The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007

Page 1
2. Convolution, Autocorrelation, Cross-Correlation, Power Spectrum
2.1. Convolution
Motivation:
consider a quantity to be measured, e.g. a signal voltage
the measuring device (e.g. amplifier) does not have an instantaneous repsonse
as long as it is linear (no saturation etc.), the measured value will only depend on the
singal voltages, but of some average over a "time window", and not just its
instantaneous value
the "weighting function" in the averaging is called the "response function". It gives
the output of the measuring device in response to a sharp input pulse
mathematically, the output of the measurement device is the convolution of the signal
with the response function
Definition:
given to functions f x) , g x)
their convolution is h x)=

+
f x ' ) g xx ' ) dx '
or:
optical imaging (e.g. telescope): the image intensity at a given location is the
convolution of the object intensity with the "point-spread-function" (i.e. the response
function) of the telescope
math_conv_1.odt
signal value at time
t'
response function of
measurement
device,
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
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Convolution:
graphical representation
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
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" "-notation for convolution: (beware: not self-consistent, see below)
h= f g
or h x)= f x)g x) , caution: better h x)= f .)g .)
x
convolution is
commutative:
gf =

+
g x ' ) f xx ' ) dx ' =
|

+
u=xx ' |
+

; du=dx '

finity
+
g xu) f u) du=f g
associative:
f gh)= f g)h
distributive
f g+h)= f g+ f h
This justifies " "-notation, similar to multiplication
math_conv_2.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 4
Warning: inconsistency of notation:
e.g. scaling the functions:
f x) - F x)= f ax)
g x) - G x)=g ax)
this suggests:
h= f g - FG=
?
hax )
but:
FG=

+
f ax ' ) g a xx ' )) dx ' =
|

+
z=ax ' |

+
dz=adx '

1
a

+
f z ) g axz ) dz=
1
a
hax )
hence:
h=f g - FG=
1
a
h ax )
i.e. in proper " "-notation:
H x)=F.)G.)
x
=
1
a
f a.)g a.)
ax
math_conv_3.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
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convolution
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 6
2.2.1 Cross-correlation
instead of convlution, where one function is "mirrored" prior to calculating the overlap, one
defines the
cross-correlation f x)=g h=

+
gux) hu) du=g.)h.) .
common notation: instead of " ", use "pentagram" (five cornered star"
math_conv_3a.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 7
2.2.2 convolution - analytical example: radioactive decay / daughter products
with
E x)=

e
x
, x0
0, x0
; f x)=aEo x) , g x)=bE x)
f x)g x) = aEo x) bE x) = ab

+
E ou) Exu) du =

ab
0
x
e
ou
e
xu)
du , x0
0, x0
and with
ab
0
x
e
ou
e
xu)
du = ab e
x

0
x
e
o) u
du = ab e
x 1
o
e
o) x
1) = ab
Eo x)E x)
o
f x)g x) =

ab
o
Eo x)E x)) , x0
0, x0
;
note: for o= :
f x)g x)=abx e
o x
for x1 : f x)g x)
ab
o
1o x1+ x) =abx
for x1 : f x)g x)

ab
o
e
x
, o
ab
o
e
o x
, o
math_conv_4.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 8
2.2 Autocorrelation Function (AC)
convolution of a function with itself: f f =

+
f u) f xu) du , or rather
no mirroring before convolution:
definition autocorrelation function (AC) A x)= f f =

+
f u) f ux) du
Motivation: consider time series of measured values f t )
its mean value is f =

f = lim
T -
1
T

T / 2
+T / 2
f t ) dt
its variance f
2
= lim
T -
1
T

T /2
+T /2
f
2
t) dt (mean square deviation)
Question: how much does f(t) deviate in average from its mean after a time At ?
Answer:
f t )f t +At ))
2
= f
2
t )+ f
2
t+At )

stationary
2 f t ) f t +At )
=2 f
2
f t ) f t+At )

AC(except for normaliz.)

)
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 9
note: AC is even, A x)=Ax)
proof:
Ax)=

+
f u) f u+x) du =

+
f wx) f w) dw
|

+
w=u |

+
+x ; wx=u ; dw=du
=A x)
q.e.d.
note: in case f x) is complex valued, the substitution as above implies
A x)=

+
f u) f
*
ux) du=

+
f
*
u) f u+x) du
caution: * in wrong place implies conjugate complex of AC!!!
math_conv_6.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 10
as an even function, A x) has an extremum at x=0 . We suspect this to be a maximum,
because x=0 implies largest overlap of f x ) with itself.
To prove that A x)A0) , x0 consider (Schwarz's unequality):
0

+
|
f u)+c f u+x)

