Professional Documents
Culture Documents
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.
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
∫ ∫ ( ) ( ) ( )
( )
As left hand side is a real quantity, the imaginary part, ( ) of must vanish. This
actually is true because ( ) is an odd function of and vanishes when integrated.
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,
|∫ ( )| ∫ ∫ ( ) ( ) ( ) ∫ ∫ ( ) ( ) ( )
function has been replaced by 1. Now interchanging the dummy variable and in the second term we
get,
|∫ ( )| ∫ ∫ ( ) ( ) ( ) ∫ ∫ ( ) ( ) ( )
∫ ∫ ( ) ( ) ( )
Changing variable from to . Implies and we get,
|∫ ( )| ∫ ∫ ( ) ( )
∫ ∫ ( ) ( )
Interchanging the order of integration we get,
|∫ ( )| ∫ ∫ ( ) ( )
Now again change variable to , implying . We get,
|∫ ( )| ∫ ∫ ( ) ( )
∫ ∫ ( ) ( )
Substituting this back in the definition of ( ) we have,
( ) ∫ ∫ ( ) ( )
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:
But from the inverted W-K theorem equation ( ) for ̇ we also have,
⟨ ̇ ( ) ̇ ( )⟩ ∫ ̇( ) ( )
Comparing ( ) and ( ) we have,
̇( ) ( ) ( )
I intend to apply this equation to the Brownian oscillator taking ( ) ( ) and hence ̇ ( ) ( ).
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)