3.

3 Autocorrelation and Power Spectral Density of Random Pulse Trains

As another example of calculating autocorrelation functions, consider a random process that can
be expressed as:

( ) ∑ ( ) (3.22)

Where p(t) is a deterministic pulse shape, T is the separation between pulses and  is a random
delay that is uniformly distributed on –T/2 < t < T/2. The random variable  is independent of
the random variables an.

The autocorrelation function RX() is given by:

( ) [∑ ( )∑ ( ( ) )]
(3.23)
[∑ ∑ ( ) ( ( ) )]

Since  is independent from an, (3.23) becomes

( ) ∑ ∑ [ ] [ ( ) ( ( ) )]
(3.24)
∑ ∑ [ ( ) ( ( ) )]

Where Rm = E[anan+m].

The term ∑ [ ( ) ( ( ) )] in (3.24) is given by

∑ [ ( ) ( ( ) )]
∑ ∫ ( ) ( ( ) ) (3.25)

Letting u = t-nT in (3.25), then we can rewrite (3.25) as

∑ [ ( ) ( ( ) )] ∑ ∫ ( ) ( )

∫ ( ) ( )
(3.26)

The integral in (3.26) is essentially a time-averaged autocorrelation function of p(t). Let r(t) be
given by:

( ) ∫ ( ) ( ) (3.27)

Then (3.26) becomes

∑ [ ( ) ( )] ( ) (3.28)
And inserting (3.28) into (3.24) we get

( ) ∑ ( ) (3.29)

Example 3.3
Let X(t) be a random train of impulses given by (3.22) where p(t) =
(t/T) and an = An-0.5An-1 where An =A if bn = 1 and An = -A if bn = 0.
The probability that bn = 1 is 0.5 and bn and bm are independent if n ≠
m. Find RX(t).

Solution

First we find r() which is given by (3.27).

( ) ∫ ( ) ( ) ( ) (3.30)

Next we find Rm. We start by noting that E[An2] = A2 and E[AnAm] = 0

if n ≠ m.

E[an2] = E[(An-0.5An-1)( An-0.5An-1)] = E[An2-AnAn-1+0.25An-12] = 1.25A2

Then E[anan+1] = E[(An-0.5An-1)(An+1-0.5An)] = -0.5A2.
Also E[anan-1] = E[(An-0.5An-1)(An-1-0.5An-2)] = -0.5A2

Rm = 0 for |m| > 1.

Therefore

( ) ( ) [ ( ) ( )] (3.31)

Example 3.4

Find the power spectral density of the signal of example 3.3.

Solution

The Fourier transform of (3.31) is

( ) ( ) ( )
( ) (3.32)
 Combining like terms, and keeping in mind that cos(x)=0.5ejx + 0.5e-jx,
we get:

( ) ( )[ ( )] (3.33)

Figure 3.5 shows (3.33) for A = 1 and T = 1 (compared to

1.25Tsinc2(fT)).

Figure 3.5: Spectrum of Signal in Example 3.3, with A = 1 and T = 1.

Exercise 3.2

Repeat examples 3.3 and 3.4 for an = 0.707An + 0.707An-1 and an =

0.8An - 0.447An-1.

3.4 Cross-Correlation Functions and Cross-Power Spectral Densities

Suppose we have a random signal Z(t) that is the sum of two ergodic processes, X(t) and Y(t). In
other words

( ) ( ) ( ) (3.34)

The autocorrelation function of Z(t) is given by:

( ) [( ( ) ( ))( ( ) ( ))]
(3.35)
[ ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )]
We can rewrite (3.35) as

( ) [ ( ) ( )] [ ( ) ( )] [ ( ) ( )] [ ( ) ( )]
(3.36)
( ) ( ) ( ) ( )

Where RXY() = E[X(t)Y(t+)] is called the cross-correlation of X(t) and Y(t) and RYX() =
E[Y(t)X(t+)] is called the cross-correlation of Y(t) and X(t). We can show that RXY() = RYX(-).

