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Densidade Espectral e Sistema Linear Invariante No Tempo
Densidade Espectral e Sistema Linear Invariante No Tempo
n=
X
Rx (n)ej2f n ,
n=
1
1
f
2
2
f1
f1
White noise
Band-limited white noise: A zero-mean WSS process N (t) which has
the psd as a constant N20 within W f W and zero elsewhere.
Similar to white light containing all frequencies in equal amounts.
Its average power is
2
E[X(t) ] =
W
W
N0
df = N0 W
2
R ()=NWsinc(2W)
N/2
1/(2W)
2/(2W)
RX ( ) =
N0
for all f
2
N0
( )
2
Magnitude
100
200
300
400
500
600
700
800
900
1000
Time
WGN results from taking the derivative of the Brownian motion (or
the Wiener process).
All samples of a GWN process are independent and identically
Gaussian distributed.
Very useful in modeling broadband noise, thermal noise.
E[Z(t)Z(t + )] =
RX ( ) + RN ( )
The psd of Z(t) is the sum of the psd of X(t) and N (t)
SZ (f ) = SX (f ) + SN (f )
Z(t) and X(t) are jointly-WSS
E[X(t)Z(t + )] = E[X(t + )Z(t)] = RX ( )
Thus SXZ (f ) = SZX (f ) = SX (f ).
ES150 Harvard SEAS
y(t ) = T [x(t )]
10
Y(t)
h(t)
Z Z
h(r) h(s) RX ( + s r) dsdr
E [Y (t)Y (t + )] =
11
The results are similar for discrete-time systems. Let the impulse
response be hn
The response of the system to a random input process Xn is
X
Yn =
hk Xnk
k
hn ej2nf
RY [k]
mX H(0)
XX
hj hi RX [k + j i]
j
hn RX [k + n]
12
= H (f ) SX (f )
SY (f )
= H(f ) SXY (f )
N0
2
for all f
13
The area under the psd function is the average power of the process.
ES150 Harvard SEAS
14
Linear estimation
Let X(t) be a zero-mean WSS random process, which we are interested
in estimating.
Let Y (t) be the observation, which is also a zero-mean random process
jointly WSS with X(t)
For example, Y (t) could be a noisy observation of X(t), or the
output of a system with X(t) as the input.
Our goal is to design a linear, time-invariant filter h(t) that processes
Y(t)
h(t)
15
X(t) =
h( )Y (t )d
b
a
X
hi Yki
i=b
16
The MMSE linear estimate of X(t) based on Y (t) is the signal X(t)
that minimizes the MSE
E [X(t)Y (t )] = E X(t)Y
(t )
Z a
h()RY ( )d
=
RXY ( ) =
(1)
17
t
Furthermore, the error is orthogonal to the estimate X
h
i Z a
t =
E et X
h( )E [et Y (t )] d = 0
b
E e2t
= E et X(t) X(t)
= E [et X(t)]
h
(2)
a
X
hi RX (m i)
(3)
i=b
E e2k
RX (0)
a
X
hi RXY (i)
(4)
i=b
18
Infinite smoothing
When a, b , we have
Z
h()RY ( )d = h( ) RY ( )
RXY ( ) =
Taking the Fourier transform gives the transfer function for the
optimum filter
SXY (f ) = H(f )SY (f )
H(f ) =
SXY (f )
SY (f )
19