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E[X(t)2 ], a constant.
This total average power is distributed over some range of frequencies. This distribution
over frequency is described by SX(), the power density spectrum. SX() is non-negative
(SX() 0) and, for real-valued X(t), even (SX() = SX(-)). Furthermore, the area under SX is
F X( t ) z
-
X(t)e-jt dt (8-2)
does not exits, in general. Random process X(t) is not absolutely integrable, and F[X(t)] does
not converge for most practical applications. Hence, we cannot use F[X(t)]2 as our definition
of power spectrum (however, F X(t) exists as a generalized random function that can be used
to develop a theory of power spectral densities).
We seek an alternate route to the power spectrum. Let T > 0 denote the length of a time
interval, and define the truncated process
X T ( t ) X( t ), t T
. (8-3)
0, t T
Fourier transform
FX T ( ) z
-
X T ( t )e jt dt (8-5)
exists. For every value of , FX T () is a random variable. Now, Parseval's theorem states that
z-T
T 2
X T ( t ) dt z -
2
X T ( t ) dt z
1
2 -
2
FX T ( ) d . (8-6)
1 T
2T - T z 2
X T ( t ) dt
1
4T - z2
FX T ( ) d . (8-7)
The left-hand-side of this is the average power in the particular sample function XT being
integrated (It is a random variable). Average over all such sample functions to obtain
rect(t/2T)
1
rect( t / 2T) 1 , t T
0, t T
-T T
Figure 8-1: Window used in approximating the
power spectum of XT(t).
LM 1 z T X ( t ) 2 dtOP ELM 1 z F X T ( )
2 OP
d ,
E
N 2T -T T
Q N 4T - Q (8-8)
which leads to
1 T
z
2T - T
2
E[ X T ( t ) ] dt
1
4T - z 2
E[ FX T ( ) ]d . (8-9)
As T , the left-hand-side of (8-9) is the formula for the average power of X(t). Hence, we
can write
1 T 2 1 2
Avg Pwr = limit E[ X T (t) ] dt limit E[ FXT () ]d
T 4T
-T -
T 2T
. (8-10)
2
1 E[ FX () ]
2 - T
= limit T
d
2T
The quantity
LM E[ F ( ) 2 ]OP
XT
Sx ( ) limit (8-11)
T M
N 2T PQ
is the power density spectrum of WSS process X(t). Power density spectrum SX() is a real-
valued, nonnegative function. If X(t) is real-valued the power spectrum is an even function of
. It has units of watts/Hz, and it tells where in the frequency range the power lies. The
quantity
1 2
2 1zSx ( ) d
is the power in the frequency band (1, 2). Finally, to obtain the power spectrum of
deterministic signals, Equation (8-11), without the expectation (remove the E operator), can be
applied.
Example (8-1): Consider the deterministic signal X(t) = Aexp[j0t]. This signal is not real-
valued so we should not automatically expect an even power spectrum. Apply window
rect(t/2T) to x(t) and obtain
t
X T (t) = A exp[j 0 t]rect 2T (8-12)
where Sa(x) {sin(x)}/ x . Hence, for large T we have (note that nothing is random so no
expectation is required here!)
2
FX T () 2
Sx () 2A 2 T Sa [( 0 )T] , (8-14)
2T
a result depicted by Figure 8-2. The area under this graph is independent of T since
T Sa 2 (T)
-
d 1 (8-15)
independent of T. For (8-14), on either side of 0, the width between the first zero crossings
(where all of the area is concentrated as T approaches infinity) is on the order of 2/T. The
height is on the order of 2A2T. As a result, (8-14) approaches a delta function and
Sx()
2A2T
Width 2/T
2
FXT () 2 T Sa 2 [( 0 )T]
Sx () limit 2A limit 2A 2( 0 ), (8-16)
T 2T T
a result depicted by Figure 8-3. If 0 = 0, then X(t) = A, a constant DC signal. For this DC-
signal case, the power spectrum is Sx() = 2A2(), as expected.
