B39SA

Signals and Systems

1. Energy and Power Spectral Densities
2. LTI Systems, System Function
3. Autocorrelation

Alexander Belyaev
[email protected]
Fourier transform
Forward transform, analysis equation
∞
X (ω ) = F [x (t )] = ∫ x ( t ) e − jω t
dt
−∞

Inverse transform, synthesis equation

∞
1
x (t ) = F -1
[X (ω )] = ∫ X (ω ) e jω t
dω
2π −∞

Fourier transform pair: x (t ) ↔ X (ω )

Basic properties of Fourier transform

Linearity: a1 x1 (t ) + a2 x2 (t ) ↔ a1 X 1 (ω ) + a 2 X 2 (ω )

Time Shifting: x (t − t 0 ) ↔ X (ω ) e − jω t0

Frequency Shifting: x (t ) e ↔ X (ω − ω 0 )
jω 0 t

1 ω 
Scaling: x (a t ) ↔ X 
a a
Time-Reversal: x (− t ) ↔ X (− ω )

Duality: X ( t ) ↔ 2π x (− ω )
Properties of Fourier transform
d
Differentiation: x′(t ) = x (t ) ↔ jω X (ω )
dt
t
1
∫−∞
Integration: x (τ ) dτ ↔ π X (0 )δ (ω ) +
jω
X (ω )

Convolution: x (t ) = x1 (t ) ∗ x2 (t ) = ∫ x (τ )x (t − τ ) dτ
−∞
1 2

x1 (t ) ∗ x2 (t ) ↔ X 1 (ω ) X 2 (ω )

1
Multiplication: x1 (t ) x2 (t ) ↔ X 1 (ω ) ∗ X 2 (ω )
2π
Examples of calculating Fourier transforms
Find the Fourier transform of
x1 (t ) = Ae − at u (t ) x2 (t ) ≡ 1 x3 (t ) = cos (2 ω 0 t )
Examples of calculating Fourier transforms
Find the Fourier transform of
x1 (t ) = Ae − at u (t ) x2 (t ) ≡ 1 x3 (t ) = cos (2 ω 0 t )

Solution:
∞ ∞
A
X 1 (ω ) = F [x1 (t )] = ∫ Ae e− at − jω t
dt = A ∫ e − ( a + jω )t
dt =
0 0
a + jω
Examples of calculating Fourier transforms
Find the Fourier transform of
x1 (t ) = Ae − at u (t ) x2 (t ) ≡ 1 x3 (t ) = cos (2 ω 0 t )

Solution:
∞ ∞
A
X 1 (ω ) = F [x1 (t )] = ∫ Ae e− at − jω t
dt = A ∫ e − ( a + jω )t
dt =
0 0
a + jω

F -1 [δ (ω )] = 1 (2π ) ⇒ X 2 (ω ) = F [1] = 2π δ (ω )
Examples of calculating Fourier transforms
Find the Fourier transform of
x1 (t ) = Ae − at u (t ) x2 (t ) ≡ 1 x3 (t ) = cos (2 ω 0 t )

Solution:
∞ ∞
A
X 1 (ω ) = F [x1 (t )] = ∫ Ae e − at − jω t
dt = A ∫ e − ( a + jω )t
dt =
0 0
a + jω

F -1 [δ (t )] = 1 (2π ) ⇒ X 2 (ω ) = F [1] = 2π δ (ω )

F [1] = 2π δ (ω ) ⇒ F [exp ( j 2 ω 0t )] = 2πδ (ω − 2ω 0 )

1
x3 (t ) = cos (2 ω 0 t ) = [exp ( j 2 ω 0t ) + exp (− j 2 ω 0t )]
2
X 3 (ω ) = F [x3 (t )] = π [δ (ω − 2ω 0 ) + δ (ω + 2ω 0 )]
Example: Modulation Theorem Numerous applications in
F digital communication
Show that if x (t ) ←→ X (ω ) then systems
F 1 1
x (t ) cos ω 0t ←→ X (ω − ω 0 ) + X (ω + ω 0 )
2 2

