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Lecture 221
Reading:
1.1
T /2
f (t)f (t + ) dt
T /2
1 t0 +T
f f ( ) =
f (t)f (t + ) dt
T t0
c D.Rowell 2008
copyright
221
Example 1
Find the autocorrelation function of the square pulse of amplitude a and duration
T as shown below.
f(t)
a
t
T
The wave form has a nite duration, and the autocorrelation function is
T
f f ( ) =
f (t)f (t + ) dt
0
t
T
f(t+ t )
a
-t
0
r
a
T -t
ff
(t )
r
0
-T
(t ) = a
f f ( ) =
ff
(T -t )
a2 dt
= a2 (T | |)
= 0
222
T T
otherwise.
Example 2
Find the autocorrelation function of the sinusoid f (t) = sin(t + ).
Since f (t) is periodic, the autocorrelation function is dened by the average over
one period
1 t0 +T
f f ( ) =
f (t)f (t + ) dt.
T t0
and with t0 = 0
2/
f f ( ) =
sin(t + ) sin((t + ) + ) dt
2 0
1
=
cos(t)
2
and we see that f f ( ) is periodic with period 2/ and is independent of the
phase .
1.1.1
and f f ( ) = f f ( ).
and
|f f ( )| f f (0)
f f (0) =
f 2 (d) dt
1
f f (0) = lim
T T
f 2 (t) dt
223
1.1.2
f f ( ) ej d
=
f (t)f (t + ) dt ej d
j t
=
f (t) e dt.
f () ej d
Rf f (j ) =
= F (j )F (j )
= |F (j )|2
or
f f ( ) Rf f (j ) = |F (j )|2
where Rf f () is known as the energy density spectrum of the transient waveform f (t).
Similarly, the Fourier transform of the power-based autocorrelation function, f f ( )
f f (j ) = F {f f ( )} =
f f ( ) ej d
T /2
1
=
lim
f (t)f (t + ) dt ej d
T
T /2
is known as the power density spectrum of an innite duration waveform.
From the properties of the Fourier transform, because the auto-correlation function
is a real, even function of , the energy/power density spectrum is a real, even
function of , and contains no phase information.
1.1.3
Parsevals Theorem
or
1
f (t) dt =
|F (j )|2 d,
2
which equates the total waveform energy in the time and frequency domains, and which is
known as Parsevals theorem. Similarly, for innite duration waveforms
T /2
1
2
lim
f (t) dt =
(j ) d
T T /2
2
ff
(t )
F
ff ( jW
b r o a d a u to c o r r e la tio n
n a rro w s p e c tru m
t
W
ff
(t )
F
ff ( jW
b ro a d s p e c tru m
n a r r o w a u to c o r r e la tio n
t
W
ff
(t )
F
im p u ls e a u to c o r r e la tio n
1
1.2
ff ( jW
1 T /2
f g ( ) = lim
f (t)g(t + ) d
T T T /2
in the case of innite duration waveforms, and
f g ( ) =
f (t)g(t + ) d
Example 3
Find the cross-correlation function between the following two functions
f(t)
T
0
T
g (t)
T
t
1
0
T
t
2
r
a
fg
(t )
0
T
- T
1
where the peak occurs at = T2 T1 (the delay between the two signals).
1.2.1
226
Example 4
In an echolocation system, a transmitted waveform s(t) is reected o an object
at a distance R and is received a time T = 2R/c sec. later. The received signal
r(t) = s(tT )+n(t) is attenuated by a factor and is contaminated by additive
noise n(t).
R
tr a n s m itte d
w a v e fo rm
s (t)
r e c e iv e d
w a v e fo rm
r(t)
+
r e fle c tin g o b je c t
v e lo c ity o f p r o p a g a tio n : c
a s (t-T )
d e la y
n (t)
T = 2cR
sr ( ) =
s(t)r(t + ) dt
s(t)(n(t + ) + s(t T + )) dt
= sn ( ) + ss ( T )
and if the transmitted waveform s(t) and the noise n(t) are uncorrelated, that is
sn ( ) 0, then
sr ( ) = ss ( T )
that is, a scaled and shifted version of the auto-correlation function of the trans
mitted waveform which will have its peak value at = T , which may be used
to form an estimator of the range R.
1.2.2
We dene the cross-power/energy density spectra as the Fourier transforms of the crosscorrelation functions:
Rf g (j ) =
f g ( ) ej d
f g (j ) =
f g ( ) ej d.
Then
f g ( ) ej d
=
f (t)g(t + ) ej dt d
j t
=
f (t) e dt
g() ej d
Rf g (j ) =
227
or
Rf g (j ) = F (j )G(j )
Note that although Rf f (j ) is real and even (because f f ( ) is real and even, this is
not the case with the cross-power/energy spectra, f g (j ) and Rf g (j ), and they are
in general complex.
y (t)
H ( jW )
f ff ( t)
y y
(t)
Then
Y (j ) = F (j )H(j ),
Y (j )Y (j ) = F (j )H(j )F (j )H(j )
or
yy (j ) = f f (j ) |H(j )|2 .
Also
F (j )Y (j ) = F (j )F (j )H(j ),
or
f y (j ) = f f (j )H(j ).
Taking the inverse Fourier transforms
yy ( ) = f f ( ) F 1 |H(j )|2
f y ( ) = f f ( ) h( ).
3 Discrete-Time Correlation
Dene the correlation functions in terms of summations, for example for an innite length
sequence
f g (n) = E {fm gm+n }
=
1
fm gm+n ,
N 2N + 1
m=N
lim
m=N
228
fm gm+n .
The following properties are analogous to the properties of the continuous correlation func
tions:
(1) The auto-correlation functions ( f f (n) and f f (n) are real, even functions.
(2) The cross-correlation functions are not necessarily even functions, and
f g (n) = gf (n)
(2) f f (n) has its maximum value at n = 0,
|f f (n)| f f (0)
for all n.
(4) f f (0) is the average power in an innite sequence, and f f (n) is the total energy in a
nite sequence.
The discrete power/energy spectra are dened through the z-transform
f f (z) = Z {f f (n)} =
f f (n)z n
n=
and
f f (n) = Z 1 {f f (z)}
1
=
f f (z)z n1 dz
2j
/T
T
=
f f ( ej T ) ej nT d.
2 /T
Note on the MATLAB function xcorr(): In MATLAB the function call phi =
xcorr(f,g) computes the cross-correlation function, but reverses the denition of
the subscript order from that presented here, that is it computes
f g (n) =
N
N
1
1
fn+m gm =
fn gnm
M N
M N
229
3.1
(The following table is based on Table 13.2 from Stearns and Hush)
Property
Formula
f f (z) =
Cross-power Spectrum
Autocorrelation
Cross-correlation
Waveform power
Linear system properties
n=
f f (n)z n
f g (n)z n = gf (z 1 )
n=
1
f f (n) =
f f (z)z n1 dz
2j
1
f g (n) =
f g (z)z n1 dz
2 j
2
1
E fn = f f (0) =
f g (z)z 1 dz
2j
Y (z) = H(z)F (z)
yy (z) = H(z)H(z 1 )f f (z)
f y (z) = H(z)f f (z)
f g (z) =
2210