2.

Linear Time-invariant System

A linear system is said to be time invariant if the input is time shifted by
System
an amount , the corresponding output will also be time shifted by the
A system is a functional relationship between the input and the output
same amount, ie., If [ ], then for a time invariant system
, and it is usually written as [ ] . Here is an
[ ] .
operator representing the action of the system on is also called
response. Example
1. The system defined by is linear.
Classification of Systems
For, [ ] [ ]
1. Linear System [ ]
A system is said to be linear it its response to a sum of inputs
{ } { }
is equal to the sum of responses taken separately. Thus, if
causes a response , then the system is linear we have
2. The system { } is not linear.
3. Casual System : Suppose the value of the output at depends only
[∑ ] ∑ [ ] ∑
on the past values of the input . (In other words, if
ie., the principle of super position is satisfied. [ then such a system is called a casual system.
We may write
Example :
∫ i)
ii)
Where is a time function . We define a new function
iii)
[ ], called the impulse response of the linear system.
[ ] ∫ , which shows that the 4. Memoryless System
response of a general linear system is completely by its impulse response. If the output at a given time depends only on and not on any

Input Output other past or future values of , then the system is called Memory less
Linear System System.

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5. Stable System
∫ [using (1)]
A linear time invariant system is said to be stable if its response to any
bounded input is bounded.
∫ ∫

REPRESENTATION OF SYSTEM IN THE FORM OF CONVOLUTION

We represent an output interms of convolution of the input , which is
If , then we have
generally used in electrical system. If is the input and is the system
∫
weighting function or impulse response function, we write the output as
Put in (A)

∫ Then ∫ [using (A)]

∫ by the convolution property)

(or)

∫
Which is the system weighting function. Hence the system weighting function
Here is called the system response corresponding to the input will be hereafter called unit impulse response function

PROPERTIES OF LINEAR SYSTEMS WITH RANDOM INPUTS

UNIT IMPULSE RESPONSE TO THE SYSTEM
PROPERTY 1
If the input of the system is the unit impulse function, then the output or
If the input and its output are related by
response is the system weighting function.
∫ then the system is a linear time-invariant system.
Let us consider input of the system as the unit impulse function at
We know that Proof:
i) is linear
{ Let
Then ∫
Where
Let us consider as a constant in the small interval of length Then ∫ [ ] [By (1)]

∫ ∫
∫ ∫

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 Hence the system is linear. Now [ ]
ii) is time invariant
*∫ ∫ +
Let ∫
[By using (A)]
If is replaced by then
∫ ∫ [ ]
∫ [ ]
Since { } is a WSS process,
[ ( )] is a function of say
Hence the system is time-invariant.
Hence the system is linear time-invariant. Hence, (1) becomes

∫ ∫
PROPERTY 2
If the input to a time-invariant , stable linear system is a WSS process, then the
output will also be a WSS process. i.e ., To show that if { } is a WSS process { } is a WSS process.
then the output { } is a WSS process.
PROPERTY 3
Proof :
If { } is a WSS process and if ∫ then
We know that the input and output are related by

∫
Proof :
Given , ∫
{ } ∫ [ ]
[ ]
{ } [ ]∫ [ ∫ ] [By (1)]

[ [ ] is a constant] ∫ [

∫ [Since { } is a WSS}

= a finite constant , independent of t. ∫

[ system is a stable system ]
E[Y(t) ] = a constant
(By convolution)

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PROPERTY 4 PROPERTY 5
If { } is a WSS process and if ∫ then If { } is a WSS process and if ∫ then
where * denotes the convolution.
Proof: Proof:
Given ∫ Given ∫
[ ] By property (4)

*∫ +
[By property (3)]
[using (1) and keeping as it is]
PROPERTY 6
∫ [
If {X(t)} is a WSS process and if ∫ , then
Put

Proof:
Given ∫
∫ [ [ ]

* ∫ +
∫

∫ [ ]
∫

[ ] ∫ [since{ }is a WSS]

(By convolution)
∫
Taking Fourier transform , We have
∫ , [ ] [ ]
[ ] [ ]
* ∫ ∫ +
(By convolution theorem on Fourier Transform)
[ ] [By definition of spectrum]
where [ ]

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PROPERTY 7 Where [ ]
If { } is a WSS process and if ∫ then We know that

| |
Proof: Sub (3) in (2), We have

Given ∫
| |
[ ]

*∫ + Input and Output Relationship in an LTI system

For a linear, time-invariant system, the output
[Using (1) and keeping as it is]
∫
∫ [ ]

Put This equation is known as the convolution integral of . It is written

as where denotes the convolution and is the impulse
response.

∫ [ ] ∫

∫
Time-Invariant System Transfer Function
∫ The output in a LTI system is completely determined by impulse response
.
[ ]
Input Output
∫ LTI System

[ ] [ ]
The Fourier transform of impulse response is defined by
[ ] [ ] (By convolution theorem)
∫ . The function is called the transfer function of the
system.

