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Signals and Systems: Correlation, Energy Spectral Density and Power Spectral Density

The document discusses correlation, autocorrelation, and power spectral density. It defines correlation as the area under the product of two signals as one is shifted relative to the other. Autocorrelation is the correlation of a signal with a shifted version of itself. The power spectral density is the Fourier transform of the autocorrelation function and represents the signal's power distribution over frequency. Properties of autocorrelation are discussed, such as it being even and never exceeding its value at zero shift. Examples are provided to illustrate autocorrelation and how identical autocorrelations do not require identical signals.

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50 views15 pages

Signals and Systems: Correlation, Energy Spectral Density and Power Spectral Density

The document discusses correlation, autocorrelation, and power spectral density. It defines correlation as the area under the product of two signals as one is shifted relative to the other. Autocorrelation is the correlation of a signal with a shifted version of itself. The power spectral density is the Fourier transform of the autocorrelation function and represents the signal's power distribution over frequency. Properties of autocorrelation are discussed, such as it being even and never exceeding its value at zero shift. Examples are provided to illustrate autocorrelation and how identical autocorrelations do not require identical signals.

Uploaded by

svhanu4010
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Signals and Systems

Lecture 12
Correlation, Energy Spectral
Density and Power
Spectral Density

Correlation
Positively Correlated Uncorrelated Random Negatively Correlated
Random CT Signals
CT Signals with
Random CT Signals
with Zero Mean
Zero Mean
with Zero Mean

Correlation
Positively Correlated
CT Sinusoids with
Non-zero Mean

Uncorrelated CT
Sinusoids with
Non-zero Mean

Negatively Correlated
CT Sinusoids with
Non-zero Mean

Correlation
Relationships between signals can be just
as important as characteristics of
individual signals
Rayleighs energy theorem

Parsevals Equation

Correlation
Correlation function between two energy
signals:
R xy

*
x

y
t dt

is the area under their product as a


function of how much y is shifted relative
to x !
5

Correlation
The correlation function for two energy
signals is very similar to the convolution of
two energy signals:
xt yt

xt y d

using convolution:

R xy x y
F
R xy
X* j Y j
6

Correlation

Correlation
The correlation function between two
power signals, x and y, is the average
value of their product as a function of how
much y is shifted relative to x.

1
xt y * t dt

T T T

R xy lim

Correlation
If the two signals are both periodic and
their fundamental periods have a finite
least common period:

R xy

1
xt yt dt
T T

Correlation

10

Autocorrelation
A very important special case of
correlation is autocorrelation.
Autocorrelation is the correlation of a
function with a shifted version of itself.
For energy signals:

R xx

xt xt dt

11

Autocorrelation

12

Autocorrelation
At a shift ;

R xx 0 x 2 t dt energy of the signal

For power signals;


1
R xx x t x t dt
T T
1
R xx 0 x 2 t dt Px
T T
Relative power (power on 1ohm resistor [Volt^2])

13

Autocorrelation
Power Spectral Density:

GX F Rx
1
Px
2

G d R
X

Rx 0

14

Properties of Autocorrelation
Autocorrelation is an even function

R xx R xx
Autocorrelation magnitude can never be
larger than it is at zero shift.

R xx 0 R xx
15

Properties of Autocorrelation

where S X is energy spectral density.


16

Properties of Autocorrelation
If a signal is time shifted its autocorrelation
does not change.
The autocorrelation of a sum of sinusoids
of different frequencies is the sum of the
autocorrelations of the individual
sinusoids.

17

Autocorrelation Example
Show that the energy spectral densities of x(t)
and x(tto) are the same.

18

Autocorrelation Example
Autocorrelations for a cosine burst and a sine
burst. Notice that they are almost (but not quite)
identical.

19

Autocorrelation Example

20

10

Autocorrelation Example
Three random power signals with different
frequency content and their autocorrelations.

21

Autocorrelation Example
Autocorrelation functions for a cosine and a
sine. Notice that the autocorrelation functions
are identical even though the signals are
different.

22

11

Autocorrelation Example
Four different random signals with identical
autocorrelations:

23

Autocorrelation Example
Four different random signals with identical
autocorrelations:

24

12

Autocorrelation Example
Four different random signals with identical
autocorrelations:

25

Autocorrelation Example
Four different random signals with identical
autocorrelations:

26

13

Correlation Example
Matched Filters:
Technique for detecting the presence of a
signal of a certain shape in the presence of
noise.

Uses correlation to detect the signal


It is often used to detect 1s and 0s in a
binary data stream so this filter sometimes
called a correlation filter
27

Correlation Example
the optimal filter to
detect a noisy
signal is one whose
impulse response is
proportional to the
time inverse of the
signal.
some examples of
waveshapes
encoding 1s and
0s and the impulse
responses of
matched filters.
28

14

Correlation Example
Noiseless Bits

Noisy Bits

29

15

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