Chapter 8 - Power Density Spectrum: EE420/500 Class Notes 7/27/2011 John Stensby

EE420/500 Class Notes 7/27/2011 John Stensby
Updates at http://www.ece.uah.edu/courses/ee420-500/ 8-1

Chapter 8 - Power Density Spectrum
Let X(t) be a WSS random process. X(t) has an average power, given in watts, of
E[X(t)
2
], a constant.
This total average power is distributed over some range of frequencies. This distribution
over frequency is described by S
X
(), the power density spectrum. S
X
() is non-negative
(S
X
() 0) and, for real-valued X(t), even (S
X
() = S
X
(-)). Furthermore, the area under S
X
is
proportional to the average power in X(t); that is

Average Power in X(t d ) =

z
1
2
S
x
( )
-
. (8-1)

Finally, note that S
X
() has units of watts/Hz.
Let X(t) be a WSS random processes. We seek to define the power density spectrum of
X(t). First, note that

F X t ( ) =

z
X(t)e
-j t
-

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,
[ ]
X(t) F 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 X t t T
t T
T
( ) ( ),
,
=
= > 0
. (8-3)

Truncated process X
T
can be represented as

T
X (t) X(t)rect(t / 2T) = , (8-4)

where rect(t/2T) is the 2T-long window depicted by Figure 8-1.
Signal X
T
is absolutely integrable, that is, X
T
-
( ) t dt
z
< . Hence, for finite T, the
Fourier transform

F t dt
X
j t
T
( ) ( )e

=

z
X
T
-
(8-5)

exists. For every value of , F
X
T
() is a random variable. Now, Parseval's theorem states that

X X
T T
- - -
( ) ( ) ( ) t dt t dt F d
T
T
X
T
z z z
= =
2
2 2 1
2
. (8-6)

Now, divide both sides of this last equation by 2T to obtain

1
2
1
4
2
2
T
t dt
T
F d
T
T
X
T
X
T
- -
( ) ( )
z z
=

. (8-7)

The left-hand-side of this is the average power in the particular sample function X
T
being
integrated (It is a random variable). Average over all such sample functions to obtain

T -T
rect(t/2T)
1
rect t T) t
t
( / 2 1
0
= <
= >
, T
, T

Figure 8-1: Window used in approximating the
power spectum of X
T
(t).
E
T
t dt E
T
F d
T
T
X
T
1
2
1
4
2
2
X
T
- -
( ) ( )
z z
L
N
M
O
Q
P
=
L
N
M
O
Q
P
, (8-8)

which leads to

1
2
1
4
2
2
T
E t dt
T
E F d
T
T
X
T
[ ( ) ] [ ( ) ] X
T
- -
z z
=

. (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

T X
T
X
T
T 2
2
-T -
T T
2
-
T
1 1
Avg Pwr = E[ X (t) ] dt E[ F ( ) ]d
limit limit
2T 4 T
E[ F ( ) ]
1
= d limit
2 2T
. (8-10)

The quantity

S
x
( )
[ ( ) ]

=
L
N
M
M
O
Q
P
P T
E F
T
X
T
limit
2
2
(8-11)

is the power density spectrum of WSS process X(t). Power density spectrum S
X
() 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 1
2
S
x
( ) d
z

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[j
0
t]. 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

X (t) = Aexp[j t]rect
T
t
2T
0
(8-12)

The Fourier transform of X
T
is given by

F A j t rect t T ATSa
X
T
( ) [ exp( ) ( / )] [( )T] = = F
0 0
2 2 , (8-13)

where Sa(x) {sin(x)}/ x = . Hence, for large T we have (note that nothing is random so no
expectation is required here!)

