Beruflich Dokumente
Kultur Dokumente
t= 0 ,1,., N
(1)
N N
(3)
N 1
1
N
i 2ml / N
l 0
Ae
i 2pt
(4)
A
N
N 1
i 2ml / N
e i 2 ( n ) l / N
l 0
i 2 ( n m )
N
A 1 e
l
i 2 ( n m )
N
N
1 e
i 2 ( n m )
l
N
A
N
N 1
e
l 0
1 e i 2
l
i 2 ( n m )
N
N 1 e
i 2
1 i 2
and we get
u n ; p A
while when
i 2
1 e
i 2
(5)
mn
u n ; p O
1
.
N
1 e i 1 cos i sin
and
when is small.
1
cos 1 2
2
sin
i 2 ( n m ) l / N
Conclusion: the presence of ei2pt in u(t) produces a rising of the amplitude of the DFT around
n
.
N
y0n = Sn + n , n = 0 , ....N-1
(6)
where Sn is a deterministic signal and n a noise ; to fix the ideas we assume {n} to be a white
noise with a normal distribution
E
n N 0,2
n m
2
nm
(7)
Then we have
1 N 1 i 2kn / N
k n e
N n 0
Ek 0
(8)
2 N 1
2
i
2
(
k
j
)
n
/
N
E j k e
kj
N 2 n 0
N
In addition we assume to know that the signal {Sn} has a spectrum contained into a certain band of
frequencies.
For instance we assume
S 0 , k b ,
i.e. we assume that Sn can be represented as
k
Sn
b 1
S e
k b 1
i 2kn / N
, b
N
2
(9)
y k S k k , k = - M,0,M
(10)
Since we know for sure that
expression
Sk
stim
Recalling that
1
2 M b
k b M
E n2 n
22( M b )
(11)
2 M b
we can conclude that (11) is indeed an unbiased estimator of 2/N, due to (8) and the hypotheses
(7)
Whenever M
N
b , as we assume, we can even claim that the estimator (11) has a negligible
2
2
2
2
2
variance, because n 2n and then n / n 2 / n .
1 2
( 2)
2 2
F2, 2 ( M b )
2 ( M b ) / 2 M b
(12)
This implies that if F is the critical value of the F2,2(M-b) variable, with significance , then all y j
such that
2
2
y j 2 F
N
can be considered as pure noise, or at least we cannot refuse the simple hypothesis that they are
noise.
Accordingly we can determine a threshold L b such that
2
2
y j 2 F
j L
N
and consider all the other Fourier coefficients as pure noise, as shown in Fig.1.
y k
v2
F
N
v2
N
L
Fig.1: signal and noise spectrum with critical value to determine the maximum frequency L below
2
2
which there is signal; notice that only positive frequencies are used because y k y k
Therefore a filter adapted to Fig.1 would be obtained by setting to zero all the coefficients above
| j | >L , i.e. the filtered signal is
Sn
y e
k L
i 2kn / N
(13)
It is also interesting to observe that since (41) can be considered as the anti-DFT of the product of
yk k L
yk 1,k
0 k L
then we can claim, thanks to the convolution theorem, that the same estimator (13) can be
expressed as
N 1
S m Fm n y n
(14)
n 0
where
1
N
Fl
1
k L
L ,k
e i 2kl / N
1
N
i 2kl / N
k L
sin 2
Ll
Ll
N sin 2
cos 2
l
N
N
1 cos 2
N
(15)
(16)
(17)
K (t n)u (n)
(18)
-b
(19)
m L
K (m n)u (n)
(20)
n m L
It is obvious that if L<<N we can compute (20) with the values of u(t) that we have, for every m
such that
L m N1L ,
(21)
i.e. the values
v(m)
m L
K (m n) u (n)
nm L
(22)
(N-1-L)
N =T
u(t)
u(t) = u(0)
K (m n) u~ (n)
~ ( m )
v
(23)
n m L
Then we have
v~(m) v(m)
~
v (m) v(m)
L m N 1 L
0 m L ; N 1 L m N 1
(24)
~ ( m )
in other words v
coincides with v(m) apart from a border of width L.
