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In many applications, physical systems are modeled as linear time invariant (LTI)
systems. The dynamic behavior of an LTI system to deterministic inputs is described by
linear differential equations. We are familiar with time and transform domain (such as
Laplace transform and Fourier transform) techniques to solve these equations. In this
lecture, we develop the technique to analyze the response of an LTI system to WSS
random process.
The purpose of this study is two-folds:
(1) Analysis of the response of a system
(2) Finding an LTI system that can optionally estimate an unobserved random process
from an observed process. The observed random process is statistically related to
the unobserved random process. For example, we may have to find LTI system
(also called a filter) to estimate the signal from the noisy observations.
Basics of Linear Time Invariant Systems:
A system is modeled by a transformation T that maps an input signal x(t ) to an output
signal y(t). We can thus write,
y (t ) T x (t )
Linear system
The system is called linear if superposition applies: the weighted sum of inputs results in
the weighted sum of the corresponding outputs. Thus for a linear system
T a1 x1 t a2 x2 t a1T x1 t a 2T x 2 t
Example : Consider the output of a linear differentiator, given by
d x(t )
y (t )
dx
d
Then,
a1 x1 (t ) a2 x2 (t )
dt
a1
d
d
x1 ( t ) a2 x2 (t )
dt
dt
LTI
system
Recall that any function x(t) can be represented in terms of the Dirac delta function as
follows
x(t )
x( ) t s
ds
x( s) t s
ds
x( s) T t s
ds
y (t ) T
x( s ) h t , s
ds
x s h t s ds
x(t ) * h(t )
x (t ) * h(t ) h(t ) * x (t )
x(t )
LTI System
y (t )
X ( )
LTI System
Y ( )
H FT h t
where
h(t ) e
jt
Y t
h s X t s ds
h t s X s
ds
where we have assumed that the integrals exist in the mean square (m.s.) sense.
Mean and autocorrelation of the output process Y t
The mean of the output process is given by,
EY t E h s X t s ds
h s EX t s ds
h s
ds
h s ds
X H 0
where H (0) is the frequency response H ( ) at 0 frequency ( 0 ) given by
H ( ) 0
h t e
j t
dt
0
h t dt
h s X t s ds
h s
E X t X t s ds
h s
RX s ds
h u
RX u du
[ Put s u ]
h * RX
R XY h * R X
also RYX R XY h * R X
h * RX
Thus we see that RXY is a function of lag only. Therefore, X t and Y t are jointly
wide-sense stationary.
The autocorrelation function of the output process Y(t) is given by,
E Y t Y t E
h s
h s
X t s dsY (t )
E X t s Y (t ) ds
h s
R XY s ds
h( ) * R XY h( ) * h( ) * R X
Thus the autocorrelation of the output process Y t depends on the time-lag , i.e.,
EY t Y t RY .
Thus
RY RX * h * h
The above analysis indicates that for an LTI system with WSS input
(1) the output is WSS and
RX 0 * h 0 * h 0
Taking the Fourier transform of RXY we get the cross power spectral density S XY
given by
S XY H * S X
and
SYX H S X
S X ( )
S XY ( )
H ( )
H ( )
*
RX ( ) h( )
RXY ( )
h( )
SY ( )
RY ( )
Example:
N0
is input to an ideal low
2
pass filter of band-width B. Find the PSD and autocorrelation function of the output
process.
(a) White noise process X t with power spectral density
H ( )
N
2
N0
.
2
N0
2
B B
N0
2
B B
N 0 j
N sin B
e d 0
2
2
B
B
The output PSD SY and the output autocorrelation function RY are illustrated in
Fig. below.
N0
2
SY ( )
O
Example 2:
A random voltage modeled by a white noise process X t with power spectral density
N0
is input to an RC network shown in the fig.
2
Find (a) output PSD SY
1
jC
H
1
R
jC
1
jRC 1
Therefore,
(a)
SY H S X
2
1
SX
R C 2 1
N0
1
2 2 2
R C 1 2
(b) Taking inverse Fourier transform
RY
N 0 RC
e
4 RC
N0
4 RC