Rational Power Density Spectrums
2m a 2m22m2 +a 22 a 0
Sx ( ) , mn, (8-17)
2n b2n 22n 2 +b22 b0
SX() =2A2()
2A2
a rational function of . In (8-17), the coefficients a0, a2, , a2m-2, b0, b2, , b2n-2 are real-
valued. Also, only even powers of appear in the numerator and denominator since SX() is an
even function of . Also, since
Avg Pwr in X =
1
2 -zSx ( )d , (8-18)
we must have m < n (the degree of the numerator must be at least two less then the degree of the
denominator for Inequality (8-18) to hold).
Rational spectrums are continuous in nature. They contain no delta function(s), an
observation that implies that X has no DC or sinusoidal component(s). However, in many
applications, one encounters processes that have a DC component and/or an AC component, in
addition to a random component with a rational spectrum. For the case of a DC component, we
can write
where A is a DC constant, and zero-mean XAC has a rational spectrum, denoted here as SAC().
We compute the power spectrum of X(t) of the form (8-19). First, window X to obtain
so that
F X T F1 () F2 ()
F2 () F X AC (t)rect(t / 2T) .
Note that F1() is a deterministic function of , and F2() is a random function of . A simple
expansion yields
2
F X T F1 F2 F1 2 Re F1 F2 F2 .
2 2 2
(8-22)
Use the fact that F1 is deterministic, and take the ensemble average of (8-22) to obtain
E F X T F1 2 Re F1 E[F2 ] E F2 .
2 2 2
(8-23)
E F2 E F X AC (t)rect(t / 2T) E X AC (t)rect(t / 2T)e jt dt
-
E X AC (t) rect(t / 2T)e jt dt (8-24)
-
since E[XAC] = 0. Because of (8-24), the middle term on the right-hand side of (8-23) is zero,
and we have
E F X T F 2 E F2 2
2
1 . (8-25)
2T 2T 2T
Finally, as T , we have
E F XT
2
Sx () limit 2A2() SAC () . (8-26)
T 2T
That is, the power spectrum of X is the power spectrum for the DC component A (see the
sentence at the end of Example 8-1) added to the rational power spectrum SAC() for the AC
component.
Wiener-Khinchine Theorem
Proof:
Recall that the power spectrum of real-valued (the proof can be generalized to include
complex-valued random processes) random process X(t) is
E F [X T ]
2
S () limit , (8-27)
T 2T
where
X(t), t T
X T (t) . (8-28)
0, t T
1 E F[X ] 2
F S ()
-1 T e jd
limit
2 T
2T
1 1 T T
limit E X(t1 )e jt1 dt1 X(t 2 )e jt 2 dt 2 e jd (8-29)
T 2 2T T T
1 T T 1
limit E[X(t1 )X(t 2 )] e j(t1 t 2 ) d dt 2dt1
T 2T T T 2
(the fact that X is real-valued was used to obtain (8-29)). However, from Fourier transform
theory we know that
1 j(t1 t 2 )
2
e d (t1 t 2 ) . (8-30)
Now, use (8-30) in (8-29), and the fact that E[X(t1)X(t2)] = R(t2-t1), to obtain
1 T T
F -1 S () limit R(t 2 t1)(t1 t 2 )dt 2dt1
T 2T T T
1 T 1 T
limit
T 2T
T
R( )dt1 R( ) limit
T 2T
T
dt1
(8-31)
R().
