Chap 02

Digital Communications
Chapter 2: Deterministic and Random Signal Analysis

Po-Ning Chen, Professor
Institute of Communication Engineering
National Chiao-Tung University, Taiwan
Digital Communications: Chapter 2 Ver. 2010.11.09 Po-Ning Chen 1 / 106
2.1 Bandpass and lowpass signal representation
Denition (Bandpass signal)
A bandpass signal x(t} is a real signal whose frequency
content is located around central frequency f
0
, i.e.
X(f } = 0 for all f + f
0
> W
E
T
X(f }
f
0
f
0
W f
0
+ W f
0
f
0
+ W f
0
W
f
0
may not be the
carrier frequency f
c
!
The spectrum of a bandpass signal is Hermitian symmetric,
i.e., X(f ) = X
(f ). (Why? Hint: Fourier transform.)

Since the spectrum is Hermitian symmetric, we only need
to retain half of the spectrum X
+
(f } = X(f }u
1
(f }
(named analytic signal or pre-envelope) in order to
analyze it,
where u
1
(f } =
1 f > 0
1
2
f = 0
0 f 0
Note: X(f } = X
+
(f } + X
+
(f }
A bandpass signal is very real, but may contain
unnecessary content such as the carrier frequency f
c
that is nothing to do with the digital information
transmitted.
So, it is more convenient to remove this carrier frequency
and transform x(t} into its lowpass equivalent signal
x
(t} before analyzing the digital content.

2.1 Bandpass and lowpass signal representation -
Baseband and bandpass signals
Denition (Baseband signal)
A lowpass or baseband (equivalent) signal x
(t} is a complex
signal (because it is not necessarily Hermitian symmetric!) whose
spectrum is located around zero frequency, i.e.
X
(f } = 0 for all f > W

It is generally written as
x
(t} = x
i
(t} + x
q
(t}
where
x
i
(t} is called the in-phase signal
x
q
(t} is called the quadrature signal
Baseband signal
Our goal is to relate x
(t} to x(t} and vice versa

From x(t} to its lowpass equivalent x
(t}
Denition of bandwidth. The bandwidth of a signal is one
half of the entire range of frequencies over which the spectrum
is (essentially) nonzero. Hence, W is the bandwidth in the
lowpass signal we just dened, while 2W is the bandwidth of
the bandpass signal by our denition.
Analytic signal
Lets start from the analytic signal x
+
(t}.
x
+
(t} =

X
+
(f }e
2ft
df
=

X(f }u
1
(f }e
2ft
df
= T
1
{X(f }u
1
(f }}
T
1
Inverse Fourier transform
= T
1
{X(f }} T
1
{u
1
(f }}
= x(t} _
1
2
(t} +
1
2t
_
=
1
2
x(t} +
1
2
x(t},
where x(t} = x(t}
1
t
=

x()
(t)
d is a real-valued signal.
Appendix: Extended Fourier transform
T
1
{2u
1
(f }} = T
1
{1 + sgn(f }}
= T
1
{1} + T
1
{sgn(f }} = (t} +
1
t
Since

sgn(f } = , the inverse Fourier transform of sgn(f }

does not exist in the standard sense! We therefore have to
derive its inverse Fourier transform in the extended sense!
( f }S(f } = lim
n
S
n
(f } and ( n}
S
n
(f }df
T
1
{S(f }} = lim
n
T
1
{S
n
(f }}.
Appendix: Extended Fourier transform
Since lim
a0
e
af
sgn(f } = sgn(f },
lim
a0

e
af
sgn(f }e
2ft
df
= lim
a0
_
e
f (a+ 2t)
df +

0
e
f (a+ 2t)
df _
= lim
a0
_
1
a + 2t
+
1
a 2t
_
= lim
a0
_
4t
a
2
+ 4
2
t
2
_ =

0 t = 0
1
t
t 0
Hence, T
1
{2u
1
(f }} = T
1
{1} + T
1
{sgn(f }} = (t} +
1
t
.
From x
+
(t} to x
(t}
E
T
X(f )
f
0
f
0
W f
0
+ W f
0
f
0
+ W f
0
W

E
T
X
(f )
0 W W
We then observe
X
(f } = 2X
+
(f + f
0
}.
This implies
x
(t} = T
1
{X
(f }}
= T
1
{2X
+
(f + f
0
}}
= 2x
+
(t}e
2f
0
t
= (x(t} + x(t}}e
2f
0
t
As a result,
x(t} + x(t} = x
(t}e
2f
0
t
which gives:
x(t} { = Re{x(t} + x(t}} ) = Re|x
(t}e
2f
0
t
|
By x
(t} = x
i
(t} + x
q
(t},
x(t} = { = Re|(x
i
(t} + x
q
(t}}e
2f
0
t
|)
=
i
(t} cos(2f
0
t} x
q
(t} sin(2f
0
t}
From X
(f } to X(f }
From x(t} = Re{x
(t}e
2f
0
t
}, we obtain
X(f } =

x(t}e
2ft
dt
=

Re|x
(t}e
2f
0
t
|e
2ft
dt
=

1
2
_x
(t}e
2f
0
t
+ {x
(t}e
2f
0
t
)
_ e
2ft
dt
=
1
2

(t}e
2(f f
0
)t
+
1
2

(t}e
2(f +f
0
)t
dt
=
1
2
|X
(f f
0
} + X
(f f
0
}|
X
(f } =

(x
(t}e
2(f )t
}
dt =

(f }e
2ft
dt
Summary
Terminologies & relations
Bandpass signal
x(t} = Re{x
(t}e
2f
0
t
}
X(f } =
1
2
X
(f f
0
} + X
(f f
0
}
Analytic signal or pre-envelope x
+
(t} and X
+
(f }
Lowpass equivalent signal or complex envelope
(t} = (x(t} + x(t}}e

2f
0
t
X
(f } = 2X(f + f
0
}u
1
(f + f
0
}
Useful to know
From x
(t} = x
i
(t} + x
q
(t} = (x(t} + x(t}}e
2f
0
t
,
x
i
(t} = Re (x(t} + x(t}} e
2f
0
t
_
x
q
(t} = Im (x(t} + x(t}} e
2f
0
t
_
Also from x
(t} = (x(t} + x(t}}e