The power of Z(t) is RZ(0) which equals:

( ) ( ) ( ) ( )
(3.37)

where PXY = RXY(0) = RYX(0) is called the cross-power of X(t) and Y(t).

If RXY(0) = 0, then the cross-power of X(t) and Y(t) is 0. Under this condition, the cross-power is
0 and the power of the sum of orthogonal processes is the sum of their individual powers (ie PZ =
PX+PY). Two processes are orthogonal if RXY() = 0 for all .

Exercise 3.3

Show that RXY() = RYX(-).

The cross-power spectral density SXY(f) is defined as:

( ) { ( )} (3.38)

3.5 Linear Systems and Random Processes

Consider the linear system shown in Figure 3.6. Let X(t) be a stationary random signal applied
to the input of a linear system with impulse response h(t). Let Y(t) be the random signal at the
output. As we learned in ELG3175, the power spectral density of the output is related to the
power spectral density of the input by the following equation:

( ) ( )| ( )| (3.39)

Figure 3.5: A Linear System with a Random Input.

To prove (3.39), we begin by taking the cross-correlation between the input and the output of the
linear system.

( ) [ ( ) ( )] (3.40)

But Y(t) = X(t)*h(t), so (3.40) becomes:

( ) [ ( )( ( ) ( ))] (3.41)

Expanding (3.41), we get

( ) [ ( )∫ ( ) ( ) ] (3.42)

Since the integral in (3.42) does not depend on t, X(t) can be brought inside the integral and since
the expectation function is also an integral over different variables, then the expectation can be
brought inside the integral as well. We can rewrite (3.42) as:

( ) [∫ ( ) ( ) ( ) ]
(3.43)
∫ ( ) [ ( ) ( )]

In (3.43), [ ( ) ( )] ( ), therefore (3.43) becomes:

( ) ∫ ( ) ( ) ( ) ( ) (3.44)

The cross-power spectral density SXY(f) is therefore:

( ) ( ) ( ) (3.45)

Using a similar approach, we can show that

( ) ( ) ( ) ( ) ( ) (3.46)

Therefore

( ) ( ) ( ) ( ) ( ) (3.47)

where H(-f)=H*(f) assumes that h(t) is a real-valued function.

Lastly

( ) [ ( ) ( )] [ ( )( ( ) ( ))] (3.48)

Once again, since the convolution integral and expectation integral are over different variables,
the order can be changed and (3.48) becomes
 ( ) [ ( ) ( )] ( ) ( ) ( ) ( ) ( ) ( ) (3.49)

Taking the Fourier transform of (3.49) we get (3.39).

3.6 White Gaussian Noise Process

A white Gaussian noise process is a zero mean stationary process N(t) that has the following
properties:

1) Any sample of N(t), N(nTs) is a zero-mean Gaussian random variable.

2) The power spectral density of N(t) is
( ) (3.50)
Where No is a constant called the single sided noise spectral density.
3) The autocorrelation function of N(t) is
( ) ( ) (3.51)
which implies that there is no correlation between the noise at time t and at time
t+where  tends towards zero.

Figure 3.6 shows the power spectral density of a white Gaussian noise process.

Figure 3.6: The PSD of a white Gaussian noise process.

Since the power of any signal is the integral of its power spectral density over all frequencies, we
can see from Figure 3.6 that the power of a white Gaussian process is infinite.

3.6.1 Filtered Gaussian Processes

Let X(t) be a white Gaussian process that is input to a linear time invariant system with impulse
response h(t). The output Y(t) = X(t)*h(t) is also a Gaussian process. Consider the convolution
integral and its numerical integration based on sum of rectangles approximation.