2
du =

+
f
2
u) du + c
2

+
f
2
u+x) du + 2c

+
f u) f u+x) du ,
i.e. witho=A0)=

+
f
2
u) du , =A x)=

+
f u) f u+x) du
gc)=c
2
+
2
o
c+1>0
Thus, the discriminant of this quadratic equation is

o
)
2
1=

A x)
A 0)
)
2
1 , has to be negative
(no real solutions of quadratic equation), i.e. A x)A0) , q.e.d.
With this result, we can normalize the AC and define
normalized AC a x)=
A x)
A 0)
=

+
f
*
u) f u+x) du

+
f
*
u) f u) du
, with a0)=1
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 11
Example:
f x)=

0, x0
1x , 0x1
0, x>0
for
x>0
:

+
f u) f u+x) du =

0
1x
1u)1ux) du =

0
1x
|1x)u2x)+u
2
du
= | 1x) u
0
1x
2x)
u
2
2

0
1x
+
1
3
u
3

0
1x
= 1x)
2
2x )
1x)
2
2
+
1
3
1x)
3
= 1x)
2
|
1
2x
2
+
1
3
1x)

= 1x)
2

1
3
+
x
6
)=
1
6
1x)
2
2+x)
=
1
3

x
2
+
x
3
6
i.e. A x)=

1
3

x
2
+
x
3
6
, 1x1
0, x>1
, and A 0)=
1
3
hence: a x)=

1
3x
2
+
x
3
2
, 1x1
0, x>1
math_conv_8.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 12
2.2.32.2. Autocorrelation-function in the limit
for functions, where the integral

f u) f u+x ) du does not converge, we follow an

approach similar to that outlined for the "FT in the limit". This applies to e.g. signals with a
mean value s0 , or for sine- and cosine-shaped signals:
define instead of st ) a truncated function s
T
t )=

s t ) , t<T / 2
0, t>T / 2

with this

+
s
T
u) s
T
*
u) du =
T / 2
+T / 2
s u) s
*
u) du ,
and for
t >0
,

+
s
T
u) s
T
*
u+t ) du =

T / 2+t
+T /2
s u) s
*
u+t ) du
=

T / 2
+T / 2
s u) s
*
u+t ) du

T / 2
T / 2+t
s u) s
*
u+t ) du

T /2
+T /2
su) s
*
u+t ) duO
t
T
) T
so that at )=lim
T -

T /2
+T /2
s u) s
*
u+t ) du

T / 2
+T / 2
s u) s
*
u) du

lim
T -
|
AC of s
T
t )

+ lim
T -
O
t
T
)

=0
"normalized AC in the limit"
math_conv_9.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 13
Example:
s t )=Asinot +u)+Bsin t +!) ,o
we get

T / 2
+T / 2
s t ' ) st ' +t ) dt ' =
T / 2
+T / 2
| Asin ot ' +u) Asin ot ' +ot +u)+Bsint ' +!) Bsint ' +t+!)
+ABsinot ' +u) sint ' t +!)+sin ot ' +ot +u) sin t ' +!)) dt '
now:
sin x) sin x+y)=sin x | sin x cos y+cos x sin y
=sin
2
x cos y+sin x cos x sin y
=
1
2
1cos 2x) cos y+sin x cos x sin y
=
1
2
cos y+oscilating terms in x , with mean =0
Thus:

T / 2
+T / 2
s t ' ) st ' +t ) dt ' =
A
2
2
T cosot )+
B
2
2
T cos t )+oscillating terms
and for t =0 :

T /2
+T /2
s t ' ) st ' ) dt ' =
A
2
2
T +
B
2
2
T +oscillating terms .
math_conv_10.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 14
And
at )=lim
T -

T / 2
+T / 2
s t ' ) s t ' +t )' dt '

T / 2
+T / 2
s t ' ) s t ' ) ' dt '
=
A
2
cos ot ) + B
2
cos t )
A
2
+ B
2
Notice: in the autocorrelation-function of the signals all information on the phase is lost !
Different notation (no normalization of AC-function,
but we need a de-nominator increasing proportional to T ):
"two-point correlation function
g t) = lim
T -
1
T

T /2
+T /2
s t ' ) s T ' +t) dt ' = s t ' ) s t ' +t)
t '
,
where the mean-value is defined, as usual .=lim
T -
1
T

T / 2
+T / 2
. dt '
math_conv_11.odt
The Fourier Transform and its Applications, Jrgen Stutzki, Sommersemester 2007
Page 15
2.4. Power-spectrum
with a function f x) and its Fourier-Transform F s) , we define
the power spectrum P s)=F s)
2
physics tells us: amplitude squared energy/power at frequency s
note:
1) f x) real valued,
i.e. f x)= f
*
x ) F s) is hermitean, i.e. F
*
s)=Fs )
,
hence:
F s )
2
= F s ) F
*
s) = F s ) F s) = P s)
and:
Ps) = Fs) F s) =F s)
2
= Ps )
, i.e. P s) is even
2) like with the autocorrelation function at ) , the phase information is lost in P s)
math_conv_12.odt