2f
0
t
,
x(t} = Re x
(t} e
2f
0
t
_
x(t} = Im x
(t} e
2f
0
t
_
Useful to know
From x
(t} = x
i
(t} + x
q
(t} = (x(t} + x(t}}e
2f
0
t
,
x
i
(t} = Re (x(t} + x(t}} e
2f
0
t
_
x
q
(t} = Im (x(t} + x(t}} e
2f
0
t
_
Also from x
(t} = (x(t} + x(t}}e

2f
0
t
,
x(t} = Re x
i
(t} + x
q
(t} e
2f
0
t
_
x(t} = Im x
i
(t} + x
q
(t} e
2f
0
t
_
Useful to know
pre-envelope x
+
(t}
complex envelope x
(t}
envelope
(t} =

x
2
i
(t} + x
2
q
(t} = r
(t}
phase
(t} = arctan|x
q
(t}]x
i
(t}|
Modulaor/demodulator and Hilbert transformer
Usually, we will modulate and demodulator with respect to
carrier frequency f
c
, which may not be equal to the center
frequency f
0
.
x
(t} x(t} = Re{x
(t}e
2f
c
t
} = modulation
x(t} x
(t} = (x(t} + x(t}}e

2f
c
t
= demodulation
The modulation requires to generate x(t), a Hilbert
transform of x(t)
Hilbert transform is basically a 90-degree phase shifter.
H(f } = T _
1
t
_ = sgn(f } =
, f > 0
0, f = 0
, f 0
Recall that on page 10, we have shown
T
1
sgn(f ) =
1
t
1t 0;
hence
T _
1
t
_ =
1
sgn(f ) = sgn(f ).
Tip: x
+
(t) =
1
2
[x(t) + x(t)] X
+
(f ) =
1
2
[X(f ) +

X(f )] = {
X(f ) f > 0
0 f < 0

X(f )H(f ) = {
X(f ) f > 0
X(f ) f < 0
H(f ) = {
1 f > 0
1 f < 0
Example: sin(2f
c
t) = cos(2f
c
t) h(t) = cos(2f
c
t /2)
Energy considerations
Denition (Energy of a signal)
The energy c
s
of a (complex) signal s(t} is
c
s
=

s(t}
2
dt
Hence,
c
x
=

x(t}
2
dt
c
x
+
=

x
+
(t}
2
dt
c
x
(t}
2
dt
We are interested in the connections among c
x
, c
x
+
, and c
x
.
From Parsevals Theorem we see
c
x
=

x(t}
2
dt =

X(f }
2
df
In Table 2.0-1,
Parsevals theorem:

x(t)y
(t)dt =

X(f )Y
(f )df
Rayleighs theorem:

x(t)
2
dt =

X(f )
2
df
Secondly
X(f } =
1
2
X
(f f
c
}
-- -
=X
+
(f )
+
1
2
X
(f f
c
}
- --
=X
+
(f )
Thirdly, f
c
W and
X
(f f
c
}X
(f f
c
} = 4X
+
(f }X
+
(f } = 0 for all f
It then shows
c
x
=

1
2
X
(f f
c
} +
1
2
X
(f f
c
}
2
df
=
1
4
c
x
+
1
4
c
x
=
1
2
c
x
and
c
x
=

X
+
(f } + X
+
(f }
2
df
= c
x
+
+ c
x
+
= 2c
x
+
Theorem (Energy considerations)
c
x
= 2c
x
= 4c
x
+
Extension of energy considerations
Denition (Inner product)
We dene the inner product of two (complex) signals x(t} and
y(t} as
x(t}, y(t} =

x(t}y
(t}dt.
Parsevals relation immediately gives
x(t}, y(t} = X(f }, Y(f }.
c
x
= x(t}, x(t} = X(f }, X(f }
c
x
= x
(t}, x
(t} = X
(f }, X
(f }
We can similarly prove that
x(t}, y(t}
= X(f }, Y(f }
=
1
2
X
(f f
c
} +
1
2
X
(f f
c
},
1
2
Y
(f f
c
} +
1
2
Y
(f f
c
}
=
1
4
X
(f f
c
}, Y
(f f
c
} +
1
4
X
(f f
c
}, Y
(f f
c
}
- --
=0
+
1
4
X
(f f
c
}, Y
(f f
c
}
- - -
=0
+
1
4
X
(f f
c
}, Y
(f f
c
}
=
1
4
x
(t}, y
(t} +
1
4
(x
(t}, y
(t}}
=
1
2
Re{x
(t}, y
(t}} .
Corss-correlation of two signals
Denition (Cross-correlation)
The cross-correlation of two signals x(t} and y(t} is dened as
x,y
=
x(t}, y(t}
x(t}, x(t}
y(t}, y(t}
=
x(t}, y(t}
c
x
c
y
.
Denition (Orthogonality)
Two signals x(t} and y(t} are said to be orthogonal if
x,y
= 0.
The previous slide then shows
x,y
= Re{
x
,y
}.
,y
= 0
x,y
= 0 but
x,y
= 0 ]
x
,y
= 0
2.1-4 Lowpass equivalent of a bandpass system
Denition (Bandpass system)
A bandpass system is an LTI system with real impulse response
h(t} whose transfer function is located around a frequency f
c
Using a similar concept, we set the lowpass equivalent
impulse response such that
h(t} = Re|h
(t}e
2f
c
t
|
and
H(f } =
1
2
|H
(f f
c
} + H
(f f
c
}|
Baseband input-output relation
Let x(t} be a bandpass input signal and let
y(t} = h(t}x(t} or equivalently Y(f } = H(f }X(f }
Then, we know
x(t} = Re|x
(t}e
2f
c
t
|
h(t} = Re|h
(t}e
2f
c
t
|
y(t} = Re|y
(t}e
2f
c
t
|
and
Theorem (Baseband input-output relation)
y(t} = h(t} x(t} y
(t} =
1
2
h
(t} x
(t}
Proof:
For f f
c
(or specically, for u
1
(f + f
c
} = u
2
1
(f + f
c
}),
Note
1
2
= u
1
(0} u
2
1
(0} =
1
4
.
Y
(f } = 2Y(f + f
c
}u
1
(f + f
c
}
= 2H(f + f
c
}X(f + f
c
}u
1
(f + f
c
}
=
1
2
|2H(f + f
c
}u
1
(f + f
c
}| |2X(f + f
c
}u
1
(f + f
c
}|
=
1
2
H
(f } X
(f }
and the case for f = f
c
is valid if Y
(f
c
} = X
(f
c
} = 0.
The above applies to deterministic system. How about
stochastic system?
x(t} y(t}
E
h(t)
E
X(t} Y(t}
E
h(t}
E
The text abuses the notation by using X(f } as the spectrum
of x(t} but using X(t} as the stochastic counterpart of x(t}.
2.7 Random processes
Random Process
Denition
A random process is a set of indexed random variables
{X(t}, t T }, where T is often called the index set.
Classication
1
If T is a nite set Random Vector
2
If T = Z or Z
+
Discrete Random Process
3
If T = R or R
+
Continuous Random Process
4
If T = R
2
, Z
2
, , R
n
, Z
n
Random Field
Examples of random process
Example
Let U be a random variable uniformly distributed over |, }.
Then
X(t} = cos (2f
c
t + U}
is a random process.
Example
Let B be a random variable taking values in {1, 1}. Then
X(t} = _
cos(2f
c
t} if B = 1
sin(2f
c
t} if B = +1
= cos _2f
c
t