This is the so called border effect.
~ v
~ ( m )
v
m
(25)
indeed when K() is a symmetric function then basically H is the same as K , otherwise (25)
helps in visualizing (23) which now writes
~
v
m
m L
n m L
n m
~
u
n
(26)
Let us take a value m < L and split (26) into two pieces
~
v
m
m L
n m L
n 0
H nm u~n H nm u~n
(27)
-L n < 0 .
~
H n H n N
~
H n H n
Ln0
0nL
(28)
~
Hn
Hn
-L
L
N-L
Fig.5 : the periodized Hn
that, if L < N L , 2L < N , then there is no overlapping of Hn with its replica and in the interval
between L and N L , Hn is equal to zero because of the hypothesis (19).
With such definitions, (27) can be written as
~
v
m
m L
H nmu~n
n 0
N 1
n N m L
nm
~
u
n
(29)
(30)
(31)
(32)
n 0
which can be interpreted as wrapping up equation (18) on the circle, because of the periodization of
Kn and un.
~
As we said, when (19) holds true, (32) yields v
m values which practically coincide with vm in the
central interval L < m < N L.
u~n
H nm
m-L n-m 0
~
H nm
un
N+m-L N N+m
N+n-m
1 N 1
f nm g n
N n 0
m = 0, 1, N-1
(33)
be its discrete convolution product ; then the corresponding coefficients of the DFT, fk , g k , hk
satisfy the simple relation
hk fk g k
(34)
Proof: we prove (34) for the complex DFT coefficients, assuming, for the sake of simplicity, that
N = 2 M + 1.
In fact we have
N 1
1
hk
N
1
i 2km / N
m 0
n 0 N
N 1
N 1
N 1
1
N
f
n 0
mn
gn
;
i 2k ( m n ) / N
f m n e
m0
i 2kn / N
(35)
gn
Now observing that ei2k(m-n)/N and fm-n are both periodic of period N in the index m , we have
N 1
1
N
1
N
i 2k ( m n ) / N
m 0
N 1
i 2km / N
m 0
f m n
1
N
n N 1
i 2km / N
m n
f m fm
fm
(36)
so that
1
fk
N
N 1
g
n 0
e i 2kn / N g k
. (37)
Then we have
1
hm
N
N 1
g
n 0
nm
gn
(38)
e i 2km / N hk
k M
k M
2
k
e i 2km / N
(39)
1
N
N 1
n 0
gn
k M
2
k
(40)
f
a k ibk
k
k c k id k
g
h
p k iq k
k
ak
ck
pk
Re f
k
k
Re g
Re h
bk
dk
qk
Im f
k
k
Im g
Im h
so that
N 2M 1
M
kn
kn
f n a0 2 a k cos 2 bk sin 2
N
N
k 1
and similarly for the other functions, from (34) we have directly
pk a k ck bk d k
q k a k d k bk ck
(41).
To conclude we can go back to the original problem of computing (16) on the basis of the sample
(17).
~ (t )
~
The answer is that we approximate v(t) with a periodic function v
, with samples v
m
computed as (cfr.(32))
T N 1 ~ ~
v~m
K mn u n
N n 0
so that
~ t
v
e i 2kt / T v~k T
k M
i 2kt / T
k M
~
~
.
Kku
k
(42)
and in particular
~ T
v
m
i 2km / T
k M
~
~
Kku
k
(43)
~
are exactly the DFT coefficients that we are able to compute from the
We can observe that u
k
~
can be computed as well from the analytic expression of K() after we put
sample (17) and K
k
~
K (t ) K (t ) K (T t )
t 0, T
(44)
It has to be stressed that the idea of computing the convolution (16) through a DFT becomes
extremely fruitful when we take a sample of N = 2Q points because in this case we can use the so
called Fast Fourier Transform, which is an algorithm performing the DFT and its inverse in an
extremely short time, i.e. a time of the order of O(N logN) .