The Power Spectral Density

Jeffrey B. Burl

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

Fourier Transform Review

The Fourier transform of x(t) is defined:

Fx ( ) = x(t )e jt dt

The Fourier transform provides a

representation of the signal in terms of
frequency content.

The inverse Fourier transform is

defined:
1
jt
x(t ) =
F
(

)
e
d
x

2
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl

The Fourier Transform of a

Stationary Random Signal

For stationary random signals:

F ( ) = x(t )e dt
does not exist, since
x(t ) dt =
Fourier transforms require that the
signal decay to zero at infinity.
A stationary random signals contains an
infinite amount of energy!

j t

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

The FT of a Stationary
Random Signal, Cont.

Fourier transforms are sufficiently useful

that we hate to abandon them!
Lets truncate the signal:
And

X (t )
X T (t ) =
0

t <T
else

FX T ( ) = [ X T (t ) ]

This exists, but we would like to take the

limit as T, doesnt exist.
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl

The FT of a Stationary
Random Signal, Cont.

What to do?
Consider a random signal across a
resistor:

The energy dissipated is infinite!

The power dissipated is finite and nonzero.
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl

The FT of a Stationary
Random Signal, Cont.

The power dissipated from T to T is:

1
2T

And, for Fourier transforms:

1
4 T

x 2 (t )dt

1
FX T ( ) d =
2T
2

x 2 (t )dt

by Parsevals theorem.
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl

The Power Spectral Density

The Power Spectral Density is defined as

the expected value of the power in the
frequency domain:
2

E FX T ( )

S X ( ) = lim
T
2T

SX()d gives the average power

dissipated by the random process when
connected, as a voltage, to a 1 resister
in the frequency range from to +d.
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl

The Power Spectral Density,

Continued

The Power Spectral Density is real and

does not include phase information.

Makes sense since a stationary random

signal must have a random phase.

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

The PSD and the

Autocorrelation Function

The PSD is defined

where

2
1
S X ( ) = lim
E FX T ( )

T 2T

FX T ( ) = X T (t )e jt dt
T

The PSD is then

1
S X ( ) = lim
E
T 2T

X T (t1 )e

jt1

dt1

jt2
(
)
X
t
e
dt
2
T T 2

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

The PSD and the Autocorrelation Function, Cont.

Continuing, the PSD is

T
1 T
+ jt1
S X ( ) = lim
E X T (t1 )e dt1 X T (t2 )e jt2 dt2
T

T
T 2T

1 T T
= lim
E X T (t1 ) X T (t2 )e + jt1 e jt2 dt2 dt1
T T

T 2T
1
= lim
T 2T

E [ X T (t1 ) X T (t2 ) ] e j (t2 t1 ) dt2 dt1

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

10

The PSD and the Autocorrelation Function, Cont.

Continuing, the PSD is

1
S X ( ) = lim
T 2T

RX T (t1 , t2 )e j (t2 t1 ) dt2 dt1

where

RX (t1 , t2 )
=
RX T (t1 , t2 ) E=
[ X T (t1 ) X T (t2 )]
0

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

t1 T , t2 T
else

11

The PSD and the Autocorrelation Function, Cont.

Performing the change of variables:

= t2 t1 d = dt2

1
S X ( ) lim
=
T 2T
1
= lim
T 2T

T t1

T t1

1
lim
T T 2T
T

RX T (t1 , t1 + )e j d dt1

RX T (t1 , t1 + )e j d dt1

j
(
,
)
+
R
t
t

dt
d
1 e
XT 1 1

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

12

The PSD and the Autocorrelation Function, Cont.

Finally:

1
=
S X ( ) lim
T 2T

j
(
,
)
+

R
t
t
dt
d
1 e
T XT 1 1

j
S X ( ) =
R
(

)
e
d =
[ RX ( ) ]
X

The fact that the PSD of a wide sense

stationary signal is the Fourier transform
of the autocorrelation function is know as
the Einstein-Weiner-Khinchin theorem.
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl

13

Properties of the PSD

S X ( ) =

RX ( )e j d = [ RX ( ) ]

SX() is real.
SX() is non-negative.
For real random signals:

SX() is even.

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

14

Properties of the PSD, Cont.

1
RX ( ) =
2

S X ( )e j d = 1 [ S X ( ) ]

The mean square value of X(t) is:

1
(t ) R=
(0)
E X=
S ( )d

2
The power in the random signal in the
frequency band ab is

Power [ a, b ] = S X ( )d
b

EE 5500 Probability and Stochastic

Processes, 2014 by J. B. Burl

15

Summary

The Power Spectral Density provides

information on the frequency content in a
random signal.

The variance can be found from the PSD.

The correlation function can be found from the
PSD.

The PSD contains information on how rapidly or

slowly a stationary stochastic process will
change.
The E-W-K theorem states that the PSD is the
Fourier transform of the correlation function.
EE 5500 Probability and Stochastic
Processes, 2014 by J. B. Burl

16