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Spectral density
From Wikipedia, the free encyclopedia

In statistical signal processing and physics, the spectral density, power spectral density (PSD), or energy
spectral density (ESD), is a positive real function of a frequency variable associated with a stationary
stochastic process, or a deterministic function of time, which has dimensions of power per Hz, or energy per
Hz. It is often called simply the spectrum of the signal. Intuitively, the spectral density captures the
frequency content of a stochastic process and helps identify periodicities.

Contents
1 Explanation
2 Definition
2.1 Energy spectral density
2.2 Power spectral density
2.3 Cross-spectral density
3 Estimation
4 Properties
5 Related concepts
6 Applications
6.1 Electronics engineering
6.2 Coherence
7 See also
8 References

Explanation
In physics, the signal is usually a wave, such as an electromagnetic wave, random vibration, or an acoustic
wave. The spectral density of the wave, when multiplied by an appropriate factor, will give the power
carried by the wave, per unit frequency, known as the power spectral density (PSD) of the signal. Power
spectral density is commonly expressed in watts per hertz (W/Hz)[1] or dBm/Hz.

For voltage signals, it is customary to use units of V2Hz−1 for PSD, and V2sHz−1 for ESD[2] or dBμV/Hz.

For random vibration analysis, units of g2Hz−1 are sometimes used for acceleration spectral density.[3]

Although it is not necessary to assign physical dimensions to the signal or its argument, in the following
discussion the terms used will assume that the signal varies in time.

Definition
Energy spectral density

The energy spectral density describes how the energy (or variance) of a signal or a time series is distributed
with frequency. If f(t) is a finite-energy (square integrable) signal, the spectral density Φ(ω) of the signal is

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the square of the magnitude of the continuous Fourier transform of the signal (here energy is taken as the
integral of the square of a signal, which is the same as physical energy if the signal is a voltage applied to a
1-ohm load, or the current).

where ω is the angular frequency (2π times the ordinary frequency) and F(ω) is the continuous Fourier
*
transform of f(t), and F (ω) is its complex conjugate.

If the signal is discrete with values fn, over an infinite number of elements, we still have an energy spectral
density:

where F(ω) is the discrete-time Fourier transform of fn.

If the number of defined values is finite, the sequence does not have an energy spectral density per se, but
the sequence can be treated as periodic, using a discrete Fourier transform to make a discrete spectrum, or it
can be extended with zeros and a spectral density can be computed as in the infinite-sequence case.

The continuous and discrete spectral densities are often denoted with the same symbols, as above, though
their dimensions and units differ; the continuous case has a time-squared factor that the discrete case does
not have. They can be made to have equal dimensions and units by measuring time in units of sample
intervals or by scaling the discrete case to the desired time units.

As is always the case, the multiplicative factor of 1 / 2π is not absolute, but rather depends on the particular
normalizing constants used in the definition of the various Fourier transforms.

Power spectral density

The above definitions of energy spectral density require that the Fourier transforms of the signals exist, that
is, that the signals are integrable/summable or square-integrable/square-summable. (Note: The integral
definition of the Fourier transform is only well-defined when the function is integrable. It is not sufficient for
a function to be simply square-integrable. In this case one would need to use the Plancherel theorem.) An
often more useful alternative is the power spectral density (PSD), which describes how the power of a
signal or time series is distributed with frequency. Here power can be the actual physical power, or more
often, for convenience with abstract signals, can be defined as the squared value of the signal, that is, as the
actual power dissipated in a load if the signal were a voltage applied to it. This instantaneous power (the
mean or expected value of which is the average power) is then given by

P(t) = s(t)2

for a signal s(t).