4
(B+ 1}_
is a random process.
Statistical properties of random process
For any integer k > 0 and any t
1
, t
2
, , t
k
T , the
nite-dimensional cumulative distribution function (cdf) for
X(t}:
F
X
(t
1
, , t
k
; x
1
, , x
k
} = Pr {X(t
1
} x
1
, , X(t
k
} x
k
}
As event |X(t} | (resp. |X(t} |) is always regarded
as true (resp. false),
lim
x
s
F
X
(t
1
, , t
k
; x
1
, , x
k
}
= F
X
(t
1
, , t
s1
, t
s+1
, t
k
; x
1
, , x
s1
, x
s+1
, , x
k
}
and
lim
x
s
F
X
(t
1
, , t
k
; x
1
, , x
k
} = 0
Denition
Let X(t} be a random process; then the mean function is
m
X
(t} = E|X(t}|,
the (auto)correlation function is
R
X
(t
1
, t
2
} = E|X(t
1
}X
(t
2
}| ,
and the (auto)covariance function is
K
X
(t
1
, t
2
} = E (X(t
1
} m
X
(t
1
}} (X(t
2
} m
X
(t
2
}}

Denition
Let X(t} and Y(t} be two random processes; then the
cross-correlation function is
R
X,Y
(t
1
, t
2
} = E|X(t
1
}Y
(t
2
}| ,
and cross-covariance function is
K
X,Y
(t
1
, t
2
} = E (X(t
1
} m
X
(t
1
}| |Y(t
2
} m
Y
(t
2
}}

Proposition
R
X,Y
(t
1
, t
2
} = K
X,Y
(t
1
, t
2
} + m
X
(t
1
}m
Y
(t
2
}
R
Y,X
(t
2
, t
1
} = R
X,Y
(t
1
, t
2
} R
X
(t
2
, t
1
} = R
X
(t
1
, t
2
}
K
Y,X
(t
2
, t
1
} = K
X,Y
(t
1
, t
2
} K
X
(t
2
, t
1
} = K
X
(t
1
, t
2
}
Stationary random processes
Denition
A random process X(t} is said to be (strictly) or strict-sense
stationary (SSS) if its nite-dimensional joint distribution
function is shift-invariant, i.e. for any integer k > 0, any
t
1
, , t
k
T and any ,
F
X
(t
1
, , t
k
; x
1
, , x
k
} = F
X
(t
1
, , t
k
; x
1
, , x
k
}
Denition
A random process X(t} is said to be weakly or wide-sense
stationary (WSS) if its mean function and (auto)correlation
function are shift-invariant, i.e. for any t
1
, t
2
T and any ,
m
X
(t } = m
X
(t} and R
X
(t
1
, t
2
} = R
X
(t
1
, t
2
}.
The above condition is equivalent to
m
X
(t} = constant and R
X
(t
1
, t
2
} = R
X
(t
1
t
2
}.
Wide-sense stationary random processes
Denition
Two random processes X(t} and Y(t} are said to be jointly
wide-sense stationary if
Both X(t} and Y(t} are WSS;
m
X,Y
(t
1
, t
2
} =constant and R
X,Y
(t
1
, t
2
} = R
X,Y
(t
1
t
2
}.
Proposition
For jointly WSS X(t} and Y(t},
R
Y,X
(t
2
, t
1
} = R
X,Y
(t
1
, t
2
} = R
X,Y
(} = R
Y,X
(}
K
Y,X
(t
2
, t
1
} = K
X,Y
(t
1
, t
2
} = K
X,Y
(} = K
Y,X
(}
Gaussian random process
Denition
A random process {X(t}, t T } is said to be Gaussian if for
any integer k > 0 and for any t
1
, , t
k
T , the
nite-dimensional joint cdf
F
X
(t
1
, , t
k
; x
1
, , x
k
} = Pr |X(t
1
} x
1
, , X(t
k
} x
k
|
is Gaussian.
Remark
The joint cdf of a Gaussian process is fully determined by its
mean function and its (auto)covariance function.
Denition
Two real random processes {X(t}, t T
X
} and {Y(t}, t T
Y
}
are said to be jointly Gaussian if for any integers j , k > 0 and
for any s
1
, , s
j
T
X
and t
1
, , t
k
T
Y
, the nite-dimensional
joint cdf
Pr |X(s
1
} x
1
, , X(s
j
} x
j
, Y(t
1
} y
1
, , Y(t
k
} y
k
|
is Gaussian.
Denition
A complex process is Gaussian if the real and imaginary
processes are jointly Gaussian.
Remark
For joint (in general complex) Gaussian processes,
uncorrelatedness, dened as
R
X,Y
(t
1
, t
2
} = E|X(t
1
}Y
(t
2
}|
= E|X(t
1
}|E|Y
(t
2
}| = m
X
(t
1
}m
Y
(t
2
},
implies independence, i.e.,
Pr |X(s
1
} x
1
, , X(s
j
} x
j
, Y(t
1
} y
1
, , Y(t
k
} y
k
|
= Pr |X(s
1
} x
1
, , X(s
k
} x
k
|Pr |Y(t
1
} y
1
, , Y(t
k
} y
k
|
Theorem
If a Gaussian random process X(t} is WSS, then it is SSS.
Proof:
For any k > 0, consider the sampled random vector
X
k
=
X(t
1
}
X(t
2
}
X(t
k
}
The mean vector and covariance matrix of

X
k
are respectively
m
X
k
= E|
X
k
| =
E|X(t
1
}|
E|X(t
2
}|
E|X(t
k
}|
= m
X
(0}

1
and
K
X
= E|
X
k

X
H
k
| =
K
X
(0} K
X
(t
1
t
2
}
K
X
(t
2
t
1
} K
X
(0}

It can be shown that for a new sampled random vector
X(t
1
+ }
X(t
2
+ }
X(t
k
+ }
the mean vector and covariance matrix remain the same.

