Wiener-Khinchin Theorem

In the case of periodic deterministic signals, the signals may be

described either in terms of periodicity (in the time domain) or in terms
of their line spectra (in the frequency domain). No new information is
gleaned by moving from one domain to the other. Practical
considerations usually determine which representation is the most
useful in specific applications.
In dealing with stochastic signals it was seen that the appropriate
measures by which they may be summarized are the correlation &
spectral density functions. Wiener & Khinchin first drew attention to
the fact that correlation & spectral density functions form Fourier
transform pairs. This observation is observed in the case of
autocorrelation function & the power spectral density function as
shown below:
The definitions of the autocorrelation & the power spectral
density functions over samples 2T long gives:

Rxx(λ)= lim T→inf 1/2T -T⌠+T x(t).x(t+ λ)dt

Sxx(ω)= lim T→inf 1/2T {X(ω).X*(ω)}

and taking the Fourier transform (FT) of the autocorrelation function

gives

FT {Rxx(λ)}= -T⌠+T{lim T→inf 1/2T -T⌠+T x(t).x(t+ λ)dt} e-jωλ .dλ

Substituting μ for (t+ λ) & noting that dλ becomes dμ, then

FT {Rxx(λ)}= -T⌠+T{lim T→inf 1/2T -T⌠+T x(t).x(μ)dt} e-jω(μ-t) .dμ

results which, after expanding the exponential term & separating the 2
integrals, becomes

FT {Rxx(λ)}= lim T→inf 1/2T {-T⌠+T x(t). ejωt .dt -inf ⌠+inf x(μ).e-jωμ .dμ

It is recognized that the 2 integrals represent the Fourier transform of

x(t), i.e. X(ω) & its conjugate complex X*(ω), and thus:

FT {Rxx(λ)}= lim T→inf 1/2T {X(ω).X*(ω)} = Sxx(ω)

By identical reasoning it can be shown that the cross-correlation
function & the cross spectral density function also form Fourier
transform pairs. The Wiener-Khinchin are usually written formally as:

Sxx(ω)= -inf ⌠+inf Rxx(λ). e-jωλ .dλ

Rxx(λ)= 1/2π -inf ⌠+inf Sxx(ω). ejωλ .dω

These 2 equations exhibit the fact that there is no new information

generated by moving from the time domain to the frequency domain
or vice-versa. However, in some applications of industrial diagnostics it
is easier to interpret the underlying phenomena in one domain or the
other.
One use of the first of the 2 equations is to use it to calculate the
power spectral density from a known estimate of the autocorrelation
function. It is now more common to use the Fast Fourier Transform
(FFT) to calculate the power spectrum directly from the raw time series
associated with the signal under investigation.