Correlation, ESD

Introduction
• Relationships between signals can be just as

Correlation, Energy Spectral important as characteristics of individual
Density and Power signals
Spectral Density • The relationships between excitation and/or
response signals in a system can indicate the
Chapter 8 nature of the system
5/2/05 M. J. Roberts - All Rights Reserved. Edited by Dr. Robert Akl 2
Flow Velocity Measurement Correlograms

Signals
Heater
Correlogram
Two Highly
Negatively
Correlated
DT Signals
Thermometer
The relative timing of the two signals, p(t) and T(t),

and the distance, d, between the heater and thermometer
together determine the flow velocity.
5/2/05 M. J. Roberts - All Rights Reserved. Edited by Dr. Robert Akl 3 5/2/05 M. J. Roberts - All Rights Reserved. Edited by Dr. Robert Akl 4
Correlograms Correlograms
Signals Signals
Correlogram Correlogram
Two
Two Partially
Uncorrelated
Correlated
CT Signals
DT Signals
1
Correlograms Correlograms
Signals
DT Sinusoids With CT Sinusoids With
Correlogram a Time Delay a Time Delay
Signals Signals
These two CT
signals are not Correlogram Correlogram
strongly
correlated but
would be if one
were shifted in
time the right
amount
Correlograms The Correlation Function

Positively Uncorrelated DT Negatively
Signals
Correlated DT Sinusoids with Correlated DT
Correlogram Sinusoids with Zero Zero Mean Sinusoids with Zero
Mean Mean
Two Non-
Linearly Related
DT Signals
The Correlation Function The Correlation Function

Positively Uncorrelated Random Negatively Positively Uncorrelated CT Negatively
Correlated Random CT Signals with Correlated Random Correlated CT Sinusoids with Correlated CT
CT Signals with Zero Mean CT Signals Sinusoids with Non- Non-zero Mean Sinusoids with Non-
Zero Mean with Zero Mean zero Mean zero Mean
2
The Correlation Function Correlation of Energy Signals
Positively Uncorrelated Random Negatively
The correlation between two energy signals, x and y, is
Correlated Random DT Signals with Correlated Random
the area under (for CT signals) or the sum of (for DT
DT Signals with Non-zero Mean DT Signals
signals) the product of x and y.
Non-zero Mean with Non-zero Mean
" "
# x(t ) y (t )dt
*
or # x[n]y [n] *
!" n=!"
The correlation function between two energy signals, x

and y, is the area under (CT) or the sum of (DT) their
product as a function of how much y is shifted relative to
x. # "
R xy (! ) = $ x(t ) y* (t + ! )dt or R xy [ m ] = # x[n ] y [n + m]
*
"# n=!"
Correlation of Energy Signals Correlation of Power Signals

The correlation function for two energy signals is very similar The correlation function between two power signals, x
to the convolution of two energy signals. and y, is the average value of their product as a function
$ # of how much y is shifted relative to x.
x( t ) ! y( t ) = % x(t " # )y(# )d# or x[ n ] ! y[n ] = $ x[n " m ]y[m ] 1 1
"$ m="# R xy (! ) = lim
T"# T $T
x(t ) y * (t + ! )dt or R xy [ m ] = lim
N !" N
# x[n]y*[n + m]
Therefore it is possible to use convolution to find the correlation n= N
function. If the two signals are both periodic and their fundamental
R xy (! ) = x( "! ) # y(! ) or R xy [ m ] = x[!m] " y[ m ] periods have a finite least common period,
1 1
N n=!N
R xy (! ) = x(t ) y(t + ! )dt or R xy [ m ] = x[ n ] y[n + m ]
T "T
It also follows that
R xy (! ) "$# X ( f ) Y( f )
F *
or R xy [ m ]!#" X ( F ) Y( F )
F *
where T or N is any integer multiple of that least common
period.
Correlation of Power Signals Correlation of Power Signals