This is the well-known, and very useful, Wiener-Khinchine Theorem: the Fourier transform of
the autocorrelation is the power spectrum density. Symbolically, we write
R x () S () . (8-32)
T T T T j(t1 t 2 )
X(t1 )e jt1 dt1 X(t 2 )e jt 2 dt 2 X(t1 )X(t 2 ) e
2
F [X T ] dt1dt 2 (8-33)
-T -T -T -T
since X is assumed to be real valued. Take the expectation of this result to obtain
2 T T j(t1 t 2 )
E[ F [X T ] ]
-T -T
R(t1, t 2 ) e dt1dt 2 . (8-34)
T T j(t1 t 2 ) 2T
2
E[ F[X T ] ]
-T -T
R(t1 t 2 ) e dt1dt 2
-2T
2T R()e jd , (8-35)
2
E[ F [X T ] ] 2T
1 R()e jd . (8-36)
2T -2T
2T
so that
2
E[ F [X T ] ] 2T
SX () limit limit 1 R()e jd R()e jd
T 2T T -2T 2T -
, (8-37)
F R() ,
(as T approaches infinity, triangle (1 - /2T) approaches unity over all for which the integral
of R() is significant).
Example (8-2): Power spectrum of the random telegraph signal
The random telegraph signal was discussed in Chapter 7; a typical sample function is
depicted by Figure 8-4. It is defined as
X(t)
X( 0 )
where is a random variable that takes on the two values = 1 equally likely. From Chapter
7, recall that the autocorrelation of X is RX() = e, where is the average point density
(also, in X(t), is the average number of zero crossings per unit length). By the Wiener-
Khinchine theorem, the power spectrum is
Sx ( ) F e LM 2 OP 2 4 2 .
N Q 4 (8-38)
The 3dB down bandwidth is 2. Large values for "average-toggle-density" make waveform
X(t) toggle faster; they also make the bandwidth larger, as shown by (8-38). For the random
telegraph signal, the average power is
1 1 2 1
Pavg
2
S ( )d
2
4 2
d () 1
(8-39)
watt. This result follows immediately from the observation that [X(t)]2 = 1 for all time.
Example (8-3): Zero-Mean, White Noise
N0
R() () , (8-40)
2
where N0/2 is a constant. The power spectrum is N0/2 Watts/Hz. This implies that X possesses
an infinite amount of power, a physical absurdity. In the mathematical literature, white noise
processes are called generalized random processes (the rational being somewhat similar to that
used when delta functions are called generalized functions). Intentionally, we have not stated
how X(t) is distributed (do not assume that X(t) is Gaussian unless this is explicitly stated). In
the name assigned to X(t), the adjective white is include to draw a parallel to white light, light
containing all frequencies.
White noise X(t) exists only as a mathematical abstraction. However, it is a very useful
abstraction. For example, suppose we have a finite bandwidth system driven by a wide-band
noise process with spectrum that is flat over the system bandwidth (noise bandwidth >> system
bandwidth). Under these conditions, the analysis could be simplified by assuming that input X(t)
is white noise.
Addition of Power Spectrums for Uncorrelated Processes
Suppose WSS, zero-mean processes X(t) and Y(t) are uncorrelated so that E[X(t+)Y(t)]
= E[X(t+)]E[Y(t)] = 0 for all t and . Then, we can write
R X ( ) R Y ( ) .
Sx y ( ) Sx ( ) Sy ( ) , (8-42)
the result that power spectrums add for uncorrelated processes. This conclusion has many
applications (see (8-26) for the case of a DC component added to a zero-mean process).
Let X(t) be a W.S.S process. Y(t) = L[ ] denotes a linear, time-invariant system. From
Chapter 7, recall the formula
b g
R Y ( ) h ( ) h ( ) R x ( ) . (8-43)
However,
2
SY ( ) H( j ) SX ( ) , (8-46)
1 1 N0 N0 1
SY () , (8-47)
1 jRC 1 jRC 2 2 1 (RC)2
SX() 1
H ( j )
R 1 jRC
+ +
N0/2
X(t) C Y(t)
- -
Figure 8-5: Power spectrum of white noise and a simple RC low-pass filter.
a result that is depicted by Figure 8-6. Output Y(t) has a mean of zero (why?) and a variance
equal to the AC power. Hence, the variance of Y(t) is
1 N0 1 N0 1 N
2Y AC Power in Y(t) d d 0 . (8-48)
2 2 1 (RC) 2 4RC 1 2 4RC
Finally, output Y is Gaussian since linear filtering a Gaussian input produces a Gaussian output.