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System Response-Convolution Mean squared value of is given by
An LTI system is represented by [ ] where is the output
[ ] ∫∫ [ ]
random process of an LTI system, represented by a linear operator with
input random process .
If we assume the input is wide-sense stationary, then
Let be the impulse response of an LTI system, shown in the following
figure, [ ] ∫∫

LTI System Since [ ]

Auto Correlation Function of Response

Then ∫ Assume that is wide-sense stationary. The auto correlation function of
Here is called the system response corresponding to the input random is given by
process . [ ]

Mean and Auto Correlation of the Output [∫ ∫ ]

Mean : [ ] [∫ ]
∫∫ [ ]
∫ [ ]

∫∫
∫
In general,
where denotes convolution.
[ ]
If { } is WSS process, [ ] ̅ , a constant then

[ ] ̅∫ ̅ (constant) [∫∫ ]

This expression indicates that the mean value of equals the mean values
of times the area under the impulse response if is wide-sense ∫∫ [ ]
stationary.

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 ∫∫ [∫ ]

If the input is WSS, then ACF is

∫ [ ]
∫∫
Since is WSS

∫∫ ∫

This can be expressed as the two-fold convolution of the input ACF with
∫
the system impulse response as

Next we derive
Cross Correlation Functions of Input and Output
The cross-correlation function of and We know that ∫

[ ]
∫

[ ∫ ]
Now ∫ ∫

∫ [ ] ∫

If is wide-sense stationary, reduces to

Also using ∫
∫
∫
, the convolution of with .
Consider [ ]
Hence the relations between cross correlations of input & output are given by
[{ ∫ } ] (i)
(ii)

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 (iii) Remark:
(iv) v sys m’s s s s v by

∫ | | .
Power Spectral Density of System Response
Theorem : (Fundamental theorem on the Power Spectrum of an output process
Cross- Power Density Spectrums of Input and Output
in Linear Time Invariant system)
(i)
If is the output process when an input process is applied to an LTI
(ii)
system with impulse response , then PSD of is given by
Proof :
| | , where : PSD of : System transfer function.
(i) We know that
Proof :
Taking Fourier transform on both sides, we get
We know that the output process is given by

∫ (ii) We know that

Taking Fourier transform on both sides, we get
And the output Auto correlation function is

∫ ∫
ILLUSTRATIVE EXAMPLES
Power Spectral density of the output process ,
Example 1
∫ Let be the output of an LTI system with impulse response , when
is applied as input. Show that
∫ ∫ ∫ (a) ∫

(b) ∫
∫ ∫ ∫
Solution:
Put , then
(a) [ ]
(∫ ) (∫ ) (∫ )
* ∫ +
where denotes complex conjugate.
| | ∫ [ ]

| |
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 (b) We know that ∫
∫

(b) [ ] ∫

*,∫ - + ∫

∫ [ ] s s ss

∫
∫

(c) Taking Fourier transform on both sides of , we get

Example 2
Let be a WSS random input process to an LTI system with impulse
(d) Taking Fourier transform on both sides of , we get
response , and let be the corresponding output process. Show that
(a)
(b)
Example 3
(c) | |
A WSS random process with auto correlation where
(d) Where denotes the convolution and is
are real positive constants, is applied to the input of an LTI system
the complex conjugate of .
with impulse response where is a real positive constant.
Solution:
Find the auto correlation of the output of the system.
(a) We know that ∫
Solution :

∫ The Fourier transform of is ∫

∫
∫

s s ss ∫
And where
Hence ∫ * + * +

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 Solution:
[ ]
The power spectral density of the input process is
| | [ ]
| |
[ ] [ ]
| | ( | | √ )
√
Since [ ] ,
| |
The frequency response of the RC filter is
Power spectral density of is [ ]

| |
[ ]
| |
Power spectral density of is | |
The power spectral density of the output process is
( )
| |
( ) ( )

( ) ( ) * +
Rearranging,
* +

( ) ( )
where
Since [ ], the inverse Fourier transform of , Taking Inverse Fourier transform, we get
[ ] [ ] | |

| | | | | | | |
( [ ] )

The output auto correlation function

Example 4 | |

The input to the RC filter is a white noise process with ACF . If

the frequency response | | , find the auto correlation and the Mean-square value of the output process is

mean-square value of the output process . [ ]

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Example 5
[ ]
is the input voltage to a circuit (system) and is the output voltage.
{ }is a stationary random process with | |
and . Find [ ] [ ]
if the power transfer function is
Taking inverse Fourier transform on both sides, we have
Solution:
| | | |

∫
( ) ( ) ( )| |
| |
Hence,
[ ] ∫ [ ] ( ) ( )

[ ] Example 6
| | An LTI system has an impulse response . Find the output auto
Given .
Power spectral density correlation function corresponding to an input .
[ ] Solution:
s m | | s m

∫ | | ∫

∫ | | ∫

| |
∫ * +

| | | |
s ∫ * +

Power spectral density of the output is

| |

| |

The output of the power density spectrum is given by

| |

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 [ ]

( ) | |

Taking inverse Fourier transform on both sides, we have If is the output process, then ∫
( ) where denotes convolution.
[ ] ∫ [ ]
| |
[ ]

| |
∫
[ ]
Since the Fourier transform of
Example 7
| |
A linear system is described by the impulse response .