Since a signal with nonzero average power is not square integrable, the Fourier transforms do not exist in this
case. Fortunately, the Wiener–Khinchin theorem provides a simple alternative. The PSD is the Fourier

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transform of the autocorrelation function, R(τ), of the signal if the signal can be treated as a wide-sense
stationary random process.[4]

This results in the formula,

The ensemble average of the average periodogram when the averaging time interval T→∞ can be proved
(Brown & Hwang[5] ) to approach the Power Spectral Density (PSD):

The power of the signal in a given frequency band can be calculated by integrating over positive and
negative frequencies,

The power spectral density of a signal exists if and only if the signal is a wide-sense stationary process. If the
signal is not stationary, then the autocorrelation function must be a function of two variables, so no PSD
exists, but similar techniques may be used to estimate a time-varying spectral density.

The power spectrum G(f) is defined as[6]

Cross-spectral density

"Just as the Power Spectral Density (PSD) is the Fourier transform of the auto-covariance function we may
define the Cross Spectral Density (CSD) as the Fourier transform of the cross-covariance function."[7]

Estimation
Main article: Spectral density estimation

The goal of spectral density estimation is to estimate the spectral density of a random signal from a sequence
of time samples. Depending on what is known about the signal, estimation techniques can involve parametric
or non-parametric approaches, and may be based on time-domain or frequency-domain analysis. For
example, a common parametric technique involves fitting the observations to an autoregressive model. A
common non-parametric technique is the periodogram.

The spectral density is usually estimated using Fourier transform methods, but other techniques such as
Welch's method and the maximum entropy method can also be used.

Properties

The spectral density of f(t) and the autocorrelation of f(t) form a Fourier transform pair (for PSD

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versus ESD, different definitions of autocorrelation function are used).

One of the results of Fourier analysis is Parseval's theorem which states that the area under the energy
spectral density curve is equal to the area under the square of the magnitude of the signal, the total
energy:

The above theorem holds true in the discrete cases as well. A similar result holds for the total power in
a power spectral density being equal to the corresponding mean total signal power, which is the
autocorrelation function at zero lag.

Related concepts
Most "frequency" graphs really display only the spectral density. Sometimes the complete frequency
spectrum is graphed in 2 parts, "amplitude" versus frequency (which is the spectral density) and
"phase" versus frequency (which contains the rest of the information from the frequency spectrum).
The signal f(t) can be recovered from complete frequency spectrum. Note that the signal f(t) cannot
be recovered from the spectral density part alone — the "temporal information" is lost.

The spectral centroid of a signal is the midpoint of its spectral density function, i.e. the frequency that
divides the distribution into two equal parts.

The spectral edge frequency of a signal is an extension of the previous concept to any proportion
instead of two equal parts.

Spectral density is a function of frequency, not a function of time. However, the spectral density of
small "windows" of a longer signal may be calculated, and plotted versus time associated with the
window. Such a graph is called a spectrogram. This is the basis of a number of spectral analysis
techniques such as the short-time Fourier transform and wavelets.

In radiometry and colorimetry (or color science more generally), the spectral power distribution (SPD)
of a light source is a measure of the power carried by each frequency or "color" in a light source. The
light spectrum is usually measured at points (often 31) along the visible spectrum, in wavelength space
instead of frequency space, which makes it not strictly a spectral density. Some spectrophotometers
can measure increments as fine as 1 or 2 nanometers. Values are used to calculate other specifications
and then plotted to demonstrate the spectral attributes of the source. This can be a helpful tool in
analyzing the color characteristics of a particular source.

Applications
Electronics engineering

The concept and use of the power spectrum of a signal is fundamental in electronic engineering, especially in
electronic communication systems (radio & microwave communications, radars, and related systems). Much
effort has been made and millions of dollars spent on developing and producing electronic instruments called
"spectrum analyzers" for aiding electronics engineers, technologists, and technicians in observing and
measuring the power spectrum of electronic signals. The cost of a spectrum analyzer varies according to its
bandwidth and its accuracy.

The spectrum analyzer measures essentially the magnitude of the short-time Fourier transform (STFT) of an
input signal. If the signal being analyzed is stationary, the STFT is a good smoothed estimate of its power

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spectral density.

Coherence

See Coherence (signal processing) for use of the cross-spectral density.