Correlation of periodic signals is very similar to periodic
convolution
x( "! ) y(! ) x[!m] y[ m]
R xy (! ) = or R xy [ m ] =
T N
R xy (! ) "$
FS
# X*[ k ] Y[ k ] or R xy [ m ]!#
FS
" X* [ k ] Y[ k ]
where it is understood that the period of the periodic

convolution is any integer multiple of the least common
period of the two fundamental periods of x and y.
3
Autocorrelation
Correlation of Sinusoids A very important special case of correlation is
autocorrelation. Autocorrelation is the correlation of a
function with a shifted version of itself. For energy signals,
# "
• The correlation function for two sinusoids of

R xx (! ) = $ x(t ) x(t + ! )dt or R x x[m ] = # x[n]x[n + m]
"# n=!"
different frequencies is always zero. (pp. At a shift, τ or m, of zero,

588-589) " "
R xx ( 0 ) = # x (t )dt
2
or R x x[0] = # x [n ]
2
!" n=!"
which is the signal energy of the signal. For power signals,

1 1
N n=#N
R xx ( 0 ) = lim x 2 (t )dt R x x [ 0 ] = lim x 2 [n ]
T #T
or
T!" N !"
which is the average signal power of the signal.

Properties of Autocorrelation Autocorrelation Examples

Autocorrelation is an even function.
Three different
random DT
R xx (! ) = R xx ( "! ) or R xx [ m ] = R xx [!m]
signals and their
autocorrelations.
Autocorrelation magnitude can never be larger than it is at
Notice that, even
zero shift.
though the
R xx (0) ! R xx (" ) or R xx [0] ! R xx [ m] signals are
different, their
autocorrelations
If a signal is time shifted its autocorrelation does not change.
are quite similar,
all peaking
The autocorrelation of a sum of sinusoids of different
sharply at a shift
frequencies is the sum of the autocorrelations of the
of zero.
individual sinusoids.
Autocorrelation Examples Autocorrelation Examples

Autocorrelations for a cosine “burst” and a sine “burst”.
Notice that they are almost (but not quite) identical.
4
Matched Filters Matched Filters
It has been shown
that the optimal
• A very useful technique for detecting the filter to detect a
presence of a signal of a certain shape in the noisy signal is one
whose impulse
presence of noise is the matched filter. response is
• The matched filter uses correlation to detect proportional to the
time inverse of the
the signal so this filter is sometimes called a signal. Here are
correlation filter some examples of
waveshapes
• It is often used to detect 1’s and 0’s in a encoding 1’s and
binary data stream 0’s and the impulse
responses of
matched filters.
Matched Filters Autocorrelation Examples

Noiseless Bits Noisy Bits
Even in the presence of
a large additive noise
signal the matched filter
indicates with a high
response level the
Two familiar DT
presence of a 1 and with
signal shapes and
a low response level the their autocorrelations.
presence of a 0. Since
the 1 and 0 are encoded
as the negatives of each
other, one matched filter
optimally detects both.

Autocorrelation functions for a cosine and a sine. Notice
Three random power signals with different frequency content that the autocorrelation functions are identical even though
and their autocorrelations. the signals are different.
5
• One way to simulate a random signal is with
a summation of sinusoids of different Let a random signal be described by
frequencies and random phases N
x( t ) = # Ak cos( 2!f0k t + " k )
• Since all the sinusoids have different k =1
frequencies the autocorrelation of the sum is Since all the sinusoids are at different frequencies,
simply the sum of the autocorrelations N
R x (! ) = " R k (! )
• Also, since a time shift (phase shift) does not k =1
affect the autocorrelation, when the phases where R k (! ) is the autocorrelation of Ak cos( 2!f0 k t + " k ) .
are randomized the signals change, but not
their autocorrelations
Four Different Four Different

Random Signals Random Signals
with Identical with Identical
Autocorrelations Autocorrelations
Four Different Four Different

Random Signals Random Signals
with Identical with Identical
Autocorrelations Autocorrelations
6
Cross Correlation Cross Correlation
Cross correlation is really just “correlation” in the cases in
which the two signals being compared are different. The A comparison of x and y with y shifted for maximum
name is commonly used to distinguish it from autocorrelation. correlation.
Cross Correlation Correlation and the Fourier Series