Hence, X(t} is SSS.
Power spectral density
Denition
Let R
X
(} be the correlation function of a WSS random
process X(t}. The power spectral density (PSD) or power
spectrum of X(t} is dened as
S
X
(f } =

R
X
(}e
2f
d
Let R
X,Y
(} be the cross-correlation function of two jointly
WSS random process X(t} and Y(t}; then the cross spectral
density (CSD) is
S
X,Y
(f } =

R
X,Y
(}e
2f
d
Properties of PSD
PSD (in units of watts per Hz) describes the
distribution/density of power as a function of frequency.
Analogously, probability density function (pdf) describes
the distribution/density of probability as a function of
outcome.
The integration of PSD gives power of the random
process over the considered range of frequency.
Analogously, the integration of pdf gives probability over
the considered range of outcome.
Theorem
S
X
(f } is non-negative and real (which matches that the power
of a signal cannot be negative).
Proof: S
X
(f } is real because
S
X
(f } =

R
X
(}e
2f
d
=

R
X
(s}e
2fs
ds (s = }
=

X
(s}e
2fs
ds
= _
R
X
(s}e
2fs
ds_
= S
X
(f }
S
X
(f } is non-negative because of the following (we only prove
this based on that T R and X(t} = 0 outside |T, T|).
S
X
(f } =

E|X(t + }X
(t}|e
2f
d
= E_X
(t}
X(t + }e
2f
d_ (s = t + }
= E_X
(t}
X(s}e
2f (st)
ds_
= EX
(t}
X(f }e
2ft
In notation,

X(f } = T{X(t}}
Since the above is a constant independent of t (by WSS),
S
X
(f } =
1
2T

T
T
EX
(t}
X(f }e
2ft
dt
=
1
2T
E_
X(f }
T
T
X
(t}e
2ft
dt_
=
1
2T
E_
X(f }
(f }_ =
1
2T
E
X(f }
2
0.

Wiener-Khintchine theorem
Theorem (Wiener-Khintchine)
Let {X(t}, t R} be a WSS random process. Dene
X
T
(t} = _
X(t} if t |T, T|
0, otherwise.
and set
X
T
(f } =

X
T
(t}e
2ft
dt =

T
T
X(t}e
2ft
dt.
If S
X
(f } exists (i.e., R
X
(} has a Fourier transform), then
S
X
(f } = lim
T
1
2T
E
X
T
(f }
2
_
Variations of PSD denitions
Power density spectrum : Alternative denition
Fourier transform of auto-covariance function (e.g.,
Robert M. Gray and Lee D. Davisson, Random
Processes: A Mathematical Approach for Engineers,
p. 193)
I remark that from the viewpoint of digital
communications, the texts denition is more appropriate
since
the auto-covariance function is independent of a
mean-shift; however, random signals with dierent
means consume dierent powers.
What can we say about, e.g., the PSD of stochastic
system input and output?
x(t}
x
(t}
y(t}
y
(t}
E
h(t}
1
2
h
(t}
E
(t} = Re{
(t}e
2f
c
t
}
(t} = ((t} +

(t}}e
2f
c
t
where can be x, y or h.
X(t}
X
(t}
Y(t}
Y
(t}
E
h(t}
1
2
h
(t}
E
(t} = Re{
(t}e
2f
c
t
}
(t} = ((t} +

(t}}e
2f
c
t
where can be X, Y or h.
2.9 Bandpass and lowpass random processes
Denition (Bandpass random signal)
A bandpass (WSS) stochastic signal X(t} is a real random
process whose PSD is located around central frequency f
0
, i.e.
S
X
(f } = 0 for all f + f
0
> W
E
T
S
X
(f }
f
0
f
0
W f
0
+ W f
0
f
0
+ W f
0
W
f
0
may not be the
carrier frequency f
c
!
We know
X(t} = Re{X
(t}e
2ft
}
X
(t} = (X(t} +

X(t}}e
2f
0
t
Assumption
The bandpass signal X(t} is WSS.
In addition, its complex lowpass equivalent process X
(t} is
WSS. In other words,
X
i
(t} and X
q
(t} are WSS.
X
i
(t} and X
q
(t} are jointly WSS.
Under this fundamental assumption, we obtain the
following properties:
P1) If X(t} zero-mean, both X
i
(t} and X
q
(t} zero-mean
because m
X
= m
X
i
cos(2f
c
t} m
X
q
sin(2f
c
t} .
P2)
R
X
i
(} = R
X
q
(}
R
X
i
,X
q
(} = R
X
q
,X
i
(}
Proof of P2):
R
X
(}
= E|X(t + }X(t}|
= ERe|X
(t + }e
2f
c
(t+)
|Re|X
(t}e
2f
c
t
|
= E|(X
i
(t + } cos(2f
c
(t + }} X
q
(t + } sin(2f
c
(t + }}}
(X
i
(t} cos(2f
c
t} X
q
(t} sin(2f
c
t}}|
=
R
X
i
(} + R
X
q
(}
2
cos(2f
c
}
+
R
X
i
,X
q
(} R
X
q
,X
i
(}
2
sin(2f
c
}
+
R
X
i
(} R
X
q
(}
2
cos(2f
c
(2t + }} (= 0}
R
X
i
,X
q
(} + R
X
q
,X
i
(}
2
sin(2f
c
(2t + }} (= 0}

P3) R
X
(} = Re|
1
2
R
X
(}e
2f
c
|.
Proof: Observe from P2),
R
X
(} = E|X
(t + }X
(t}|
= E|(X
i
(t + } + X
q
(t + }}(X
i
(t} X
q
(t}}|
= R
X
i
(} + R
X
q
(} R
X
i
,X
q
(} + R
X
q
,X
i
(}
= 2R
X
i
(} + 2R
X
q
,X
i
(}.
Hence, also from P2),
R
X
(} = R
X
i
(} cos(2f
c
t} R
X
q
,X
i
(} sin(2f
c
t}
= Re_
1
2
R
X
(}e
2f
c
_
P4) S
X
(f } =
1
4
S
X
(f f
c
} + S
(f f
c
}.
Proof: A direct consequence of P3).
Note:
Amplitude

