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Linear Time-Invariant (LTI) Systems

Time Series Analysis

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  

can be written in short by y[n] = x[n]  h[n].

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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Time Series Analysis

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]

Time Series Analysis 8

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Properties of LTI Systems


• Cascade connection of LTI systems

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

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

x[n] h1[n]h2[n] y[n]

Time Series Analysis 9

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

Time Series Analysis 10

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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

Difference equation from Differential equation

Time Series Analysis

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Difference equation from Differential equation (cont’)

General expression of LCCDE :


N M

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

Time Series Analysis

Impuls response from Solving LCCDE

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Impuls response from Solving LCCDE (cont’)

Time Series Analysis

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

• The eigenvalue is called the frequency response of the


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