Solution:
1 jω 0 t
cos ω 0t =
2
e( )
+ e − jω 0 t

1 1 − jω 0 t  1 1
[ ( ) ]
F x t cos ω 0t = F  x t e ( ) jω 0 t
( )
+ xt e  = X ω − ω 0 + X (ω + ω 0 )
( )
2 2  2 2
Example: Impulse train ∞

Find the Fourier transform

δ T (t ) = ∑ δ (t − nT )
n = −∞
of the unit impulse train

− 2T − T 0 T 2T t
Solution: ∞
It is a periodic function, its Fourier series is given by δ T (t ) = ∑ n
c e
n = −∞
jnω 0 t

T 2 T 2
1 1 1
∫ δ (t ) e ∫ δ (t )e
− jnω 0 t − jnω 0 t
cn = T dt = dt =
T −T 2
T −T 2
T
F
1 ∞
2π 1 → 2π δ (ω )
δ T (t ) =
T
∑e
n = −∞
jnω 0 t
ω0 =
T F
j nω 0 t
e → 2π δ (ω − nω 0 )
∞
2π Mathematical basis for
F [δ T (t )] =
T
∑ δ (ω − nω )
n = −∞
0 approximating continuous (analogue)
signals by discrete (digital) signals
1. Parseval’s theorem for energy
signals and energy spectral density
∞ ∞

∫ ∫ x(t ) x(t ) dt
2
x (t ) dt =
*
E=
−∞ −∞
*
∞
 1 ∞

= ∫ x (t )  ∫ X (ω )e
jω t
dω  dt
 2π  2
Sx ( f ) = X ( f )
−∞ −∞
∞ ∞
1
∫ ∫( ) * − jω t
= x t X (ω ) e dω dt
2π −∞ −∞

1
∞
∞  *
∫−∞ −∫∞ x(t ) e dt  X (ω ) dω
− jω t
=
2π ω = 2π f
∞ ∞ ∞
1 1
∫−∞ X (ω ) X (ω ) dω = 2π ∫ X (ω ) ∫ X(f )
* 2 2
= dω = df
2π −∞ −∞
1. Energy spectral density: An example
1
Find the energy spectral density x = Π (t )
of the rectangular pulse: x (t ) = 20Π (100 t )
− 0 .5 0 .5
Solution:
sin (π α )
sinc (α ) =
x (t ) = AΠ (t τ ) πα
τ 2
2A  ωτ  sin (ωτ 2 )  ωτ 
X (ω ) = ∫τ Ae
− jω t
dt = sin   = Aτ = Aτ sinc  
− 2
ω  2  ωτ 2  2π 

F 1  ω 
x (t ) = 20 Π (100 t ) → sinc   = 0.2 sinc (0.01 f )
5  200 π 
2
X ( f ) = 0.04 sinc 2 (0.01 f )
1. Parseval’s theorem for periodic signals
and power spectral density (PSD)
∞ t 0 + T0 ∞
2π 1
∑c e ∫ x(t ) ∑c
2 2
x (t ) = k
jω 0 t
ω0 = dt = k
k = −∞ T0 T0 t0 k = −∞

∑c
2
Power spectral density: Sx ( f ) = k δ ( f − k f0 )
k = −∞

∞ ∞
 ∞ 
∫−∞S x ( f ) df = −∫∞k∑
2
ck δ ( f − k f 0 ) df
= −∞ 
∞ ∞ 2  ∞
= ∑  ∫ ck δ ( f − k f 0 ) df  = ∑ ck
2

k = −∞  − ∞  k = −∞
1. Power spectral density: An example
Find the power spectral density of x (t ) = 10 cos (300π t )
Solution:

x (t ) = 10 cos (300π t ) = 5e − j 300 π t + 5e j 300 π t

∞

∑c
2
c1 = c−1 = 5 f 0 = 150 Hz Sx ( f ) = k δ ( f − k f0 )
k = −∞
2 2
= c−1 δ ( f + 150 ) + c1 δ ( f − 150 ) = 25 δ ( f + 150 ) + 25 δ ( f − 150 )