X
T
2
2
2
0
F ( )
T Sa [( )T]
( ) 2 A
2T
=

x
S , (8-14)

a result depicted by Figure 8-2. The area under this graph is independent of T since

2
-
T Sa ( 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 2A
2
T. As a result, (8-14) approaches a delta function and
X
T
2
2
2 2 0
0
T
T
F ( )
T Sa [( )T]
limit ( ) 2 A 2 A ( ),
limit
2T

= = =
x
S (8-16)

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 S
x
() = 2A
2
(), as expected.
Rational Power Density Spectrums
In many applications S
X
() takes the form

2m 2m 2 2
2m 2 2
2n 2n 2 2
2n 2 2
0
0
a +a a
( ) , m n
b +b b
+ + +
= <
+ + +
x

S , (8-17)

2A
2
0

S
X
() =2A
2
(
0
)

Figure 8-3: Power spectrum of X(t) for Example 8-1.
Width 2/T
0
2A
2
T
S
x
()

Figure 8-2: Approximation to the power spectrum of X(t).
a rational function of . In (8-17), the coefficients a
0
, a
2
, , a
2m-2
, b
0
, b
2
, , b
2n-2
are real-
valued. Also, only even powers of appear in the numerator and denominator since S
X
() is an
even function of . Also, since

Avg Pwr in X =
1
2
S
x
-
z
< ( )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).
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 as well as an AC component
with a rational spectrum. These processes can be modeled as

X(t) = A + X
AC
(t), (8-19)

where A is a DC constant, and zero-mean X
AC
has a rational spectrum, denoted here as S
AC
().
We compute the power spectrum of X(t) of the form (8-19). First, window X to obtain

T AC
X (t) rect(t / 2T) X (t)rect(t / 2T) A = + (8-20)

so that

[ ]
[ ]
[ ]
T
AC
1 2
1
2
X F ( ) F ( )
F ( ) rect(t / 2T)
F ( ) X (t)rect(t / 2T) .
A
= +

F
F
F
. (8-21)

Note that F
1
() is a deterministic function of , and F
2
() is a random function of . A simple
expansion yields

[ ]
T
2
2 2 2
1 2 1 1 2 2
X F F F 2Re F F F

= + = + +

F . (8-22)

Use the fact that F
1
is deterministic, and take the ensemble average of (8-22) to obtain

[ ]
T
2
2 2
1 1 2 2
E X F 2Re F E F E F [ ]

= + +

F . (8-23)

However, note that

[ ] [ ]
[ ]
AC AC
AC
j t
2
-
j t
-
E F E X (t)rect(t / 2T) E X (t)rect(t / 2T)e dt
E X (t) rect(t / 2T)e dt
0

= =

=
=
F
(8-24)

since E[X
AC
] = 0. Because of (8-24), the middle term on the right-hand side of (8-23) is zero,
and we have

[ ]
T
2
2
2
2
1
E X
E F
F
2T 2T 2T

= +
F
. (8-25)

Finally, as T , we have

[ ]
T
AC
2
2
T
E X
limit
( ) 2 ( ) ( )
2T
A

= = +
x
F
S S . (8-26)
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 S
AC
() for the AC
component.
Wiener-Khinchine Theorem
Assume that X(t) is a wide-sense-stationary process with autocorrelation R
X
(). The
power spectrum S
X
() is the Fourier transform of autocorrelation R
X
(). This is the famous
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

2
T
T
E [X ]
( ) limit
2T

= S
F
, (8-27)

where

T
X(t), T
t
X (t)
0, T
t
<
>
. (8-28)

Take the inverse Fourier transform of S to obtain

[ ]
1 2
1 2
2
-1 j
T
T
T T
j t j t j
1 1 2 2
T T
T
T T
j (t t )
1 2 2 1
T T
T
1 E [X ]
limit e d ( )
2
2T
1 1
limit E X(t )e dt X(t )e dt e d
2 2T
1 1
limit E[X(t )X(t )] e d dt dt
2T 2

=

=

S
F
F
(8-29)
(the fact that X is real-valued was used to obtain (8-29)). However, from Fourier transform
theory we know that

1 2
j (t t )
1 2
1
e d (t t )
2

+
= +
. (8-30)

Now, use (8-30) in (8-29), and the fact that E[X(t
1
)X(t
2
)] = R(t
2
-t
1
), to obtain

[ ]
T T
-1
2 1 1 2 2 1
T T
T
T T
1 1
T T
T T
1
limit R(t t ) (t t )dt dt ( )
2T
1 1
limit R( )dt R( ) limit dt
2T 2T
R( ).

