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Assume you have a long series of data

u(t)

t= 0 ,1,., N

(1)

u(t) = A e i2pt + (t) (2)

with a non rational frequency p, i.e.

n

n 1

p

,

N

N

N N

(3)

u (m)

N 1

1

N

i 2ml / N

l 0

Ae

i 2pt

(4)

u ( m; p )

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

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

Hint : use

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

Assume we have sample data

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)

This problem has already been analysed and solved by testing theory, after a solution via least

squares of the model (6), (9).

Here we go back to the same problem and give a simple solution to it, directly in the frequency

domain, i.e. by representing (6) in terms

of DFT

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 .

Since

2

2

j (22 ) ,

N

even for | j | b we can always consider the hypothesis

H 0 : Sj = 0

|j| N

which can be tested by the ratio

2

1

j

2

M

1

k

2 M b k b 1

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)

We have a function u(t) defined on R1 and a kernel K(t-t) and we want to compute the so called

integral convolution

v (t )

(16)

u(0), u(), u(2)..u((N-1)) .

(17)

v (t )

K (t n)u (n)

(18)

-b

so that we can assume

(19)

v ( m)

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

moving the center of K() between L and T - (L+1)

Now take a periodic repetition of u(t) as in Fig.4; the periodization of u(t), (n), will coincide

with u(t) for (0 k N-1, t=k) , but it will be different from u(t) when k < 0 and k N.

u(t)

u(t) = u(0)

Let us now compute

m L

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.

H n K ( n ) K n

~ u

~ ( n)

u

n

~ 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)

n = N+n

-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)

N 1

~

~

v

H nm u~n

m

n 0

(30)

~

~

K n H n

(31)

N 1

~

~

v

K mn u~n

m

(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

Equation (32) constitutes the so called discrete convolution for periodic functions; for such an

operation a fundamental theorem in DFT theory holds.

Theorem 1 (convolution theorem):

Let fn, gn, (n=0,1,., N-1) be two regular samples of periodic functions, on the interval [0,1], and

let

hm

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

Corollary 1 : we can prove Parcevals identity as a corollary of the convolution theorem

Proof: in fact take in (33) (34)

fn = g-n

(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)

hm

e i 2km / N hk

k M

k M

2

k

e i 2km / N

(39)

h0

1

N

N 1

n 0

gn

k M

2

k

(40)

Corollary 2 : when f, g are real functions, as we have always assumed, we might be willing to

represent the convolution theorem in terms of real DFT and real coefficients.

If we put

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) .

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