X(f ) =
1
2

(f f
c
) +

X
(f f
c
)_
Amplitude sequare
X(f )
2
=
1
4

(f f
c
) +

X
(f f
c
)
2
=
1
4
_
(f f
c
)
2
+
(f f
c
)
2
_
Wiener-Khintchine: S
X
(f )
X(f )
2
.
P5) X
i
(t} and X
q
(t} uncorrelated if one of them has
zero-mean.
Proof: From P2),
R
X
i
,X
q
(} = R
X
q
,X
i
(} = R
X
i
,X
q
(}.
Hence, R
X
i
,X
q
(0} = 0 (i.e.,
E|X
i
(t}X
q
(t}| = 0 = E|X
i
(t}|E|X
q
(t}|}.

P6) If S
X
(f } = S
(f }, X
i
(t +} and X
q
(t} uncorrelated for
any if one of them has zero-mean.
Proof: From P3),
R
X
(} = 2R
X
i
(} 2R
X
q
,X
i
(}.
S
X
(f } = S
(f } implies R
X
(} is real;
hence, R
X
q
,X
i
(} = 0 for any .
We next discuss the PSD of a system.
X(t} Y(t}
E
h(t}
E
Y(t} =

h(}X(t }d
m
Y
= m
X
h(}d
R
X,Y
(} = E_X(t + } _
h(u}X(t u}du_
_
=

(u}R
X
( + u}du =

(v}R
X
( v}dv
= R
X
(} h
(}
R
Y
(} = E__
h(u}X(t + u}du_ _
h(v}X(t v}dv_
_
=

h(u} _
(v}R
X
(( u} + v}dv_du
=

h(u}R
X,Y
( u}du
= R
X,Y
(} h(} = R
X
(} h
(} h(}.
Thus,
S
X,Y
(f } = S
X
(f }H
(f } since

(}e
2f
d = H
(f }
and
S
Y
(f } = S
X,Y
(f }H(f } = S
X
(f }H(f }
2
.
White process
Denition (White process)
A (WSS) process W(t} is called a white process if its PSD is
constant for all frequencies:
S
W
(f } =
N
0
2
This constant is usually denoted by
N
0
2
because the PSD
is two-sided. So, the power spectral density is actually N
0
per Hz (N
0
]2 at f = f
0
and N
0
]2 at f = f
0
).
The autocorrelation function R
W
(} =
N
0
2
(}, where (}
is the Dirac delta function.
Why negative frequency?
Some sample answers:
It is just an imaginary convenient way created by Human
to correspond to the imaginary domain of a complex
signal (that is why we call it imaginary part).
By giving respectively the spectrum for f
0
and f
0
(which
may not be symmetric), we can tell the amount of real
part and imaginary part in time domain corresponding to
this frequency.
For example, if the spectrum is conjugate symmetric, we
know imaginary part = 0.
Notably, in communications, imaginary part is the part
that will be modulated by (or transmitted with carrier)
sin(2f
c
t}; on the contrary, real part is the part that will
be modulated by (or transmitted with carrier) cos(2f
c
t}.
Why (} function?
Denition (Dirac delta function)
Dene the Dirac delta function (t} as
(t} = _
, t = 0;
0, t 0
,
which satises the replication property, i.e., for every
continuous point of g(t},
g(t} =

g(}(t }d.
Hence, by replication property,
(t}dt =

(t }d = 1.
Not that it seems (t} = 2(t} = _
, t = 0;
0, t 0
; but with
g
1
(t} = 1 and g
2
(t} = 2 continuous at all points,
1 =

g
1
(t}(t}dt

g
2
(t}(t}dt = 2.
So, mathematician does not like this function as it
contradicts intuition:
f (t} = g(t} for t R except for countably many points
f (t}dt =

g(t}dt _if

f (t}dt is nite_.
Hence, (t} and 2(t} are two dierent Diract delta
functions by denitions. (The multiplicative constant
cannot be omitted!) Very articial indeed.
Comment: x + a = y + a x = y is incorrect if a = .
As a result, saying = (or (t} = 2(t} ) is not a
rigorously dened statement.
Summary: The Dirac delta function, like , is simply
a concept dened only through its replication property.
Hence, a white process W(t} that has autocorrelation
function R
W
(} =
N
0
2
(} is just a convenient and
simplied notion for theoretical research about real world
phenomenon. Usually, N
0
= KT, where T is the ambient
temperature in kelvins and k is Boltzmans constant.
Discrete-time random processes
The property of a time-discrete process {X|n|, n Z
+
}
can be obtained using sampling notion via the Dirac
delta function.
X|n| = X(nT}, a sample at t = nT from a
time-continuous process X(t}, where we assume T = 1
for convenience.
The autocorrelation function of a time-discrete process is
given by:
R
X
|m| = E{X|n + m|X|n|}
= E{X(n + m}X(n}}
= R
X
(m}, a sample from R
X
(t}.
E
T
T
T
T
T
T
T
T
T
T
T
T
T
T
R
X
(0)
R
X
(1)
R
X
(2)
R
X
(3)
R
X
(4)
R
X
(5)
R
X
(6)
R
X
(7)
R
X
(8)
R
X
(9)
R
X
(10)
R
X
(11)
R
X
(12)
R
X
(13)
S
X
|f | =

n=
R
X
(t}(t n}_e
2ft
dt
=

n=
R
X
(t}e
2ft
(t n}dt
=

n=
R
X
(n}e
2fn
(Replication Property)
=

n=
R
X
|n|e
2fn
(Fourier Series)
Hence, by Fourier sesies,
R
X
|n| =

1/2
1/2
S
X
|f |e
2fm
df _ = R
X
(n} =

S
X
(f }e
2fm
df _.
2.8 Series expansion of random processes
2.8-1 Sampling bandLimited random process
Deterministic case
A deterministic signal x(t} is called band-limited if
X(f } = 0 for all f > W
Shannon-Nyquist theorem: x(t} can be perfectly
reconstructed if the sampling rate f
s
> 2W and
x(t} =

n=
x _
n
2W
_sinc _2W _t
n
2W
__
Note that the above is only sucient, not necessary.
Stochastic case
A WSS stochastic process X(t} is said to be band-limited
if its PSD S
X
(f } = 0 for all f > W
It follows that
R
X
(} =