Sx ( f )
25 25
f
− 150 150
2. Linear Time-Invariant (LTI) Systems

y (t ) = Sys[x (t ) ] x (t ) LTI System y (t )

Sys[x1 (t ) + x2 (t ) ] = Sys[x1 (t ) ] + Sys[x2 (t ) ] = y1 (t ) + y 2 (t )

Sys[α x (t ) ] = α Sys[x (t ) ] = α y (t )

Sys[x (t − t 0 ) ] = y (t − t 0 )
2. Impulse response and response to an arbitrary input

y (t ) = Sys[x (t ) ] x (t ) LTI System y (t )

impulse
h(t ) = Sys[δ (t ) ] response If h(t) = 0 for t < 0 the
system is called causal.
∞ ∞
x (t ) = δ (t ) ∗ x (t ) = ∫ δ (t − τ ) x (τ ) dτ = ∫ δ (τ ) x (t − τ ) dτ
−∞ −∞
∞ ∞
Sys[x (t ) ] = ∫ Sys[δ (t − τ )] x (τ ) dτ = ∫ h(t − τ ) x (τ ) dτ = h(t ) ∗ x (t )
−∞ −∞

The response y(t) of an LTI system to an arbitrary

input x(t) is given by
∞ ∞
y (t ) = h(t ) ∗ x (t ) = ∫ x(τ ) h(t − τ ) dτ = ∫ x(t − τ ) h(τ ) dτ
−∞ −∞
2. System function (frequency response)

y (t ) = Sys[x (t ) ] x (t ) LTI System y (t )

∞ ∞
y (t ) = h(t ) ∗ x (t ) = ∫ x(τ ) h(t − τ ) dτ = ∫ x(t − τ ) h(t ) dτ
−∞ −∞

Let us apply the Fourier transform

X (ω ) = F [x (t )] H (ω ) = F [h(t )] Y (ω ) = F [ y (t )]
y (t ) = h(t ) ∗ x (t ) → Y (ω ) = X (ω )H (ω )

Y (ω ) System function (frequency response,

H (ω ) =
X (ω ) frequency transfer function)
2. System 1 H (ω )
function
b b
(frequency
response) δ (t ) h(t )
LTI System
x (t ) y (t ) = x (t ) ∗ h(t )
b b
X (ω ) Y (ω ) = X (ω ) H (ω )
∞
 ∞
 jω t
[ ]
Sys e jω t = ∫ h (τ ) e jω (t −τ )
dτ =  ∫ h (τ ) e − jω τ
dτ  e = H (ω ) e jω t
−∞ −∞ 

[ ]
Sys e jω t = H (ω ) e jω t

x (t ) = ∑ cω e jω t → ∑ cω H (ω ) e jω t
ω ω
2. System function (frequency response): Example 1

+ +
R
x(t ) y (t ) x (t ) →
Sys
y (t )
C
− −

δ (t ) → ?
Sys
u (t ) → ?
Sys
2. System function (frequency response): Example 1
+ + x (t ) →
Sys
y (t )
R
x(t )
Sys
y (t ) δ (t ) → ?
C
− −
( ) Sys
u t → ?
t=0
vC (t ) = A + Be −t ( RC )
R
+
V =1V vC (t ) vC (0 ) = 0 vC (∞ ) = 1
- C vC (t ) = 1 − e −t ( RC )

u (t ) →
Sys
( )
1 − e −t ( RC ) u (t )
du (t ) Sys 1 −t ( RC )
δ (t ) = → e u (t )
dt RC
2. System function (frequency response): Example 1

+ +
R
x (t ) →
Sys
y (t )
x(t ) y (t )
C δ (t ) →
Sys
h(t )
− − 1 −t ( RC )
h(t ) = e u (t )
RC
∞
1
H (ω ) = F [h(t )] = ∫ h(t )e
− jω t
dt =
−∞
1 + jω RC
2. System function (frequency response): Example 1