= +

= =

=

F S
(8-31)

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

x
R ( ) ( ) S . (8-32)

A second proof of the Wiener-Khinchine Theorem follows. First, note

1 2 1 2
T T T T j (t t ) 2 j t j t
T 1 1 2 2 1 2 1 2
-T -T -T -T
[X ] X(t )e dt X(t )e dt X(t )X(t ) e dt dt

= =

F (8-33)

since X is assumed to be real valued. Take the expectation of this result to obtain

1 2
T T j (t t )
2
T 1 2 1 2
-T -T
E[ [X ] ] R(t , t ) e dt dt

=

F . (8-34)

Define = t
1
- t
2
and = t
1
+ t
2
. From Example 4A-2 of Appendix 4A, we have

( )
1 2
T T 2T j (t t )
2
j
T 1 2 1 2
-T -T -2T
E[ [X ] ] R(t t ) e dt dt 2T R( )e d

= =

F , (8-35)

a result that leads to

2
2T
T j
-2T
E[ [X ] ]
1 R( )e d
2T 2T

=

F
. (8-36)

so that

[ ]
X
2
2T
T j j
-2T -
T T
E[ [X ] ]
limit limit ( ) 1 R( )e d R( )e d
2T 2T
R( ) ,

= = =

=

S
F
F
, (8-37)

(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

Location of a Poisson Point
X(t)

Figure 8-4: A typical sample function of the Random Telegraph Signal.
X
X t
( )
( )
0 =
=
if number of Poisson Points in (0, t) is

= - if number of Poisson Points in (0, t) is
even
odd ,

where is a random variable that takes on the two values = 1 equally likely. From Chapter
7, recall that the autocorrelation of X is R
X
() = e
2
, 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

S
x
e ( )

=
L
N
M
O
Q
P
=
+
F
2
2 2
4
4
. (8-38)

Large values for "average-toggle-density" make waveform X(t) toggle faster; they also make
the bandwidth larger, as shown by (8-38).
Example (8-3): Zero-Mean, White Noise
A zero-mean, white noise process X(t) is one for which

0
N
R( ) ( )
2
= , (8-39)

where N
0
/2 is a constant. The power spectrum is N
0
/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

[ ]
[ ] [ ]
X Y
X Y
R ( ) E [X(t ) Y(t )][X(t) Y(t)]
E X(t )X(t) E Y(t )Y(t)
R ( ) R ( ) .
+
= + + + +
= + + +
= +
(8-40)

Now, take the Fourier transform of (8-40) to see that

x y x y
( ) ( ) ( )
+
= + S S S , (8-41)

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).
Input-Output of Power Spectrums
Let X(t) be a W.S.S process. Y(t) = L[ ] denotes a linear, time-invariant system. From
Chapter 7, recall the formula

R h h R
Y x
( ) ( ) ( ) ( ) = b g . (8-42)

Take the Fourier transform of (8-42) to obtain
S S
Y X Y
h h ( ) [ ] [ ( ) ( )] ( ) = = F F R . (8-43)

However,

F[h(t)*h(-t)] = H(j)H*(j) = H(j)
2
. (8-44)

Combine this with (8-43) to obtain

S S
Y X
H j ( ) ( ) ( ) =
2
, (8-45)

an important result for computing the output spectral density.
Example (8-4): Let X(t) be modeled as zero-mean, white Gaussian noise. We assume R
X
() =
(N
0
/2)() so that S
X
() = N
0
/2. Let X(t) be applied to the first-order RC low-pass filter shown
by Figure 8-5. Find the output power density spectrum S
Y
() and the first-order density function
of Y(t). First, from Equation (8-45), we obtain

Y
0 0
2
N N 1 1 1
( )
1 j RC 1 j RC 2 2
1 (RC )

= =

+
+
S , (8-46)

a result that is depicted by Figure 8-6. Output Y(t) has a mean of zero (why?) and a variance
N
0
/2
S
X
()
C
R
+
-
X(t) Y(t)
+
-
H j
j RC
( )
=
+
1
1

Figure 8-5: Power spectrum of white noise and a simple RC low-pass filter.
equal to the AC power. Hence, the variance of Y(t) is