n=
R
X
_
n
2W
_sinc _2W _
n
2W
__
In fact, the random process X(t} can be reconstructed by
its (random) samples in the mean square.
Theorem
EX(t}

n=
X_
n
2W
_sinc _2W _t
n
2W
__
2
= 0
The random samples
Problems of using these random samples.
These random samples |X{
n
2W
)|
n=
are in general
correlated unless X(t) is zero-mean white.
E_X_
n
2W
_X
_
m
2W
__ = R
X
_
n m
2W
_
E_X_
n
2W
__E_X
_
m
2W
__ = m
X
2
.
If X(t) is zero-mean white,
E_X_
n
2W
_X
_
m
2W
__ = R
X
_
n m
2W
_ =
N
0
2
_
n m
2W
_
= E_X_
n
2W
__E_X
_
m
2W
__ = m
X
2
= 0 except n = m.
Thus, we will introduce the uncorrelated KL expansions
in slide 87.
2.9 Bandpass and lowpass random processes (revisited)
Denition (Filtered white noise)
A process N(t} is called a ltered white noise if its PSD equals
S
N
(f } = _
N
0
2
, f + f
c
W
0, otherwise
Applying P4) S
X
(f } =
1
4
S
X
(f f
c
} + S
(f f
c
} , we
learn the PSD of the lowpass equivalent process N
(t} of
N(t} is
S
N
(f } = _
2N
0
, f W
0, otherwise
From P6), S
N
(f } = S
(f } implies N
i
(t +} and N
q
(t}
are uncorrelated for any if one of them has zero mean.
Now we explore more properties for PSD of bandlimited X(t}
and complex X
(t}.
P0-1) By fundamental assumption on slide 52, we obtain
that X(t} and

X(t} are jointly WSS.
R
X,
X
() and R
X
() are only functions of because

X(t) is the
Hilbert transform of X(t), i.e., R
X,
X
() = R
X
() h
() =
R
X
()h() (since h
() = h()) and R
X
() = R
X,
X
()h().
P0-2) X
i
(t} = Re|(X(t} +

X(t}}e
2f
c
t
| is WSS by
fundamental assumption.
P2
R
X
(} = R
X
(}
R
X,
X
(} = R
X,X
(}
(X(t) +

X(t) is the lowpass
equivalent signal of X
i
(t)!)
(X
i
(t}+ X
q
(t} is the lowpass
equivalent signal of X(t}!)
Also, R
X,X
(} =

R
X
(}, where

R
X
(} is the Hilbert transform
output due to input R
X
(}.
P3
} R
X
i
(} = Re|
1
2
R
(X+

X)
(}e
2f
c
|
R
X
i
(} = Re_
1
2
R
(X+

X)
(}e
2f
c
_
= Re|(R
X
(} + R
X,X
(}}e
2f
c
|
= R
X
(} cos(2f
c
} +

R
X
(} sin(2f
c
}
Note that

S
X
(f } = S
X
(f }H
Hilbert
(f } = S
X
(f }( sgn(f }}.
P4
) S
X
i
(f } = S
X
(f f
c
} + S
X
(f + f
c
} { = S
X
q
(f }} for f f
c
S
X
i
(f } =
1
2
(S
X
(f f
c
} + S
X
(f + f
c
}}
+
1
2
( sgn(f f
c
}S
X
(f f
c
} + sgn(f + f
c
}S
X
(f + f
c
}}
= S
X
(f f
c
} + S
X
(f + f
c
} for f f
c
P4
) S
X
q
,X
i
(f } = |S
X
(f f
c
} S
X
(f + f
c
}| for f f
c
R
X
(} = Re
1
2
R
X
(} e
2f
c
_ (P3}
R
X,X
(} = R
X
(} h
Hilbert
(}
- - -
P0-1
= Im
1
2
R
X
(} e
2f
c
_
Then:
1
2
R
X
() = R
X
i
() + R
X
q
,X
i
()
- - -
Proof of P3
= (R
X
() + R
X,X
())e
2f
c
R
X
i
(} = Re_ (R
X
(} + R
X,X
(}} e
2f
c
_ (P3
}
R
X
q
,X
i
(} = Im_ (R
X
(} + R
X,X
(}} e
2f
c
_ = R
X
i
(} h
Hilbert
(}
Proof: Hence,
R
X
q
,X
i
(} = Im|(R
X
(} + R
X,X
(}}e
2f
c
|
= R
X
(} sin(2f
c
} + R
X,X
(} cos(2f
c
}
= R
X
(} sin(2f
c
} +

R
X
(} cos(2f
c
}.
The property can be proved similarly to P4
).
2.2 Signal space representation
Key idea & motivation
The low-pass equivalent representation removes the
dependence of system performance analysis on carrier
frequency.
Equivalent vectorization of the (discrete or continuous)
signals further removes the waveform redundancy in
the analysis of system performance.
Vector space concepts
Inner product: v
1
, v
2
=

n
i =1
v
1,i
v
2,i
= v
H
2
v
1
(H denotes Hermitian transpose)
Orthogonal if v
1
, v
2
= 0
Norm: v =

v, v
Orthonormal: v
1
, v
2
= 0 and v
1
= v
2
= 1
Linearly independent:
k
i =1
a
i
v
i
= 0 i a
i
= 0 for all i
Vector space concepts
Triangle inequality
v
1
+ v
2
v
1
+ v
2
Cauchy-Schwartz inequality
v
1
, v
2
v
1
v
2
.
Equality holds i v
1
= av
2
for some a
Norm square of sum:
v
1
+ v
2
2
= v
1
2
+ v
2
2
+ v
1
, v
2
+ v
2
, v
1
Pythagorean: if v
1
, v
2
= 0, then
v
1
+ v
2
2
= v
1
2
+ v
2
2
Eigen-decomposition
1
Matrix transformation w.r.t. matrix A
v = Av
2
Eigenvalues of square matrix A are solutions {} of
characteristic polynomial
det(A I } = 0
3
Eigenvectors for eigenvalue is solution v of
Av = v
Signal space concept
How to extend the signal space concept to a (complex)
function/signal z(t} dened over |0, T} ?
Answer: We can start by dening the inner product for
complex functions.
Inner product: z
1
(t}, z
2
(t} =