+ + x (t ) y (t )
R LTI System
e jω t
1 H (ω ) e jω t
jω C Sys e [ ] = H (ω )e
jω t jω t

− −

Phasor analysis yields the same result:

jω t jω t
e 1 e
H (ω ) e jω t
= =
R + 1 ( jω C ) jω C 1 + jω RC
1
H (ω ) =
1 + jω RC
2. System function (frequency response): Example 2

+ + x (t ) y (t )
R LTI System
x(t ) = Π (t ) 1 y (t )
jω C Sys e [ ] = H (ω )e
jω t jω t

− −
1
H (ω ) = 1
1 + jω RC
x = Π (t )

x (t ) = AΠ (t τ ) − 0 .5 0 .5
τ 2
2A  ωτ  sin (ωτ 2 )  ωτ 
X (ω ) = ∫τ Ae
− jω t
dt = sin   = Aτ = Aτ sinc  
− 2
ω  2  ωτ 2  2π 
1 ω 
Y (ω ) = H (ω ) X (ω ) = sinc  
1 + jω RC  2π 
2. System function (frequency response): Example 2
+ +
1
R
x = Π (t ) x(t ) = Π (t ) 1 y (t )
− 0 .5 0 .5 jω C
− −
1
H (ω ) =
1 + jω RC
1 ω 
Y (ω ) = sinc  
1 + jω RC  2π 
2. System function (frequency response): Example 2
+ +
R
x (t ) = Π (t ) 1 y (t )
jω C
− −
2. System function (frequency response): Example 2
2. System function (frequency response): Example 3

x (t ) y (t )
LTI System

d 2 y (t ) dy (t )
2
+2 + 26 y (t ) = x (t )
dt dt
2. System function (frequency response): Example 3

x (t ) y (t )
LTI System

d 2 y (t ) dy (t )
2
+2 + 26 y (t ) = x (t )
dt dt

( jω )2 Y (ω ) + 2( jω )Y (ω ) + 26Y (ω ) = X (ω )
Y (ω ) 1 1
H (ω ) = = =
X (ω ) ( jω ) + 2( jω ) + 26 (26 − ω 2 ) + j 2ω
2
3. Autocorrelation function

Let x(t) be an energy signal. The autocorrelation function

is defined by ∞
rxx (τ ) = ∫ x(t ) x(t + τ ) dt
−∞

Let x(t) be a periodic signal. The autocorrelation function

is defined by T0 2
1
rxx (τ ) =
T0 ∫ x(t ) x(t + τ ) dt
−T0 2

If x(t) is a non-periodic power signal. The autocorrelation

function is defined by  T0 2 
1
rxx (τ ) = lim 
 0
T0 → ∞ T ∫ x(t ) x(t + τ ) dt 
−T0 2 
3. Properties of the autocorrelation function

∞
rxx (τ ) = ∫ x(t + τ ) x(t ) dt
−∞
rxx (τ ) = rxx (− τ )

∞
F
x (t ) ∗ y (t ) = ∫ x (t − s ) y (s ) ds → X (ω )Y (ω )
−∞
∞ ∞
rxx (t ) = x (t ) ∗ x (− t ) = ∫ x(s − t ) x(s ) ds = ∫ x(λ ) x(λ + t ) dλ
−∞ −∞
∞ ∞
F F
x (t ) → X (ω ) x (− t ) → ∫ x (− t ) e − jω t dt = ∫ x (s ) e jω s
ds = X *
(ω )
−∞ −∞

F 2
rxx (t ) → X (ω ) X (ω ) = X (ω ) = P (ω )
*
Spectral Density
3. Applications of autocorrelation

The auto-correlation
of a random signal is
zero at all lags except
for the lag of zero.
3. Applications of autocorrelation
x = 3*sin(2*pi*f1*t)+2*sin(2*pi*f2*t);
n = 3*randn(size(t));
y = x+n;

Noisy signal

PSD