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14th December 2010

**A Discussion on “Wiener – Khinchin Theorem and its applications”
**

Harsh Purwar (07MS – 76)

Student, Non-Equilibrium Statistical Mechanics (ID – 419) Indian Institute of Science Education and Research, Kolkata

**Power Spectral Density
**

Power spectral density or power spectrum in short, of a stationary random process is an important quantitative characterizer of the random process. Consider a general stationary random process, ( ). In general, the plot of ( ) versus may be expected to be a highly irregular curve – the random process is, after all, a ‘noise’ in a sense. We may ask: perhaps a Fourier transform of the function ( ) would give us some insight into its time variation, by decomposing into its individual harmonics? But ( ), regarded as a function of , need not be integrable, in general. To be precise ∫ | ( )| may not be finite. Therefore the Fourier transform may not exist. However, a much regular function of can be associated with the process ( ): namely its autocorrelation function. Basically power spectrum of a stationary process is a measure of how much of the intensity of the fluctuating signal ( ) lies in an infinitesimal frequency window centered at the frequency . Suppose we monitor the process (or signal) ( ) over a very long interval of time, say from up to . The power spectral density ( ) is then defined as, ( ) Note: It is evident from the definition above that |∫ ( )| ( )

( ) is real and positive.

**Wiener – Khinchin Theorem
**

Observe; above definition do not have any average over all realizations of the random process. An averaging of this sort is not necessary because the process is supposed to be ergodic: given a sufficient amount of time (ensured by passing to the limit ), ( ) will take on all values in its sample space. Consequently, we may expect ( ) to be expressible in terms of a statistical average. Indeed, this is the content of the Wiener – Khinchin theorem. Statement: The power spectral density ( ) of a stationary random process ( ) is equal to the Fourier transform of its autocorrelation function. That is, ( ) Proof: We have, |∫ ( )| ∫ ∫ ( ) ( )

( )

∫

⟨ ( ) ( )⟩

( )

1 | Term Paper on ‘Wiener – Khinchin Theorem & its applications’ by Harsh Purwar (07MS – 76)

Indian Institute of Science Education and Research, Kolkata

14th December 2010

∫

∫

( ) ( )

( (

)

( ) ) of must vanish. This and vanishes when integrated.

As left hand side is a real quantity, the imaginary part, ( ) is an odd function of actually is true because Now introducing function we have, |∫ ∫ ∫ { ∫ ∫ ∫ ⏟ ( )| ( ) ( ) ( ) ( ) ∫ ( ( ∫ ) ( ) ( ( ) ( ) ) ∫ ) ∫ ⏟ ( ∫

)( ( ( ) ( ) ( ) ( )

)

( ( (

)) ) ( ) ( ) } )

{ } The second integral above has as can be seen from the limits of integration but in this regime ( ) vanishes. Similarly the fourth term also vanishes and we are left with, |∫ ( )| ∫ ∫ ( ) ( ) ( ) ∫ ∫ ( ) ( ) and ( )

∫ ⏟

( ) ( )

(

) (

)

∫ ⏟

( ) ( )

(

) (

)

function has been replaced by 1. Now interchanging the dummy variable get, |∫ ( )| ∫ ∫ ∫ Changing variable from to |∫ ( ) ( ) ∫ . Implies ( )| ∫ ∫ ∫ ∫ ( ) ( ( ( ) ( ) ) ∫ ( ∫ )

in the second term we ( )

( ) ( )

and we get, ( ) ( ) )

Interchanging the order of integration we get, |∫ Now again change variable |∫ to ( )| ∫ Substituting this back in the definition of ( ) ( )| ∫ , implying ∫ ∫ ∫ ( ) we have, ∫ ∫ ( ) ( ) ∫ ( ) ( . We get, ( ) ( ( ) ( ) ) )

2 | Term Paper on ‘Wiener – Khinchin Theorem & its applications’ by Harsh Purwar (07MS – 76)

Indian Institute of Science Education and Research, Kolkata

14th December 2010

∫

∫

( ) (

)

Due to the ergodicity of the process ( ) we can write, ∫ ( ) ( ) ⟨ ( ) ( )⟩

Now using the fact that the autocorrelation function of a stationary random process is a function only of the difference of the two time arguments involved, and not of the two arguments separately, we have, ⟨ ( ) ( )⟩ ⟨ ( ) ( )⟩ ⟨ ( ) ( )⟩ Hence, ( ) ∫ ⟨ ( ) ( )⟩ ⟨ ( ) ( ∫ ( ) )⟩ ⟨ ( ) ( )⟩

Considering ( ) being a classical variable i.e. to say, ⟨ ( ) ( )⟩ ⟨ ( ) ( )⟩ And as , we have ( ) ∫ ⟨ ( ) ( )⟩

Applications of WKT:

Position autocorrelation of the Brownian oscillator: Starting from the result obtained by my friend Anish Bhardwaj in his mid-semester presentation on Brownian oscillator, its velocity autocorrelation function, ⟨ ( ) ( )⟩ where is given by, ( )

⁄

(

(

)

⁄

(

))

( )

I would try to find the autocorrelation function of the position of the oscillator. The Fourier transform of the autocorrelation function in W-K Theorem can be inverted to get, ⟨ ( ) ( )⟩ ∫ and ∫

( )

( )

( )

Differentiating both sides with respect to

**in succession we get,
**

( )

⟨ ̇ ( ) ̇ ( )⟩ Now setting and we get, ⟨ ̇ ( ) ̇ ( )⟩ ∫

( )

( )

( )

**But from the inverted W-K theorem equation ( ) for ̇ we also have, ⟨ ̇ ( ) ̇ ( )⟩ Comparing ( ) and ( ) we have,
**

̇(

∫ ) ( )

̇(

)

( )

( ) ( ) and hence ̇ ( ) ( ). I intend to apply this equation to the Brownian oscillator taking ( ) Using result ( ) for the velocity auto correlation function of the oscillator in the formula ( ) it can be shown that its power spectral density (PSD) is given by,

3 | Term Paper on ‘Wiener – Khinchin Theorem & its applications’ by Harsh Purwar (07MS – 76)

Indian Institute of Science Education and Research, Kolkata

14th December 2010

( ) So the PSD of the position using ( ) is given by,

{

(

)

}

} ( ) Using the inverted form of the Wiener Khinchin theorem, equation ( ) we have, ( ) Using the results of contour integration the above integration was evaluated to give,

⁄

( )

{

⟨ ( ) ( )⟩

∫

(

)

⟨ ( ) ( )⟩ ( ) { Observe that it is indeed an even function of , as required of the autocorrelation function of a (one component) stationary random process.

⁄

Works Cited

1. Balakrishnan, V. Elements of Nonequilibrium Statistical Mechanics. Madras : Ane Books Pvt. Ltd., 2008. pp. 223-228, 237-238, 281-282. 9789380156255.

4 | Term Paper on ‘Wiener – Khinchin Theorem & its applications’ by Harsh Purwar (07MS – 76)

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A discussion by Harsh Purwar, Student, Indian Institute of Science Education and Research, Kolkata.

A discussion by Harsh Purwar, Student, Indian Institute of Science Education and Research, Kolkata.

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