T
0
z
1
(t}z
2
(t} dt
Orthogonal if z
1
(t}, z
2
(t} = 0.
Norm: z(t} =

z(t}, z(t}
Orthonormal: z
1
(t}, z
2
(t} = 0 and z
1
(t} = z
2
(t} = 1.
Linearly independent:

k
i =1
a
i
z
i
(t} = 0 i a
i
= 0 for all
a
i
C
Triangle Inequality
z
1
(t} + z
2
(t} z
1
(t} + z
2
(t}
Cauchy Schwartz inequality
z
1
(t}, z
2
(t} z
1
(t} z
2
(t}
Equality holds i z
1
(t} = a z
2
(t} for some a C
Norm square of sum:
z
1
(t} + z
2
(t}
2
= z
1
(t}
2
+ z
2
(t}
2
+ z
1
(t}, z
2
(t} + z
2
(t}, z
1
(t}
Pythagorean property: if z
1
(t}, z
2
(t} = 0,
z
1
(t} + z
2
(t}
2
= z
1
(t}
2
+ z
2
(t}
2
Transformation w.r.t. a function C(t, s}
z(t} =

T
0
C(t, s}z(s} ds
This is in parallel to
v _ v
t
=
n
s=1
A
t,s
v
s
_ = Av.
Eigenvalues and eigenfunctions
Given a complex continuous function C(t, s} over |0, T}
2
, the
eigenvalues and eigenfunctions are {
k
} and {
k
(t}} such
that
T
0
C(t, s}
k
(s} ds =
k
k
(t} (In parallel to Av = v}
Mercers theorem
Theorem (Mercers theorem)
Give a complex continuous function C(t, s} over |0, T|
2
that
is Hermitian symmetric (i.e., C(t, s} = C
(s, t}) and

nonnegative denite (i.e.,

i

j
a
i
C(t
i
, t
j
}a
j
0 for any {a
i
}
and {t
i
}). Then the eigenvalues {
k
} are reals, and C(t, s}
has the following eigen-decomposition
C(t, s} =

k=1
k
(t}
k
(s}.
Karhunen-Lo`eve theorem
Theorem (Karhunen-Lo`eve theorem)
Let {Z(t}, t |0, T}} be a zero-mean random process with a
continuous autocorrelation function R
Z
(t, s} = E|Z(t}Z
(s}|.
Then Z(t} can be written as
Z(t}
M
2
=

k=1
Z
k

k
(t} 0 t T
where = is in the sense of mean-square,
Z
k
= Z(t},
k
(t} =

T
0
Z(t}
k
(t} dt
and {
k
(t}} are orthonormal eigenfunctions of R
Z
(t, s}
Merit of KL expansion: {Z
k
} are uncorrelated. (But
samples {Z(k](2W}}} are not uncorrelated even if Z(t}
is bandlimited!)
Proof.
E|Z
i
Z
j
| = E__
T
0
Z(t}
i
(t}dt_ _
T
0
Z(s}
j
(s}ds_
_
=

T
0
_
T
0
R
Z
(t, s}
j
(s}ds_
i
(t}dt
=

T
0
j
(t}
i
(t}dt
=

j
if i = j
0 { = E|Z
i
|E|Z
j
|) if i j
Lemma
Fro a given orthonormal set {
k
(t}}, how to minimize the
energy of error signal e(t} = s(t} s(t} for s(t} spanned by
(i.e., expressed as a linear combination of) {
k
(t}}?
Assume s(t} =

k
a
k
k
(t}; then
e(t}
2
= s(t} s(t}
2
= s(t}
kki
a
k
k
(t} a
i
i
(t}
2
= s(t}
kki
a
k
k
(t}
2
+ a
i
i
(t}
2
s(t}
kki
a
k
k
(t}, a
i
i
(t}
a
i
i
(t}, s(t}
kki
a
k
k
(t}
= s(t}
kki
a
k
k
(t}
2
+ a
i
2
a
i
s(t},
i
(t} a
i

i
(t}, s(t}
By taking derivative w.r.t. Re{a
i
} and Im{a
i
}, we obtain
a
i
= s(t},
i
(t}.
Denition
If every nite energy signal s(t} (i.e., s(t}
2
) satises
e(t}
2
= s(t}
k
s(t},
k
(t}
k
(t}
2
= 0
(equivalently,
s(t}
L
2
=

k
s(t},
k
(t}
k
(t} =

k
a
k

k
(t}
(in the sense that the norm of the dierence between
left-hand-side and right-hand-side is zero), then the set of
orthonormal functions {
k
(t}} is said to be complete.
Example (Fourier series)
2
T
cos _
2kt
T
_,
2
T
sin_
2kt
T
_ 0 k Z
is a complete orthonormal set for signals dened over |0, T}

with nite number of discontinuities.
For a complete orthonormal basis, the energy of s(t} is
equal to
s(t}
2
=
j
a
j
j
(t},
k
a
k
k
(t}
=

j
k
a
j
a
k

j
(t},
k
(t}
=

j
a
j
a
j
=

j
a
j
2
Given a deterministic function s(t}, and a set of complete
orthonormal basis {
k
(t}} (possibly countably innite),
s(t} can be written as
s(t}
L
2
=

k=0
a
k
k
(t}, 0 t T
where
a
k
= s(t},
k
(t} =

T
0
s(t}
k
(t} dt.
In addition,
s(t}
2
=

k
a
k
2
.
Remark
In terms of energy (and error rate):
A bandpass signal s(t} can be equivalently analyzed
through lowpass equivalent signal s
(t} without the

burden of carrier freq f
c
;
A lowpass equivalent signal s
(t} can be equivalently

analyzed through (countably many) {a
k
= s
(t},
k
(t}}
without the burden of continuous waveforms.
Gram-Schmidt procedure
Given a set of functions v
1
(t}, v
2
(t}, , v
k
(t}
1
1
(t} =
v
1
(t)
v
1
(t)
2
Compute for i = 2, 3, , k (or until
i
(t} = 0),
i
(t} = v
i
(t}
i 1
j =1
v
i
(t},
j
(t}
j
(t}
and set
i
(t} =

i
(t)
i
(t)
.
This gives an orthonormal basis
1
(t},
2
(t}, ,
k
(t}, where
k
k.
Example
Find a Gram-Schmidt orthonormal basis of the following
signals.
Sol.
1
(t} =
v
1
(t)
v
1
(t)
=
v
1
(t)
2
(t} = v
2
(t} v
2
(t},
1
(t}
1
(t}
= v
2
(t} _
3
0
v
2
(t}
1
(t} dt_
1
(t} = v
2
(t}
Hence
2
(t} =