[ ]
Y
2 0 0 0
2 2
N N N 1 1 1
AC Power in Y(t) d d
2 2 4 RC 4RC
1 (RC ) 1

= = = =

+ +

. (8-47)

Finally, output Y is Gaussian since linear filtering a Gaussian input produces a Gaussian output.
As a result, we can write

Y
Y
Y
2
2
1 y
f (y) exp
2
2

=

, (8-48)

where
Y
2
= N
0
/(4RC).
Note that S
Y
(), given by (8-46), 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 0 1 2
RC
N
0
/2
S
Y
()

Figure 8-6: Power Spectrum of RC low-pass filter output.
R
2
2
1
( ) H( j ) 1
1
= =
+
S , (8-49)

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

R avg
2
- -
1 1 1
P ( ) d d 1/ 2 watt
2 2
1

= = =

+

S (8-50)

Noise Equivalent Bandwidth of a Low-pass System/Filter
We seek to quantify the idea of system/filter bandwidth. Let H(j) be the transfer
function of a low-pass system/filter. Let X(t) be white noise with a power spectrum of N
0
/2
watts/Hz. The average power output is

P H j d
avg
N
=

z
1
2
0
2
2

-
( ) . (8-51)

Now, consider an ideal low-pass filter that has a gain equal to H(0) and a one-sided bandwidth of
B
N
Hz (see Figure 8-8). Apply the white noise X(t) to this ideal filter. The output power is

P H d N H B
avg
N
B
B
N
N
N
= =
z
1
2
0 0
0
2
2
0
2
2
2
-
( ) ( ) . (8-52)
1 1F
X(t)
H j
V j
X j
j
j
j
( )
( )
( )
/
/
= =

=
+
1
1
1
V(j)
+
-

Figure 8-7: RC low-pass filter and transfer function.
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 (8-52) and (8-51)
to obtain

N H B H j d
N
N
0
2
2
2
0
1
2
0
( ) ( ) =

-
. (8-53)

This yields

B
H
H j d
N
=

z
1
4 0
2
2

( )
( )
-
(8-54)

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
depicted by Figure 8-9. Direct application of Formula (8-54) yields

N
2 2 2 2
- -
1 1 1 1 1
B d d Hz
4 4 RC 4RC
1 R C 1

= = =

+ +

(8-55)
2B
N
-2B
N
H(0)
-axis

Figure 8-8: Amplitude response of an ideal low-pass filter
C
R
+
-
X(t) Y(t)
+
-
H j
j RC
( )
=
+
1
1

Figure 8-9: RC low-pass filter and transfer function.
Example (8-7): Find the noise equivalent bandwidth of an n
th
-order Butterworth low-pass filter.
By definition

H j
c
n
( )
( / )

2
2
1
1
=
+
,

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

B d d
N
c
n
c
n
=
+
=
+
z z
1
4
1
1
4
1
1
2 2

( / )
- -
.

This last integral appears in most integral tables. Using the tabulated result, the noise equivalent
bandwidth B
N
is

0.0 0.5 1.0 1.5 2.0 2.5 3.0
/
c
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
M
a
g
n
i
t
u
d
e
n = 2
n = 4
n = 6
H()

Figure 8-10: Magnitude response of an n
th
-order Butterworth filter with 3db cutoff
frequency
c
. The horizontal axis is /
c
. The filter approaches an ideal low-pass filter
as order n becomes large.
B
n n
N
c
=
F
H
G
I
K
J
1
4 2
sin( / )
, n = 1, 2, 3, , (8-56)

Hz. As n , the Butterworth filter approaches the ideal LPF. The limit of (8-56) is

n n
c
n n n
c
B
n
N

=
+
F
H
G
G
I
K
J
J
= limit limit
1
4 2
2
1
3 2
3
1
5 2
5

! !
( ) ( )
(8-57)

as expected.

Chapter 8 - Power Density Spectrum: EE420/500 Class Notes 7/27/2011 John Stensby

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Chapter 8 - Power Density Spectrum: EE420/500 Class Notes 7/27/2011 John Stensby

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EE420/500 Class Notes 7/27/2011 John Stensby

Updates at http://www.ece.uah.edu/courses/ee420-500/ 8-1

if number of Poisson Points in (0, t) is

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