] h[n] y[n] h[n] x[n] y[n]

• Convolution is distributive
xk   h1 k   h2 k   xk   h1 k   xk   h2 k 

h1[n]
x[n] + y[n] x[n] h1[n]+ h2[n] y[n]
h2[n]

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## Properties of LTI Systems

• Cascade connection of LTI systems

## Stable and Causal LTI Systems

• An LTI system is (BIBO) stable if and only if
– Impulse response is absolute summable

 hk   
k  
– Let’s write the output of the system as
 
yn   hk xn  k    hk  xn  k 
k   k  
– If the input is bounded
x[n]  Bx
– Then the output is bounded by 
yn  B x  hk 
k  

## – The output is bounded if the absolute sum is finite

• An LTI system is causal if and only if
hk   0 for k  0

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## Linear Constant-Coefficient Difference Equations

(LCCDE )
• An important class of LTI systems of the form
N M

 a yn  k    b xn  k 
k 0
k
k 0
k

## • The output is not uniquely specified for a given input

– The initial conditions are required
– Linearity, time invariance, and causality depend on the initial
conditions
– If initial conditions are assumed to be zero system is linear, time
invariant, and causal
• Example
– Moving Average
y[n]  x[n]  x[n  1]  x[n  2]  x[n  3]

## – Difference Equation Representation

0 3

 a yn  k    b xn  k 
k 0
k
k 0
k where ak  bk  1
Time Series Analysis 11

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N M

 ak yn  k  
k 0
 b xn  k 
k 0
k

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## Eigenfunctions of LTI Systems

• Complex exponentials are eigenfunctions of LTI systems:

xn  e jn

## • Let’s see what happens if we feed x[n] into an LTI system:

 
yn   hk xn  k    hk e j(n  k )

k   k  
eigenfunction
  
 
yn    hk e  jk e jn  H e j e jn
 k   
eigenvalue

system
   hk e

H e j   jk

k  

## • H(ej) is a complex function of frequency

– Specifies amplitude and phase change of the input 16
Time Series Analysis

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## LCCDE and Digital Filters

LCCDE of LTI system

## FIR filter or nonrecursive or moving average (MA)

If the unit impulse response of an LTI system is of finite duration, then the
system is called a finite-duration impulse response (or FIR) filter. FIR filter has
h(n) = 0 for n < n1 and for n > n2.

## IIR filter or recursive or autoregressive (AR)

If the impulse response of an LTI system is of infinite duration, then the system
is called an infinite-duration impulse response (or IIR) filter.

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## Discrete-Time System Relationships

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Time Series Analysis