Below, x and z are highly positively correlated and x and y are
uncorrelated. All three signals have the same average signal
power. The signal power of x+z is greater than the signal power Calculating Fourier series harmonic functions can be thought
of x+y. of as a process of correlation. Let
c(t ) = cos( 2! ( kf0 )t ) and s( t ) = sin( 2! ( kf0 )t )
Then the trigonometric CTFS harmonic functions are
Xc [ k ] = 2 R xc ( 0) , X s [ k ] = 2 R xs ( 0 )
Also, let
z(t ) = e + j 2! ( kf 0 )t
then the complex CTFS harmonic function is
X[ k ] = R xz ( 0)
Energy Spectral Density Energy Spectral Density

The total signal energy in an energy signal is Probably the most important fact about ESD is the
" "
relationship between the ESD of the excitation of an LTI
"
# x( t ) # X( f ) # x[n] = $ X(F ) system and the ESD of the response of the system. It can be
2 2
Ex =
2 2
Ex = dt = df or dF
!" !" n=!"
1 shown (pp. 606-607) that they are related by
!y ( f ) = H( f ) !x ( f ) = H( f ) H* ( f )!x ( f )
2
The quantity, X( f ) , or X( F ) , is called the energy spectral
2 2
density (ESD) of the signal, x and is conventionally given the or

symbol, Ψ. That is,
!y ( F ) = H( F ) !x ( F ) = H( F ) H* ( F )!x ( F )
2
!x ( f ) = X( f ) !x ( F ) = X( F )
2 2
or
It can be shown that if x is a real-valued signal that the ESD is

even, non-negative and real.
7
Energy Spectral Density Energy Spectral Density
It can be shown (pp. 607-608) that, for an energy signal,

ESD and autocorrelation form a Fourier transform pair.
R x ( t ) !#
F
" $x ( f ) R x [ n ]!# " $x ( F )
F
or
Power Spectral Density PSD Concept

Power spectral density (PSD) applies to power signals in
the same way that energy spectral density applies to
energy signals. The PSD of a signal x is conventionally
indicated by the G x( f )
notation, G x ( F ) or . In an LTI
system,
G y ( f ) = H( f ) G x ( f ) = H( f ) H ( f ) G x ( f )
2 *
or
G y ( F ) = H( F ) G x ( F ) = H( F ) H* ( F ) G x ( F )
2
Also, for a power signal, PSD and autocorrelation form a

Fourier transform pair.
R(t ) !#"[ G( f )] or R[n ] !#" G( F )
F F
Typical
Signals in
PSD
Concept
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Introduction

• Relationships between signals can be just as

5/2/05 M. J. Roberts - All Rights Reserved. Edited by Dr. Robert Akl 2

Flow Velocity Measurement Correlograms

The relative timing of the two signals, p(t) and T(t),

Correlograms The Correlation Function

The Correlation Function The Correlation Function

The correlation function between two energy signals, x

Correlation of Energy Signals Correlation of Power Signals

Correlation of Power Signals Correlation of Power Signals

where it is understood that the period of the periodic

• The correlation function for two sinusoids of

different frequencies is always zero. (pp. At a shift, τ or m, of zero,

which is the signal energy of the signal. For power signals,

which is the average signal power of the signal.

Properties of Autocorrelation Autocorrelation Examples

Autocorrelation Examples Autocorrelation Examples

Matched Filters Autocorrelation Examples

Autocorrelation Examples Autocorrelation Examples

Autocorrelation Examples Autocorrelation Examples

Four Different Four Different

Autocorrelation Examples Autocorrelation Examples

Four Different Four Different

Cross Correlation Correlation and the Fourier Series

Energy Spectral Density Energy Spectral Density

density (ESD) of the signal, x and is conventionally given the or

It can be shown that if x is a real-valued signal that the ESD is

It can be shown (pp. 607-608) that, for an energy signal,

Power Spectral Density PSD Concept

Also, for a power signal, PSD and autocorrelation form a

5/2/05 M. J. Roberts - All Rights Reserved. Edited by Dr. Robert Akl 47

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