Assume an input process whose ACF is . Find the mean and ACF of the
output process. Output ACF [ ]

Solution: [ ]

| |

{ | |

∫
Example 8
∫ Assume a random process is given as input to a system with system
transfer function . If the ACF of the input process
∫
, find the ACF of the output process.

Solution:
* +
Given

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Taking Fourier transform,

Since [ ]
PART –A MAY 2015
1. Prove that is linear
We know that the Power spectral density of the output process is
2. State the relation between input and output of a linear time invariant system
| |
PART-B
1. If the input to a time invariant, stable, linear system is a WSS process, prove

The output ACF, [ ] that the output will also be a WSS process.
2. Show that | | where and are the
∫
power spectral densities of the input and output respectively and
is the system transfer function.
( )∫
3. A circuit has an impulse response given by , Express

* + in terms of
| |
4. Given and where { .

* + Find the spectral density of the output

PART –A May 2014

* +
1. Define a system. When is it called a linear system?
PART-B
1. If { } is the input voltage to a circuit and { } is the output voltage,
| |
{ } is the stationary random process with .

***** Find the mean and power spectrum of the output if the power

transfer function is given by .

2. A system has an impulse response , find the power spectral

density of the output corresponding to the input .

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 4. Let be a wide sense stationary process which is the input to a linear
PART-A Dec 2014 time invariant system with unit impulse and output , then prove
1. The autocorrelation function for a stationary ergodic process with no that | | where is a Fourier transform of .
periodic component is Find the mean and variance of
PART-A Dec 2013
the process .
1. Define linear time invariant system.
PART-B
PART-B
1. Check whether the following systems are linear
1. Prove that the spectral density of any WSS process is non-negative.
.
2. is the input voltage to a circuit(system) and is the output voltage.
2. The power spectral density of a signal s and its power is . Find | |
{ } is a stationary random process with . Find
the power of the signal .
, if the power transfer function is
( )
3. A linear system is described by the impulse response .
∫ .
Assume an input signal whose autocorrelation function is . Find the
autocorrelation mean and power of the output. PART-A May 2012
1. Prove that the system ∫ is a linear time -
PART-A May 2013
invariant system.
1. Define a linear time invariant system.
2. What is unit impulse response of a system? Why it is called so?
2. State the convolution form of the output of a linear time invariant system.
PART-B
PART-B
1. Consider a system with transfer function . An input signal with
1. A random process is the input to a linear system whose impulse
function is . The autocorrelation function of the process is autocorrelation function is fed as input to the system. Find the
| |
. Find the power spectral density of the output process . mean and mean-square value of the output.

2. A wide sense stationary process has an autocorrelation function 2. A stationary random process having the autocorrelation function
| |
where is constant. Find its power spectrum. is applied to a linear system at time where

3. If the input to a time invariant stable, linear system is a wide sense represent the impulse function. The linear system has the impulse response

stationary process, prove that the output will also be a wide sense of , where represents the unit step function. Find

stationary process. . Also find the mean and variance of .

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3. If { } is a WSS process and if ∫ then prove that response of , where represents the unit step function.

where stands for convolution. Find . Also find the mean and variance of .
( )
3. A linear system is described by the impulse response .

Assume an input signal whose autocorrelation function is . Find the

PART-A Dec 2012
autocorrelation mean and power of the output.
1. Find the system transfer function, if a Linear Time Invariant system has an
| | PART-A Dec 2011
impulse function ,
| | 1. State any two properties of a linear time-invariant system.
PART-B
2. If { } { } in the system ∫ are WSS
1. is the input voltage to a circuit and is the output voltage. { } is
process, how are their autocorrelation function is related.
| |
a stationary random process with . Find and
PART-B
power spectrum of the output if the system transfer function is given
1. If the input to a time invariant, stable, linear system is a WSS process,
by .
prove that the output will also be a WSS process.
2. A system has an impulse response , find the power spectral 2. Let be a wide sense stationary process which is the input to a linear
density of the output corresponding to the input . time invariant system with unit impulse and output , then prove
that | | .
PART-A May 2011
1. Find the system transfer function, if a Linear Time Invariant system has an

impulse function ,
| | *****
| |
PART-B
1. Consider the system with transfer function . An input signal with

autocorrelation function is fed as input to the system. Find the

mean and mean-square value of the output.
2. A stationary random process having the autocorrelation function
is applied to a linear system at time where where
represent the impulse function. The linear system has the impulse

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