( ) ∫ ( ) ( )
(3.52)
∑ ( ) ( )
The samples X(n) are Gaussian random variables. Additionally, since X(t) is white, then
X(n) is independent from X(m) if n ≠ m. In Chapter 2, we saw that pdf of the sum
independent Gaussian random variables is Gaussian. Therefore Y(t) is a non-white Gaussian
process.

However, the input to the LTI system need not be white for the output to be Gaussian as shown
in Figure 3.7. In Figure 3.7, we put a white Gaussian process through a filter with response h1(t)
to obtain X1(t) which is non-white, since its PSD is no longer flat over all frequencies. We then
input X1(t), which is non-white, to a system with impulse response h2(t) which produces output
X2(t). However, X2(t) is also the output of the LTI system h1(t)*h2(t) which has X(t), a white
Gaussian process, as input. And by (3.52), we know X2(t) to be a Gaussian process. Since it is
also the output of h2(t) with non-white Gaussian process X1(t) is input, then the conclusion that a
filtered Gaussian process is a Gaussian process is not limited to the input being white.

Figure 3.7: Cascade of two LTI systems with white Gaussian input.

Example 3.5

The RC filter of Figure 3.8 has a white Gaussian noise input N(t), which
has PSD SN(f) = ½No for -∞ < f < ∞. The output is Y(t). Find the PSD
and autocorrelation function of Y(t).

Figure 3.8: RC filter with white noise input N(t) of Example 3.5.
 Solution

SY(f) = SN(f)|H(f)|2. We know from circuit theory that H(f) =

1/(1+j2fRC). Therefore |H(f)|2 = 1/(1+(2fRC)2) The PSD of Y(t) is

( ) (3.53)
( ( ) )

The autocorrelation function of Y(t), RY(t) is given by the inverse

Fourier Transform of (3.53) and is:
| |
( ) (3.54)

Exercise 3.4

What is the power of Y(t) in Example 3.5? What is RNY(t)? Show from
(3.54) that E[Y(t)] = 0.

3.6.2 Noise-Equivalent Bandwidth

If we pass white noise through a filter that has the frequency response H(f), the average power at
the output is

∫ | ( )| (3.55)

If the filter was an ideal brickwall filter, as shown in Figure 3.9, with bandwidth Bn and midband
(or maximum) gain Ho, the noise power would be

(3.56)

The question we now ask is: What is the bandwidth of a fictitious brickwall filter that has the
same midband gain as H(f) and passes the same noise power? The answer is obtained by
equating (3.56) and (3.55) and solving for Bn.
Figure 3.9: Frequency response of a bandpass filter with its equivalent brickwall filter with noise
bandwidth Bn.

Therefore

∫ | ( )| ∫ | ( )| (3.57)

Example 3.6

What is the noise bandwidth of the RC lowpass filter of example 3.5?

Solution

|H(f)|2 = 1/(1+(2fRC)2) and Ho = 1.

∫ ( )
(3.58)

Keep in mind that

∫ | ( )| ∫ | ( )| (3.59)

Therefore sometimes we can solve for (3.57) using

∫ | ( )| (3.60)

3.7 Bandpass Noise

Many communication systems operate at a carrier frequency fc with a channel bandwidth B that
is small compared to fc. In these situations, it is sometimes useful to express the noise by its
quadrature representation.
 ( ) ( ) ( ) ( ) ( ) (3.71)

where N(t) is a bandpass noise signal, NI(t) is its inphase component and NQ(t) is its quadrature
component. In terms of envelope and phase, N(t) can also be expressed as

( ) ( ) ( ( )) (3.72)

where

( ) √ ( ) ( ) (3.73)

and
( )
( ) ( ) (3.74)
( )

Figure 3.10 shows the block diagram of the system producing NI(t) and NQ(t) from N(t). Note
that the composite operations used in producing NI(t) and NQ(t) are linear systems; therefore, if
N(t) is a Gaussian process, so are NI(t) and NQ(t).

Figure 3.10: System that produces NI(t) and NQ(t) from N(t).