See also
Noise spectral density
Spectral density estimation
Spectral efficiency
Colors of noise
Spectral leakage
Window function
Frequency domain
Frequency spectrum
Bispectrum

References
1. ^ Gérard Maral (2003). VSAT Networks (http://books.google.com/books?id=CMx5HQ1Mr_UC&
pg=PR20&dq=%22power+spectral+density%22+W/Hz&lr=&as_brr=0&
ei=VYwvSImyA4L4sQPxxJXzAg&sig=-bko0DhmJwzISN6PcHszF9E3qUE#PPR20,M1) . John Wiley
and Sons. ISBN 0470866845. http://books.google.com/books?id=CMx5HQ1Mr_UC&pg=PR20&
dq=%22power+spectral+density%22+W/Hz&lr=&as_brr=0&ei=VYwvSImyA4L4sQPxxJXzAg&
sig=-bko0DhmJwzISN6PcHszF9E3qUE#PPR20,M1.
2. ^ Michael Peter Norton and Denis G. Karczub (2003). Fundamentals of Noise and Vibration Analysis
for Engineers (http://books.google.com/books?id=jDeRCSqtev4C&pg=PA352&
dq=%22power+spectral+density%22+%22energy+spectral+density%22&lr=&as_brr=3&
ei=i3IvSLL6H4-KsgPfze13&sig=RJgA8uGocYf5d6mC6rKKS-X_2bc) . Cambridge University Press.
ISBN 0521499135. http://books.google.com/books?id=jDeRCSqtev4C&pg=PA352&
dq=%22power+spectral+density%22+%22energy+spectral+density%22&lr=&as_brr=3&
ei=i3IvSLL6H4-KsgPfze13&sig=RJgA8uGocYf5d6mC6rKKS-X_2bc.
3. ^ Alessandro Birolini (2007). Reliability Engineering (http://books.google.com
/books?id=xPIW3AI9tdAC&pg=PA83&dq=acceleration-spectral-density+g+hz&as_brr=3&
ei=q24xSpKOBZXkzASPrs39BQ) . Springer. p. 83. ISBN 9783540493884. http://books.google.com
/books?id=xPIW3AI9tdAC&pg=PA83&dq=acceleration-spectral-density+g+hz&as_brr=3&
ei=q24xSpKOBZXkzASPrs39BQ.
4. ^ Dennis Ward Ricker (2003). Echo Signal Processing (http://books.google.com
/books?id=NF2Tmty9nugC&pg=PA23&
dq=%22power+spectral+density%22+%22energy+spectral+density%22&lr=&as_brr=3&
ei=HZMvSPSWFZyStwPWsfyBAw&sig=1ZZcHwxXkErvNXtAHv21ijTXoP8#PPA23,M1) .
Springer. ISBN 140207395X. http://books.google.com/books?id=NF2Tmty9nugC&pg=PA23&
dq=%22power+spectral+density%22+%22energy+spectral+density%22&lr=&as_brr=3&
ei=HZMvSPSWFZyStwPWsfyBAw&sig=1ZZcHwxXkErvNXtAHv21ijTXoP8#PPA23,M1.
5. ^ Robert Grover Brown & Patrick Y.C. Hwang (1997). Introduction to Random Signals and Applied
Kalman Filtering (http://www.amazon.com/Introduction-Random-Signals-Applied-Filtering
/dp/0471128392/ref=sr_1_1?ie=UTF8&s=books&qid=1263039813&sr=1-1) . John Wiley & Sons.
ISBN 0471128392. http://www.amazon.com/Introduction-Random-Signals-Applied-Filtering
/dp/0471128392/ref=sr_1_1?ie=UTF8&s=books&qid=1263039813&sr=1-1.
6. ^ An Introduction to the Theory of Random Signals and Noise, Wilbur B. Davenport and Willian L.
Root, IEEE Press, New York, 1987, ISBN 0-87942-235-1
7. ^ http://www.fil.ion.ucl.ac.uk/~wpenny/course/course.html, chapter 7

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