2
(t)
2
(t)
=
v
2
(t)
2
.
3
(t} = v
3
(t} v
3
(t},
1
(t}
1
(t} v
3
(t},
2
(t}
2
(t}
= v
3
(t}
2
1
(t} 0
2
(t} = _
1, 2 t 3
0, otherwise
Hence
3
(t} =

3
(t)
3
(t)
.
4
(t} = v
4
(t} v
4
(t},
1
(t}
1
(t} v
4
(t},
2
(t}
2
(t}
v
4
(t},
3
(t}
3
(t}
= v
4
(t} (
2}
1
(t} (0}
2
(t}
3
(t} = 0
Orthonormal basis={
1
(t},
2
(t},
3
(t}}, where 3 4.
Example
Represent the signals in slide 95 in terms of the orthonormal
basis obtained in the same example.
Sol.
v
1
(t} =

2
1
(t} + 0
2
(t} + 0
3
(t} = _
2, 0, 0_
v
2
(t} = 0
1
(t} +
2
2
(t} + 0
3
(t} = _0,
2, 0_
v
3
(t} =

2
1
(t} + 0
2
(t} +
3
(t} = _
2, 0, 1_
v
4
(t} =
2
1
(t} + 0
2
(t} + 1
3
(t} = _
2, 0, 1_
The vectors are named signal space representations or
constellations of the signals.
Remark
The orthonormal basis is not unique.
For example, for k = 1, 2, 3, re-dene
k
(t} = _
1, k 1 t k
0, otherwise
Then
v
1
(t}

= (+1, +1, 0}
v
2
(t}

= (+1, 1, 0}
v
3
(t}

= (+1, +1, 1}
v
4
(t}

= (1, 1, 1}
Euclidean distance
s
1
(t} = (a
1
, a
2
, , a
n
} for some complete basis
s
2
(t} = (b
1
, b
2
, , b
n
} for the same complete basis
d
12
= Euclidean distance between s
1
(t} and s
2
(t}
=
_
i =1
(a
i
b
i
}
2
= s
1
(t} s
2
(t} _ =
T
0
s
1
(t} s
2
(t}
2
dt_
Bandpass and lowpass orthonormal basis
Now lets change our focus from |0, T} to (, }
A time-limited signal cannot be bandlimited to W.
A bandlimited signal cannot be time-limited to T.
Hence, in order to talk about the ideal bandlimited signal, we
have to deal with signals with unlimited time span.
Re-dene the inner product as:
f (t}, g(t} =

f (t}g
(t} dt
Let s
1,
(t} and s
2,
(t} be lowpass equivalent signals of the
bandpass s
1
(t} and s
2
(t}
S
1,
(f } = S
2,
(f } = 0 for f > f
B
s
i
(t} = Re|s
i ,
(t}e
2f
c
t
| where f
c
f
B
Then, as we have proved in slide 24,
s
1
(t}, s
2
(t} =
1
2
Re{s
1,
(t}, s
2,
(t}} .
Proposition
If s
1,
(t}, s
2,
(t} = 0, then s
1
(t}, s
2
(t} = 0.
Proposition
If {
n,
(t}} is a complete basis for the set of lowpass signals,
then
n
(t} = Re|{
2
n,
(t}) e
2f
c
t
|
n
(t} = Im|{
2
n,
(t}) e
2f
c
t
|
= Re|{
2
n,
(t}) e
2f
c
t
|
is a complete orthonormal set for the set of bandpass signals.
Proof: First, orthonormality can be proved by
n
(t},
m
(t} =
1
2
Re
2
n,
(t},
2
m,
(t}_ =

1 n = m
0 n m
n
(t},

m
(t} =
1
2
Re
2
n,
(t},
2
m,
(t}_ =

1 n = m
0 n m
and
n
(t},
m
(t} =
1
2
Re
2
n,
(t},
2
m,
(t}_
= Re{
n,
(t},
m,
(t}}
=

Re{ } = 0 n = m
0 n m
Now, with
s(t} = Re{s
(t}e
2f
c
t
}
s(t} = Re{s
(t}e
2f
c
t
}
s
(t}
L
2
=

n
a
n,
n,
(t} with a
n,
= s
(t},
n,
(t}
s
(t} s
(t}
2
= 0
we have
s(t} s(t}
2
=
1
2
s
(t} s
(t}
2
= 0
and
s(t} = Re|s
(t}e
2f
c
t
|
= Re_
n
a
n,
n,
(t}e
2f
c
t
_
=

n
_Re_
a
n,
2
_Re
2
n,
(t}e
2f
c
t
_
+Im_
a
n,
2
_Im[
2
n,
(t}) e
2f
c
t
__
=

n
_Re_
a
n,
2
_
n
(t} + Im_
a
n,
2
_

n
(t}_

What you learn from Chapter 2
Random process
WSS
autocorrelation and crosscorrelation functions
PSD and CSD
White and ltered white
Relation between (bandlimited) bandpass and lowpass
equivalent deterministic signals
Relation between (bandlimited) bandpass and lowpass
equivalent random signals
Properties of autocorrelation and power spectrum density
Role of Hilbert transform
Signal space concept

Chap 02

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Digital Communications

Chapter 2: Deterministic and Random Signal Analysis

(f ). (Why? Hint: Fourier transform.)

(t} before analyzing the digital content.

(f } = 0 for all f > W

(t} to x(t} and vice versa

sgn(f } = , the inverse Fourier transform of sgn(f }

(t} = (x(t} + x(t}}e

(t} = (x(t} + x(t}}e

(t} = (x(t} + x(t}}e

(t} x(t} = Re{x

(t} = (x(t} + x(t}}e

The mean vector and covariance matrix of

It can be shown that for a new sampled random vector

the mean vector and covariance matrix remain the same.

Digital Communications: Chapter 2 Ver. 2010.11.09 Po-Ning Chen 46 / 106

Digital Communications: Chapter 2 Ver. 2010.11.09 Po-Ning Chen 56 / 106

(s, t}) and

is a complete orthonormal set for signals dened over |0, T}

(t} without the

(t} can be equivalently

Digital Communications: Chapter 2 Ver. 2010.11.09 Po-Ning Chen 105 / 106

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