As a result, we can write
1 y2
f Y (y) exp , (8-49)
2 Y 2
2Y
SY()
N0/2
-2 -1 0 1 2
RC
V( j ) j/
H( j )
X ( j ) 1 j /
X(t) 1 1F V(j)
1
1 j
-
where 2Y = N0/(4RC).
Note that SY(), given by (8-47), is an even-symmetry, rational function of with a
denominator degree is two more than the numerator degree (which is a requirement for a finite
power output process). Generally speaking, we should expect an even-symmetry rational output
spectrum from a lumped-parameter, time-invariant system (an RLC circuit/filter, for example)
that is driven by noise that has a flat spectrum over the system bandwidth.
Example (8-5): Let X(t) be a white Gaussian noise ideal current source with a double sided
spectral density of 1 watts/Hz. Find the average power absorbed by the resistor in the circuit
depicted by Figure 8-7. The spectral density of the power absorbed by the resistor is given by
2 1
SR ( ) H( j) 1 , (8-50)
1 2
an even-symmetry, rational function with denominator degree two more than numerator degree.
Hence, the total power absorbed by the 1 Ohm resistor is given by
1 1 1
Pavg
2 -
SR () d
2 - 1 2
d 1/ 2 watt (8-51)
We seek to quantify the idea of system/filter bandwidth. Let H(j) be the transfer
H(0)
-2BN 2BN -axis
function of a low-pass system/filter. Let X(t) be white noise with a power spectrum of N0/2
watts/Hz. The average power output is
Pavg
2 - z
1 N0
2
2
H( j ) d . (8-52)
Now, consider an ideal low-pass filter that has a gain equal to H(0) and a one-sided bandwidth of
BN Hz (see Figure 8-8). Apply the white noise X(t) to this ideal filter. The output power is
Pavg
2 -2z
1 2 B N N 0
B N
2
2 2
H( 0) d N 0 H( 0) BN . (8-53)
Again, consider H(j). The noise equivalent bandwidth of H(j) is defined to be the one-sided
bandwidth (in Hz) of an ideal filter (with gain H(0)) that passes as much power as H(j) does
when both filters are supplied with the same input white noise. Hence, equate (8-53) and (8-52)
to obtain
2
N 0 H( 0 ) B N z
1 N0
2 - 2
2
H( j ) d . (8-54)
This yields
BN
1
4 H( 0 )
z
2 -
2
H ( j ) d (8-55)
R
+ +
1
X(t) C Y(t) H ( j )
1 jRC
- -
Figure 8-9: RC low-pass filter and transfer function.
as the noise equivalent bandwidth of filter H(j).
Example (8-6): Find the noise equivalent bandwidth of the single pole RC low-pass filter
1 1 1 1 1
BN
4 - 1 2 R 2C2
d
4RC - 1 2
d
4RC
Hz (8-56)
Example (8-7): Find the noise equivalent bandwidth of an nth-order Butterworth low-pass filter.
By definition
2 1
H ( j ) ,
1 ( / c )2 n
H()
1.0
0.9
0.8
0.7
Magnitude
0.6 n=2
0.5
n=4
0.4
n=6
0.3
0.2
0.1
0.0
for positive integer n. The quantity c is the 3dB cut off frequency (see Figure 8-10 for
magnitude response). The noise equivalent bandwidth is
BN
1
z 1
4 - 1 ( / c )2 n
d
c
z1
4 - 1 2 n
d .
This last integral appears in most integral tables. Using the tabulated result, the noise equivalent
bandwidth BN is
BN
1 FG c IJ
H
4n sin( / 2n ) K
, n = 1, 2, 3, , (8-57)
Hz. As n , the Butterworth filter approaches the ideal LPF. The limit of (8-57) is
F I
limit BN limit
1
GG 1 ( )3c 1 ( )5 JJ 2c (8-58)
n n 4 n H 2n 3! 2n 5! 2n K
as expected.